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Recent content by orit

  1. O

    Results for May 2013 Exam Appear to Be Posted VERY Early

    I failed level 1 exam:( my passing score was 3323, this is my first time I took the exam and I was shocked didn't mange my time properly. I'm very disappointed, I need your honest advise if it worth giving it one more chance based on your experience Thanks
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    Scrap Papers FRM exam

    :)
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    Scrap Papers FRM exam

    Hi Suzanne, Does GARP provide any scrap papers to work on in the exam? Thanks
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    foreign exchange eposure

    thanks a lot for your reply, its clear now
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    P1.T4.318. Key rates exposures (Tuckman 3rd edition)

    Hi Suzanne, where can I see the link to the excel sheet? thanks
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    foreign exchange eposure

    Hi David, I would appreciate if you can explain this issue: If the company has positive net exposure, (assets higher than liabilities) - depreciation of the foreign currency will be against the bank and increase the exposure. If the company has negative net exposure (assets less than...
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    carry roll down

    Hi David, Can you please clarify the topic of carry roll down: Here we examine 3 possible assumptions made by investors? 1. If forward rates are realized it means that investing in long term bond equal rolling over shot term bonds and the investors are indifferent between the two options? is...
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    Stress Testing (Jorion's FRM Handbook Q26.14.3)

    Hi David, Here is the question: Philippe Noiroj, the manager of a $150 million distressed bond portfolio, conducts stress tests on the portfolio. The portfolio’s annualized return is 12%, with a return volatility of 25%. In the past two years, the portfolio encountered several days when the...
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    Stress Testing (Jorion's FRM Handbook Q26.14.3)

    Hi David, Can you please clarify a point regarding the calculation of Var: Var is calculated as: Volatility*Deviate*Value Where the deviate (sigma) is calculated as the distance from the mean. but when calculating Var we ignore the mean(expected return) and we use the value of the portfolio...
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    Coherent risk measure

    Thanks a lot David!! its clear now
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    Coherent risk measure

    Hi David, In the following practice question from 20112, the average loss which is 0.5*0+ 0.5*(0.2*10+0.5*18+0.3*25)=9.25M is not divided by the tail, can you please explain why? 30.4. Over the next year, a operational process model predicts an 95% probability of no loss occurrence and a 5%...
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    Coherent risk measure

    Thanks a lot David and Shakti. One more question David regarding the calculation of the ES - I have noticed in some questions that sometimes you divide the average loss by alpha and sometimes you dont, can you please clarify. Thanks
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    Coherent risk measure

    Hi David, I would appreciate if you can clarify 2 points in respect to the coherent risk measure: 1. Can you please explain the Monotonocity and translation invariance? 2. ES is sub additive because the expected return will be higher in 3 bonds portfolio than in 2? Based on the example on the...
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    Warrants Dilusion

    Thank you, David,I'm referring to my initial question: the only thing I can't figure out is why you multiply $1 by 0.83 which is basically the ratio of the existing s/h out of the total equity ( s/h + warrants) Maybe I'm putting too much time and energy to understand it..
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    Warrants Dilusion

    Hi David, I'm referring to the example in the excel files - 4.b.2, in this example you show there is a warrant delusion when the stock price equal to the strike price. Thanks
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