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    Exam Feedback May 2018 Part 2 Exam Feedback

    Me too. Submitted just after results. All done!
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    Exam Feedback May 2018 Part 2 Exam Feedback

    The Garp questions were annoying because: 1. There was nothing on current issues. I almost forgot to revise this! 2. Errors in the answers (vvv annoying!), 3. Past papers were largely copies of previous years. It would have been fairer to have had more different questions to get experience on...
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    Exam Feedback May 2018 Part 2 Exam Feedback

    Just wanted to say I passed both with BT only (and YouTube). I started part 1 with the books, got as far as CAPM and was lost. I am an accountant by background, but have more and more risk mgmt exposure in the job. In the early days I sat on mathsisfun to redo basic algebra and learn what e was...
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    Exam Feedback May 2018 Part 2 Exam Feedback

    Passed 1111 Thanks again to David, Nicole and the BT team, which helps make dreams come true! And thanks to the forum participants. Without you guys dreams wouldn’t come true. I salute you all and wish you all the best. A virtual year together and well worth it. All the best, Luxsns aka Jonathan A.
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    CDS - Bond basis factors : confusing impact

    Hi David, In which category would the bond squeeze go? I don’t see it mentioned? The closest is perhaps shortage in cash market, but this suggests positive basis? I thought Gregory says this is negative? Thanks for clarifying!
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    Tuckman's three step binomial

    Hi David, Just to double check, I get how the 3 equations can be used to solve for (q), but this requires us knowing (p) i.e. .8024 and .1976. How are these (p) values derived before we then get to the (q) values? Thanks
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    Win prizes for forum participation!!

    Hi Nicole, Thanks! Amazon gift card is excellent. Kind regards,
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    Difference between Marginal and incremental VAR

    Thanks. I have a mental block about that one... found a simple example as well in the Jorion qs. This is the property where the multiplier (weight) jumps out. Answers: 2.1. C. 1.25 Beta (USD, Portfolio) = Covariance(USD, Portfolio)/Variance(Portfolio). Covariance (USD, 0.5*USD + 0.5*EUR) = =...
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    Difference between Marginal and incremental VAR

    Hi David, A quick maths/ covariance properties question on how covariance(x,p) is derived. I get confused with how we square weights in the portfolio variance formula, but do not do this in the covariance (i,p) term i.e. weight(x)*covar(x,x) + weight(y)*covar(x,y). Can you point me to the right...
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    RWA

    Thanks David. I can see that I needed to bracket everything apart from the counterparty rating (0,5).
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    capital conservation Vs countercyclical buffer

    Hi David, I am glad I no longer work for a bank because these %s are driving me crazy... Can you check my logic please: 4.5 % mandatory equity/"core" + 2,5% mandatory CCB = 7 %. Both come from the same capital sources i.e. common equity and retained earnings. HOWEVER, the CCB by definition is...
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    RWA

    Hi David, I am struggling with Hull's own question. For (b) and (c) I get: Max(3.5m,0) + 0,5 (corporate) * 0,005 (4 year maturity IRS) * 100m notional = RWA = 75m Max(1m,0) + 0,5 (corporate) * 0,10 (6m commodity) * 50m notional = RWA = 3,5m Can you help me understand where I am going...
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    Win prizes for forum participation!!

    Thanks Nicole and David. An amazon voucher would be excellent ! Luxsns ;)
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    Delivery squeeze

    All, this is an excellent thread (thanks!) Delphi looks like an interesting case (2009) around short squeeze https://ftalphaville.ft.com/2012/01/05/779501/why-do-they-exist/ I understand CTD to give a benefit to the CDS holder (insured) in that on default s/he can deliver a variety of bonds...
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    Spectral Risk Measure

    Hi David, Can you share a spreadsheet (if you have one!) showing how the 2 bonds combine? Thanks
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    Copula functions (Meissner)

    Hi David, I am unclear on how deep we need to go to cover the GARP requirements on the Gaussian copula function (e.g. 505.3). Also, in trying to get some depth, I wanted to clarify this narrative. I am sure I have gaps in stringing it together. In terms of building blocks, I have seen a single...
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    Win prizes for forum participation!!

    Hi Nicole, me too! thanks, LuxS
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    Short Equity T + long Mezzannine T (correlation impact?)

    Just reposting this article again that explains well the hedge fund exposure http://web.stanford.edu/class/msande247s/2008/first%20week/WSJ%200912%202005%20How%20a%20Formula%20Ignited%20Market%20That%20Burned%20Some%20Big%20Investors.pdf
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    Tuckman's three step binomial

    Thanks both. I am not sure if my algebra skills will be fit for purpose in the exam (or out of the exam!) to create and solve for 3 equations in the exam! :-)
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