What's new

Search results

  1. M

    Exam Day Tips

    @kevinyuen When you sit for the exam you will be given an exam booklet that contains questions and an answer sheet where you need to mark with HB/Soft lead pencils. Now the weird thing that GARP does with the answer sheet is that there is an identical answer sheet attached to it (which I...
  2. M

    FRM Part 2 last week review: Op Risk Priority

    Hello All, As we now approach the "LAST WEEK" of our preparation and gear up for the exam, I would like to take expert opinions from you all in Operational risk topic prioritization. What do you suppose would be a good estimate of ratio ofBasel 2/3 readings to entire Op Risk topic. Considering...
  3. M

    VAR analytical methods: Clarification

    hi @David Harper CFA FRM CIPM Following ais a question from section on Portfolio Analytical methods P2.T8.2. 2.2. A $10 million portfolio is equally invested in two currencies: $5 million in Swiss francs (CHF) and $5 million in Japanese yen (JPY). The volatility of CHF is 10%; the volatility...
  4. M

    Tranching Numerical

    Hi @David Harper CFA FRM CIPM Thanks for the explanation On my final review now :) Here's a short doubt on a schweser question Which of the following is the typical way an asset manager employs interest rate swaps in subprime securitized pools? A) Long-term, receive fixed swap. B)...
  5. M

    Tranching Numerical

    Hi @David Harper CFA FRM CIPM Following questions are a part of 4 questions from Structured finance BT 130.1 For these first four questions, assume a firm issues only three capital claims: zerocoupon senior debt with face value of $300 million; zero-coupon junior debt with face value of $500...
  6. M

    VaR calculation: Short doubt

    Brilliant!! Thanks man
  7. M

    Portfolio credit risk :Malz

    Hello @David Harper CFA FRM CIPM I have started revision on the Credit risk part and went through one Bionic T question. Was sort of perplexed . Please help me understand the stuff Reading is Credit default swap Assume a protection seller enters into a senior basket CDS, which in addition to...
  8. M

    VaR calculation: Short doubt

    Hi @David Harper CFA FRM CIPM I came across the following question Tim Jones is evaluating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B has...
  9. M

    Basel 2 Question(Securitization)

    Thanks @David Harper CFA FRM CIPM On another note there is a question from P2.T5.17. Lookback options Are the following statements about lookback options TRUE or FALSE: 1) The payoff of a fixed lookback requires a MAX() function but the payoff of a floating lookback does not need MAX() Your...
  10. M

    Basel 2 Question(Securitization)

    Hi @David Harper CFA FRM CIPM Came across the following question from Scheweser The standardized approach to estimating the risk arising from asset securitization: A) requires a reduction of capital for unrated positions. B) is more commonly known as the external Ratings-Based Approach (RBA)...
  11. M

    FRM Level 2 hovering over!!

    FRM Level 2 hovering over!!
  12. M

    Binomial interest rate tree to calculate market price

    Helllo @David Harper CFA FRM CIPM I quote your question from the reading P2.T5.40. Replicating callable bond 40.1 Assume the market six-month and one-year spot rates are 2.0% and 2.2%, respectively. Assume, per Tuckman's two-step binomial interest rate tree (i.e., each step is six months)...
  13. M

    Backtesting VaR Calculations

    Thanks @David Harper CFA FRM CIPM I wish to clarify one thing with you. Does Probability of Type 1/Type 2 error decrease or increase as we increase the confidence level. My reasoning(very shaky, no foundation): Since on increasing the confidence level the no of exceptions permitted under the...
  14. M

    Backtesting VaR Calculations

    Hello @David Harper CFA FRM CIPM I am really struggling understanding the math behind the folowing BT Backtesting calculation problems. At current, the Basel II IMA green zone refers to four or fewer exceptions, the red zone refers to 10 or more, and the yellow zone refers to five through nine...
  15. M

    Portfolio credit risk :Malz

    Hi @David Harper CFA FRM CIPM There is a question in Scheweser as follows Suppose a credit position has a correlation to the market factor of 0.0625. What is the realized market value used to compute the probability of reaching a default threshold at 99% confidence level? Now the solution as...
  16. M

    Market risk: VaR calculations (Negative losses)

    Hi @David Harper CFA FRM CIPM Thanks for the response. I got your point! One more thing related to market risk Ch: The art of term structures models: drift Doubt related to model 1,2 Model dr= sigma *dw As per Schweser if dw= 0.2, sigma =1.2% then dr= 0.24% Model 2 Bionic turtle r =4%...
  17. M

    Market risk: VaR calculations (Negative losses)

    Hi @David Harper CFA FRM CIPM & fellow Bionic Turtlers :) I came across a question on simple VaR calculation. The biggest challenge is interpreting the answers and calculation is quite simple Q Mean 20 Mn$, volatility 10 Mn$. Normal VaR calculation at 5% significance 1) 5 % probability of...
  18. M

    2014 FRM Publishing Calendar

    Hi @David Harper, CFA, FRM, CIPM A few days back we had a conversation related to inclusion/deletion of certain topics from FRM L1 AIM statements. I have put together an analysis comparing and contrasting the changes between 2013-2014 AIM Statements. As a token of appreciation I would like to...
  19. M

    Comparison of AIMs 2014 vs 2013

    Is the "Delineating efficient portfolios" topic from Book 1 completely deleted? I don't see any mention in AIM statements
  20. M

    Not cleared Part 1

    Hi @Kris RK We have started a blog here especially for candidates taking their Level 1 in May'14. We will be updating content on a weekly basis including study material, videos, prioritization, test-taking tips etc. Please take some time out to read this and spread the word among candidates...