David Harper CFA FRM CIPM
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Sep 25, 2006
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David Harper CFA FRM CIPM

David Harper

David Harper CFA FRM CIPM was last seen:
Apr 23, 2014 at 2:18 AM
    1. anbu.edu
      Hi David,
      I am new to BT so I don't know how to post questions which I have doubts. If I click on the link given in the PDF , it says "You have insufficient privileges to reply here".
      Can you please help me in this regard. Thanks
    2. agnese
      Hi David!
      I have a question about how to observe the default point on the firm's balance sheet.
      According to KMV, the DP is set as STD+0,5*LTD.

      I use "current liabilities" as STD and "long term debt" as LTD. Is that right?
      Can I use "current portion of LTD" as LTD or not?
      (if can help, I use Datastream database to infer these values).

      Many thanks in advance for your help

    3. Alizarr
      3) Hull says a hedge portfolio is hedges against any movement of the underlying price. Doesn't matter how large are the changes in underlying price. I am asked in a question, what is the effect of +/_ 1% and +/-10% on the hedged portfolio. Given what Hull says, would you suggest me to comment on the gamma of the portfolio?
    4. Alizarr
      2) If yes, I believe the portfolio will not be hedged against down price movement of the underlying. Because the long call will be OTM while the future ITM. No payoff for option while the future is ITM and result in profit. Please correct me in i am wrong.
    5. Alizarr
      Hello dear David!
      I am Ali.I am planning to take CFA 2. Now on hedging section, i got stuck!
      Wandering if i can ask you a few questions on that.
      1) Is it possible to have a delta neutral portfolio consisting of positions in long call option and future contracts?
    6. FrancisCa
      Hi David,
      I recently watched a video you uploaded to YouTube called "How to value an interest rate swap". My question about your explanation in the video is how to estimate the LIBOR Yield Curve that you use to get the discount factor for the different coupons maturities. As far as I know, the LIBOR maturities go from overnight to 12-month, so how can I estimate the LIBOR rate for a 18-month maturity, for instance?
    7. Ravi Lal
      Ravi Lal
      Hello David,
      I saw recently at GARP website that the name in the admit card should exactly match with the name in the passport. My name on the admit card is 'Ravi S Lal' whereas my name on the passport is 'Ravi Shankar Lal'.I am afraid as I don't know if I have sufficient time to get this resolved as the exam is on Nov 16th.

      Would be great if you can help me with this.

      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Hi Ravi, Suzanne had to contend with this issue already on behalf of a customer: we corresponded directly with (our high-level contact, who certainly has authority) GARP and she assured us that a middle initial difference will give you no trouble, thanks,
        Nov 12, 2013
    8. SvenFRM1
      Hi David,
      could you please give me the link where I can find a summary of formulas for FRM Part 1...

    9. TyroneMDaniel
      Hi David,

      Greetings from Trinidad & Tobago.

      I am interested in purchasing your Level 1, Tier 1 FRM Preparation material. I requested a discount on the basis of having already purchased preparation material from a competitor. Can you provide some feedback as to when I might receive the code. I also attached a screenshot copy of the GARP invoice.

      Tyrone M Daniel
    10. Royden Pereira
      Royden Pereira
      Hi David,

      I am a FRM level 2 candidate for the November Exam and just currently enrolled for the Tier 3 package. Before joining the course i had gone through a few videos on Youtube (Eg: historical/EWMA/GARCH) which explained the concepts using the spreadsheets. But i cant find such videos available.

      Royden Pereira
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Hi Royden, thanks for your purchase. Volatility estimation is a Part 1. Topic 2 (Quantitative Methods) topic ...
        Sep 4, 2013
      2. Royden Pereira
        Royden Pereira
        Thanks for that prompt reply. David i agree thats a Part 1 topic. But i would like to know where i can view the spreadsheet based video explaination.

        Sep 4, 2013
    11. hung152
      Dear Mr David,
      Could you tell me how to solve the simultaneous equation in Black scholes Merton model to get the "V" and "sigma V" by using excel solver or any other methods. The simultaneous equation:
      VE = V * N(d1) - X*EXP(-r*T)*N(d2)
      sigmaE = (V/VE)*N(d1)*sigmaV
      I am looking forward to seeing your response!
      Thank you so much!
      Best regards,
    12. Yash $$$
      Yash $$$
      Hello David!,

      How is VaR NOT subadditive?
      To calculate portfolio VaR, we would use Portfolio mean & Portfolio standard deviation (which includes effect of correlation between each individual security in the portfolio), thus when we calculate Portfolio VaR it would always be equal or less than the aggregate VaR of each individual security in the portfolio, which satisfies the subadditivity criteria
    13. Q2
      Hi, David!

      Can you help me understand LVaR a little more as I am getting confused between using a 1-tailed or a 2- tailed confidence parameter - what should I use for he VaR and what should I use for the exogenous spread?
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Hi Q2, this has been discussed often in the forum, you want 1-tail for the exogenous spread (just like the VaR, we are only concerned with the adverse widening, not the favorable narrowing). thanks,
        Apr 28, 2013
    14. Tabriz
      Hi David
      Could you please explain also how to scale ES for time ? is it done like Var ? Besides where should I post my usual questions ?
    15. Tabriz
      Hi David,
      Please could you tell me, how we could use ARCH, EWMA, GARCH models on calculating Var and ES. Also how to calculate weights for ARCH and GARCH, and how to find long ran variance? I calculated EWMA in a way that you've done. But I didn't see any materials by you on how exactly calculate the rest. I am thinking on which model (like hist. d-normal or MC) we can implement this volatility estimators.
    16. FinanceBA
      Hi David - Good Evening. Did you guys get a chance to respond my question last week? My question was how long are the topic-wise videos for Part 1 and 2 FRM for 2012/2013? Please let me know since I am more of a videos person and want to enroll soon:)
    17. Ifigeneia
      Dear David, I am sorry to bother you again, but as I am new here I am not familiar with Bionic Turtle yet. When you mean to post it tothe forum, where exactly should I post it? :) Even though I understand your lack of time..could it be possible to have a look at my question? :)
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Mar 14, 2013
    18. Ifigeneia
      Dear David
      I have some questions regarding the forwards on commodities. Could you please help me?
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Hi ifigeneia, can you post in the forum? I will try to answer but honestly I am extremely busy working on study notes and videos currently ... March - May are very busy, but if you post in the forum, I think you'll at least get some help thanks!
        Mar 13, 2013
    19. PL
      Hello David,
      I hope you are OK. I need your assistance regarding the close formula you provide for IRS valuation into the Irate-swap-mcs.xlsx. Could you please provide me a reference?

      Thank you in advance,
    20. HopeToPassLvl2
      Hi David, I would like to ask if you could recommend me a software which can simulate various distributions, given its parameters.

      I know you're very busy, given the amount of traffic Bionic Turtle gets daily. Your reply would be very much appreciated. Thanks!
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