David Harper CFA FRM
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Nov 30, 2015 at 10:30 PM
Sep 25, 2006
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David Harper CFA FRM

David Harper CFA FRM (test)

David Harper CFA FRM was last seen:
Viewing latest content, Nov 30, 2015 at 10:30 PM
    1. Annushka
      Hello David,
      what do you think about the testability of Basel I, II and Solvency II since the regulations are obsolete?
      1. afterworkguinness likes this.
    2. Srikanth thunki
      Srikanth thunki
      What is consistency for Covariances
      How should be interpreted
      1. marko09
        I am madhav

        For interpreting of covariance i can say thst , if you are analysing the portfolio with covariance of two assets then negative co variance between two assets or less can help you to reduce your portfolio risk called beta.

        but let see what sir reply....
        Nov 5, 2015
    3. Dumisani
      Dear David Harper, l work in an insurance brokerage company (Accounts Managers) in South Africa and l am interested in studying for FRM qualification but l am not sure if the knowledge l will acquire will help me much in the insurance brokerage firm.

      Kindly advise about this qualification in an insurance brokerage industry?
    4. Braham
      hi david i have 3 urgent question for kind reply pls :-
      1. Are formulas provided in the frm exam level 1 booklet?
      2. If yes what are those formulas?
      3. IN your answers to the question i notice that u use exp :- example $ 52 * exp (14%-0.5*36%). how do we find exp as in the financial calculater using the hp 10bll+ financial calculator?
      1. Dipuo and John.Lester.Third like this.
    5. Rodri
      Hi David
      I want to know if the backtesting of the EWMA should be One or two tails test. In case it can be any of the two options, I would like two Know how to make a one tail test.
    6. 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)?
    7. 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.
    8. 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
        David Harper CFA FRM
        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
    9. 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
        David Harper CFA FRM
        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
    10. 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
        You should need to write to garp's member service e-mail address and a attach a copy of your passport.
        Nov 11, 2014
    11. 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.
    12. 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)
    13. 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!

    14. KVan
    15. 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
    16. 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

    17. 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?
    18. 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.
    19. 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?
    20. 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?
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