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  1. U

    FRM Practice Exam Part II Nov 2017

    Hi @David Harper CFA FRM @Nicole Seaman , Can explain to me about this question? I don't get the answer, can explain to me please? Thank you so much!
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    CIR Model, Tuckman, Chapter 10

    Hi @David Harper CFA FRM , I was reading CIR model and found yield volatility and basis point volatility terms confusing. May I ask what is the difference between these two? What is yield volatility by definition and what is basis point volatility also? Thank you! Appreciate your help!
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    Relationships between default probability and VaR (Malz,Chapter 9)

    @David Harper CFA FRM Can help with this question? thx!
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    Gregory: CVA

    Hi @David Harper CFA FRM , May I know why credit value adjustment will be lower for an upward-sloping credit spread curve compared to downward sloping credit spread curve? Thank you!
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    Gregory, Chapter 8 (PFE)

    Hi @David Harper CFA FRM and @Nicole Seaman , May I ask why swap is most likely to results in a peaked shape for the exposure profile represented by potential future exposure? Thank you, appreciate your help!
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    Relationships between default probability and VaR (Malz,Chapter 9)

    Hi @Nicole Seaman , @David Harper CFA FRM , yeah, appreciate the post above, I read that before. However, my question is with regards to VaR instead. Any intuitive way to explain? Thank you!
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    Relationships between default probability and VaR (Malz,Chapter 9)

    Hi @David Harper CFA FRM , While holding correlation constant, may I ask why increasing default probability will decrease VaR for the junior tranches and increases VaR for the senior tranches? Thank you!
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    Basket Tranches value and risk

    @David Harper CFA FRM Came across this post while studying. May I ask how would you explain this dynamic: Higher default correlation decreases the risk of the junior tranche. For my understanding, "higher default correlation increases the risk of the senior tranche", I explain using this...
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    Topic: Assessing the quality of risk measures

    Statement 1: A common trade during 2004 and 2005 was to sell protection on the equity tranche and buy protection of the mezzanine tranche of the CDX.NA.IG index. Statement 2: The trade was long credit spread risk on the equity tranche and short credit spread risk on the mezzanine tranche. Hi...
  10. U

    Interest rate dynamics of firm in financial distress (Vasicek model)

    @David Harper CFA FRM can help me with this? Thank you!
  11. U

    Interest rate dynamics of firm in financial distress (Vasicek model)

    Topic: Credit Risk and Credit Derivatives May I ask why when interest rate volatility is high, the debt values are less sensitive to changes in interest rates? Thank you!
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    Exam Feedback November 2017 Part 1 Exam Feedback

    @Nicole Seaman @David Harper CFA FRM Thank you for your help. I passed with 1112 with 3 weeks of intensive study. Wont be so last minute for part II already.
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    Exam Feedback November 2017 Part 1 Exam Feedback

    @annmohankunnath just logged into GARP and just you see your results
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    Exam Feedback November 2017 Part 1 Exam Feedback

    yeah probably forget the weight lol . thx!
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    Exam Feedback November 2017 Part 1 Exam Feedback

    I would also like to know how to calculate the Unexpected loss question,I also got 137 according to formula. Sqrt(UL_1^2+UL_2^2+2*corr*UL_1*UL2) but there was no answer.
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    Exam Feedback November 2017 Part 1 Exam Feedback

    There was one question that I feel not right. "...Sell call options to purchase ..."? Does this make sense?
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    GARP Practice Exam 2017

    Hi David, This is Q40 From GARP 2017. 40. A portfolio contains a long position in an option contract on a US Treasury bond. The option exhibits positive convexity across the entire range of potential returns for the underlying bond. This positive convexity: A. Implies that the option’s value...
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    GARP Practice Exam 2017 - Q36

    Hi David, This is GARP Practice Exam 2017 Q36. Bank A and Bank B are two competing investment banks that are calculating the 1-day 99% VaR for an at-the- money call on a non-dividend-paying stock with the following information: • Current stock price: USD 120 • Estimated annual stock return...
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    Barbell and Bullet Strategy- Chapter 4 Tuckman

    @David Harper CFA FRM Thank you David, it is clear when I draw the curves myself. May I clarify when you are talking about short convexity, are you referring to negative convexity where when yield increase, duration increase, the graph will look like y=x^2 where x is positive?
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    Barbell and Bullet Strategy- Chapter 4 Tuckman

    Hi @David Harper CFA FRM , May I ask why when manager believes that rates will be especially volatile, barbell portfolio would be preferred over bullet portfolio? As I know that barbell portfolio has greater convexity? then it means that price changes will be larger. But if thats the case, the...
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