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Recent content by pint0

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    marginal PD

    Hi, 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...
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    LogVaR conflict?

    Hi everyone! I have a question regarding LogVaR. I start directly with an example: Szenario 1: Mean: 10% StdDev: 20% CL: 99% LogVar -> 30.6% Szenario 2: Mean: 5% StdDev: 2% CL: 99% LogVar -> -0.35% From the first Scenario I understand from my Portfolio-Value around 30% is at risk, but I...
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    Exam Feedback November 2018 Part 2 Exam Feedback

    I submitted on 5th of January and still no reply (I am from Germany)
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    FRM p2 Nov 18

    Hi! 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...
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    Exam Feedback May 2018 Part 1 Exam Feedback

    passed: 3,1,3,2
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    Exam Feedback May 2018 Part 1 Exam Feedback

    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
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    Exam Feedback May 2018 Part 1 Exam Feedback

    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...
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    Duration of the Bond question.

    thank you so much! This is really helpful!
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    Duration of the Bond question.

    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...
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    Exam Feedback November 2017 Part 1 Exam Feedback

    I failed with 1, 4, 2, 3 - FRM / QA / FMP / VRM, congrats to who passed : )
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    Storage Costs Hull Vs McDonalds

    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=...
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    Exam Feedback November 2017 Part 1 Exam Feedback

    You can find it in the GARP and Schweser Books "Insurance Companies and Pension Plans". I think it was book 3: financial markets.
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    Exam Feedback November 2017 Part 1 Exam Feedback

    I rely on this: I dont see why it has to be devided. So i took the "closest" value to the ULp.. But not sure. I was really confused and calculated it multiple times.
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    Exam Feedback November 2017 Part 1 Exam Feedback

    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...
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    FAQ Before Exam Pre Exam tensions...

    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.