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Recent content by Bester

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    GARP Ebook

    The e-book is available for 3 years only to you. You can access the eBook on up to 3 different devices ie, ipad, a desktop and or an Android tablet. However need a Vitalsource Bookself account which allow to read on line or in the case of off line you can access reading via the bookshelf app...
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    Regarding uploading work experience, I mailed GARP and their response is that they are having technical difficulties on their web site and are working on the issue.
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    GARP.FRM.PQ.P2 Surplus Value GARP 2015 Question 5 (garp15-p2-5)

    Hi thanks for the response. How I calculated the Expected Surplus is as follow. Before any growth in the 1st year the surplus is 100 - 90 = 10. Then the assets and liabilities grow by the respective growth rates (106 - 96.3= 9.7). Thus the total new expected surplus (including growth) is...
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    Maximum VAR for the portfolio

    Thanks Nicole
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    GARP.FRM.PQ.P2 Surplus Value GARP 2015 Question 5 (garp15-p2-5)

    Hi, Is the surplus value (lower bound of the 95% confidence interval) in this question not the same as absolute SaR. Also why in this question is the Expected Surplus set equal to 9.7 only? If I calculate the absolute SaR then the calculation in my view would be as follow: Expected Surplus -...
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    Maximum VAR for the portfolio

    Hi, This is a question from a Garp practice exam. Why in this question can we not use the sum of absolute VAR for Alpha and absolute VAR for Omega to calculate the maksimum possible VAR for portfolio. The maximum possible daily VAR is then based on a correlation(p) = 1 between Alpha and...
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    GARP Practice Exam 2013 P2 Question 8

    Hi I get the answer to be c as well. To calculate r I use my calculator FV = 1000000 PV = -800000 N = 1 PMT = 0 Thus r = 25% Then using the following formula (1-p)(1 + r) = (1 + rf) Note recovery rate = 0 thus p x recover = 0 (1-p) = (1+ 0.05)/(1+0.25) p = 16 thus c is correct
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    Volatility smile and Expected Shortfall

    Thanks Nicole that clarifies the question.
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    Volatility smile and Expected Shortfall

    Hi, This is a question out of a old GARP paper. Can you please help me understand why the answer looks at the left tail when explaining the answer. Why would one in this question ignore the right tail. Does the right tail not reflect the ES? Therefore if one argue the implied distribution...
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    You can find the pass rate on the GARP FRM Facebook website. See post 1 July by GARP.

    You can find the pass rate on the GARP FRM Facebook website. See post 1 July by GARP.
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    The pass rates for the May FRM Exam are: Part I: 42.9% Part II: 52.4%

    The pass rates for the May FRM Exam are: Part I: 42.9% Part II: 52.4%
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    GARP.FRM.PQ.P1 No arbitrage FX market (garp13-p1-6)

    Hi, Can you please help me understand why the answer uses continuously compounded rates and not annual rate. In this question the answer is the same whether using continuosly or annual compounding, but may not always be the same. Question You are examining the exchange rate between the U.S...
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    Swap maximum potential exposure

    Hi, Here is another question where it is unclear for me how the duration was obtained for the 6% bond. I assume we will not be asked this type of question in the exam, if the duration is calculated by multiplying term with fixed factor, else I don't now how to calculate the duration for the 6%...
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    Swap maximum potential exposure

    Thanks, I did not realize that the volatility in the question is expressed as daily. Therefore agree that the 10 day volatility is sqrt(10) multiply by 0.00074. Also not sure how duration is 7 years? I would have used 10 years as no ytm is given to convert to modified duration.
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