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Recent content by coquin22

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    Good Luck for those taking the FRM exam in 2 days time!

    Well the current prce of bond =952.48 and the strike =960 the price of the call should be at least 960-952,48 else arbitrage possibility?
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    1y IR on an Act/360 basis

    the following instudent are traded on an Act/360 basis: 3m dep: [email protected],5% 3-6 FRA: [email protected],6% 6-9 FRA: [email protected],8% 9-12 FRA: [email protected]% What is the 1y ir on act/360 basis? Applying the formula with T1=91/360, T2=92/360 ect i however got 5,05%(didnt round it up at all) and the answer was...
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    computing SMM

    Computing for 5th and 25th months assuming 100PSA and 150 PSA I believe that the [email protected] 25 is wrong, [email protected] =0,02*25=0,05 150 PSA -> 1,5*0,05=7,5 (from Schweser) should it be capped @6%?
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    p1.T4 Measures of Financial Risk (chpt 2 Dowd)

    ist that 98 oder 99% if 99 then 2,33 is the wrong to apply for 98% you better use 2,326 So i would receive 34,6955
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    EL/UL ratio

    Schweser: Smallville Savings Bank (SSB) has a loan portfolio totaling $20,000,000 in commitments. Currently 60% is outstanding. The bank has assessed an average internal credit rating equivalent to 2% default probability over the next year. Drawdown upon default is assumed to be 75%. The bank...
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    random walk VAR

    the power bought was 105K$. The annualized volatiliy of power price is 125%, Assuming power price follow a random walk,, what is the 1y 95% confidence interval VAR It took me laods of time to figure out how to solve this, but once again the FRM reading was great!!! pretty like it but so horrible...
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    Tracking Error

    thanks David, i think the question might be for active return, tracking error should be (2^2+(-4)^2+4^2+(-2)^2)^0.5=6.32
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    Tracking Error

    pls confirm if it is not right methodology to calculate the TE David posted http://www.bionicturtle.com/how-to/article/tracking_error_the_information_ratio_and_the_sortino_ratio
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    RAROC calculation

    thanks David to 1. point yes to 2. point: thnaks for your clarification. it def consufed me as i used to take the interest into consideation.its aligned with CAIA.
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    RAROC calculation

    source Schweser: A RM is asked to estimate raroc of his firm's 200m loan business which has an average IR=10%.All loans have the same Pd=3%, LGD=50% and retention rate =50% Expenses=10m, firm economic cap. of 20m earns 5% anually Whats RAROC should RM estimate; answer: EL=0.03*0.5**200=3m...
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    Shortcut to calculating semi-variance (mean squared deviation)

    a real good example i think it wud be less than 4min as we just ignore any return more than threshold but not forger n is accounted for all returns.. i had this for CAIA L1 lastyear i needed 7-8 mins for the answer...
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    So LTCM is not wrong?

    @Jeff: pls try When Genius failed, from a financial jounalist:-) not sure if it was tru but it was said that GS ppl had viewed and made a snapshot of LTCM position and made a huge a profit out of it...
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    Anyone took CAIA before?

    the material is very interesting L1 ist so easy,i think they just let ppl pass the exam 70%??? i think it will get serious when its 30% L2 is pretty hard you basically have 100questions for 120 mins and 60-70% of calculation..
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