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Recent content by uness_o7

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    FAQ Before Exam What is the pass rate for the FRM?

    Hello @David Harper CFA FRM , @Nicole Seaman, Any news on the pass rate for November 2017? Thanks!
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    Exam Feedback November 2017 Part 2 Exam Feedback

    Passed part 2 (quartiles: 1,1,1,1,2) thanks to BT :)
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    FRM Challenge - free 100 question test

    Hi @RiskManager316 , Is this quizz targetting level I or level II? Thanks!
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    z-score calibration (adjustment)

    Hi @David Harper CFA FRM , One formula I am struggling to understand is the adjustment to the z-score to account for the costs involved with the type I and type II errors ( => opportunity cost vs. LGD) in De Laurentis - Ch3 (Ratings Assignment Methodologies) pp 59 and 60. ln(q(solvent) *...
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    Win prizes for forum participation!!

    Hi @Nicole Seaman , Thanks for this great news before the exam :) I'll have the Amazon gift card please. Thanks!
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    Exam Feedback May 2017 Part 1 Exam Feedback

    Me too, I was puzzled as all the proposed answers were below 70 or so, which is around what I got for one of the two loans. Since the given correlation is positive, there is no way the answer could be bellow this level. I think it's a typo on GARP's side and the correl should've been negative...
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    Exam Feedback May 2017 Part 1 Exam Feedback

    Couldn't agree more with your point! After reading some question you see how to solve it but have to skip it because it'd take too long to do the calculations. The American put valuation with 2 steps binomial tree for example, but I also remember questions about the unexpected loss of a...
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    Explanation needed for Tuckman's Partial 01s exposure.

    Hello @David Harper CFA FRM , Could you provide some clarification on this topic: difference between KR01 vs. partial PV01. What I understood is that the KR01 is obtained by shifting par yields rather than "market" rates (e.g. 5y swap rate in the market, that can be above or bellow par). - Am...
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    R16.P1.T2. Hull - expected value of u(n+t-1)^2

    In Hull - Risk Management and Financial Institutions, it is stated, in page 222 (10.10 using GARCH(1,1) to forecase future volatility), that: "the expected value of u(n+t−1)^2 is σ(n+t−1)^2". Is this something obvious? Can anybody explain why this should be the case? Thanks!