David Harper CFA FRM CIPM
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David Harper CFA FRM CIPM

David Harper

David Harper CFA FRM CIPM was last seen:
Mar 3, 2015 at 5:39 PM
    1. enna malik
      enna malik
      Hi David, i have a confusion regarding the interpretation of "credit risk" specifically in banking. it is defined as "when the customers unable to meet their obligations it is credit risk for the bank" then how can we measured with the proxy Debt to equity ratio?
      is there any link b/w credit risk (customer default) and solvency risk ( banks default)?
    2. miankhaliq
      miankhaliq
      Dear David,

      Hope you are doing well. I have a question regarding BASEL-II capital charge working. How would we find Capital charge of DEFAULTED EXPOSURES under FIRB. Thank you.
    3. Liju
      Liju
      Under what circumstances do you use the LN(S)+*u-.... formula? Is it for Stock Prices when the question specifies "continuous returns"??
      Because sometimes you just use -Drift*T + (SD(sqrtT)*Z). Is that formula only used on VaR calculations for Returns?
      There are so many different VaR formulae (for options, bonds, stocks etc), I think it would be great if you could list them all down in 1 page for us candidates.
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        This formula: -Drift*T + (SD(sqrtT)*Z) is "Absolute VaR" under an assumption of normally distributed arithmetic returns and is the BEST default for FRM purposes; it often simplifies by assuming drift is zero (e.g., daily equities). To simplify, i'd say the others are variations in the return/price assumption and the burden is typically on the question to establish more complex versions. Thanks
        Nov 13, 2014
    4. Liju
      Liju
      Hi David,
      I have a little bit of confusion with VaR calculations. There are so many variations to it. (FRM Part 1).
      I see that sometimes you use the LN(S)+(u-SD^2/2)T to get the exponent with drift and then you do the regular VaR calculation on that (SDxZ). And then you find the Exponent of the answer to find stock price. You deduct that stock price from the initial stock price (+ drift) to get VaR.
      1. David Harper CFA FRM CIPM
        David Harper CFA FRM CIPM
        Hi Liju, That is true as a calculation, but for practical purposes (FRM P1) it won't enter VaR, but rather in Hull's Lognormal Property of Stock Prices; i.e., it follows from returns that are continuous and normally distributed, and the "geometric mean" is depressed by the SD^2/2 ("volatility") term. But ... in P1 VaR you won't need to worry about it. It's in BSM but VaR is generally of the arithmetic sort
        Nov 13, 2014
    5. vinay kishore kukreja
      vinay kishore kukreja
      Hi David
      I am having serious issue my name on garp I'd is vinay k kukreja
      Whereas my passport name is vinay Kishore kukreja...

      The middle name's initial is used in my garp I'd..
      Could you please help me what I should do..
      I read that if the name isn't perfect . I won't be able to sit for the exam
      So could you help me upon this?
      1. Aenny
        Aenny
        You should need to write to garp's member service e-mail address and a attach a copy of your passport.
        Nov 11, 2014
    6. www173414www
      www173414www
      Hi Dave

      I just would like to thank you for helping me pass my FRM. Yea I mean I have passsed my Part II by luck. And I think I would never have a chance of the luck without your notes. My genuine thanks for your help.
    7. m123mikmik
      m123mikmik
      David - I simply just wanted to say I think the You Tube videos are great. I've been studying and reading all of the material for Level 1 but, let's be honest, it can get DRY! The videos are a great way to learn different pieces of material in short intervals and you make it all pretty interesting (as interesting as some of this material can be! Ha)
    8. ctoye
      ctoye
      Hi David,

      Do the videos for the Part 2 Gregory readings reflect the 2014 curriculum? If not, are they close enough in content to be of help for Nov?

      Btw, I had a great Part 1 showing in Nov 13. Quite a relief to be on question 65 with 2 full hrs on the clock. I found that the practice questions drilled me well on the concepts and fine-tunes to realize the trick questions. Keep up the good work!

      Thanks,
      Chris
    9. KVan
      KVan
    10. anbu.edu
      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
    11. agnese
      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

      Agnese
    12. Alizarr
      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?
    13. Alizarr
      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.
    14. Alizarr
      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?
    15. FrancisCa
      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?
    16. 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.

      Thanks,
      Ravi.
      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
    17. SvenFRM1
      SvenFRM1
      Hi David,
      could you please give me the link where I can find a summary of formulas for FRM Part 1...

      Thanks,
      Sven
    18. TyroneMDaniel
      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.

      Regards,
      Tyrone M Daniel
    19. 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.

      Regards,
      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.

        Thanks!
        Sep 4, 2013
    20. hung152
      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,
      Hung
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