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    Exam Feedback May 2017 Part 2 Exam Feedback

    Level 1 passed Nov 2016,1,1,2,2 prep time was 3.5 weeks. Very intense, 6-7 hours a day. Will not repeat it but it is possible. All BT. Level 2 passed May 2017, 1,1,2,2,2 prep time was more this time, about 2.5 mths, 4 hours a day average. 90% BT and 10% GARP 1 quick revision for both times...
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    GARP.FRM.PQ.P2 Important Difference in Information Ratio Formula (garp16-p2-72)

    Hi David, On Grinold standard deviation (std) of the alphas = Residual Risk (volatility) * Information Coefficient (IC) Let's take a portfolio of 300 stocks. What is Residual Risk (volatility)? Is is an average of each stock's tracking error? Sum of 300 tracking errors/300? What is this the...
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    VAR using POT

    Hi David, So Dowd is using a 2% exceedence and 4% quantile to calculate the 99.5% VAR? So let's say there are 100 observations, he picks 2% loss as a threshold, he sees that 4 observations exceed the threshold (4%) or N(u)/n His boss say hey what is the 99.5 %var? The worst (1) observation is...
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    Effect of time to maturity on sub bonds

    seems from the graph like the value actually increases then decreases, I am guessing it is due to the PV effect overwhelming the optionality. How should we interpret it? Thanks.
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    Stulz Ch 18 - Total Return Swap

    So in your notes, page 17 (on Stulz), it should be "B" (instead of "A") gets $20 mln...?