I am sorry to bother anyone by graving this old topic up of its grave! ; ) But I have a question regarding the "unconditional PD" (defined by Hull, the PD for every single period).
I understand the math and somehow ofcourse the concept, but I have difficulties to explain why the...
I have a question regarding LogVaR. I start directly with an example:
LogVar -> 30.6%
LogVar -> -0.35%
From the first Scenario I understand from my Portfolio-Value around 30% is at risk,
The reason why I open this topic is because almost every group which is prep. for p2 is full and therefore impossible to join.
Therefore I am asking who of you would like to join me for studying for FRM p2?
I don't mind if its through whatsapp, GoogleHangouts (preferred), Skype, or even...
But i think CPR% was not given, or was it?
I made it little bit complicated, like 450k - 8k - 411k = prepayment -> prepayment / (450k - 8k) is the CPR% and the transform it into SMM -> SMM * Outstanding? But thanks for your input, maybe it was so easy and i missed the infos :D
i had it difficult with the CPR / SMM Question. ,
In the GARP Books it is missing how it is actually calc. on a example like it appeared in the exam, except the standard formula to measure SMM, CPR and including PSA.
It was like 450K is initial, 8.5k is prepaid by customer and end of month was...
Even though this threat is really old, i have a (hopefully not too stupid) question. The effective Duration, which is afaik mostly used for options on bonds is as following:
(P(Down by 1% yield) - P(upby 1% yield) ) / ( 2 x P x yield change)
in this case i calc. 4,725 Duration.
Why is this...
I have a question and hope that anyone could help me please.
What I find really confusing are two different formulas of calc. storage costs.
What I am used to is: F = (S+U)*exp(rT), where U is (as above already mentioned, the present value of the storage costs.
Then what Ive got is F=...
I had a real tough time understanding the question to calc. how many contracts to hedge a portfolio of 2.8 bil. And then something with the contract size is the portfolio value 10 times the future value of the index.
Normally these kind of questions are really easy, but for me as a non-english...
I also want to express my nervousness in this round. The FRM LvL 1 Exam will be on 18. nov and even though I studied really hard and learned a lot, still I have the feeling that its going to fail. I just don't want to get disappointed at the end.