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  1. P

    PRM(IA) any added value after FRM

    I've just finished my FRM last June and am certified just before September. Just yesterday I was requested to consider doing PRM. Although I'm keen to get another certification I'm quite hesitant to add this to my list of certifications as opposed to a different credential. Although I'm...
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    CPE requirement for FRM title?

    I'm wondering if CPE is a requirement for you to hold an FRM title. I'm hearing that you don't need to have a Garp membership, however to track your CPE points you do need to have a GARP membership. I'm actually not that clear on what is an is not required to keep your FRM title. //edit: I...
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    Gregory chpt 10: super senior tranches, default/counterparty risk

    Just to check if I understand this correctly. The more senior the tranche the less default risk... the more you have to rely on the counterparty of the cdo to not default? wouldn't these tranches be in a default remote vehicle in the first place? Also, i'm not really clear on why one would...
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    jorion chapter 11 mapping var

    I'm not really comfortable with this chapter (or the previous one although i should be able to cope with that on my own) I'm looking at the various mapping methods... And i'm just a bit confused. For example, The return var is a product of the modified duration and the yield var... how do i...
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    Practice Questions for second half of book 4 (valuation and risk models)

    Are there going to be practice questions on the second half of the book i.e. Caoutte, Servigny, hull (risk management and financial institutions), jorion (value at risk) and the basel excerpt? I'm wondering since this is probably the only book that has a lot of chapters that are not covered...
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    hull 05.11why averaging dividend yield is correct?

    in the question 05.11 the dividends over the months are averaged. However why is that correct? In my calculation i assumed a constant yield of 2 percent and a excess yield of 3 percent for months (5-2 = 3) for months august and november. i.e. my formula was (S0-I)e^(rf-i) "I" was the...
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    Easy way to calculate bondprice (bootstrap) and duration on ba-II

    I'm wondering if there is a quicker way to calculate duration and bondprice (ok maybe bondprice is not that hard). i'm just finding that calculating duration is quite a tedious calculation that is very error prone and i'm just trying to see if there are ways to speed things up and/or make less...
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    hull 21.11

    I'm working out this question with regards to volatility estimation and i'm looking at the sheet. It uses a simple return estimate with the formula (Si/Si-1) - 1. I'm guessing this is something specific to chapter 21 of hull? as chapter 22 is using either ln(Si/Si-1) or Si-Si-1/Si-1. Second...
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    ba-2 error 4 when calculating mean/variance of discrete distribution

    I'm trying to get a hang of the texas instruments ba-2. I was busy with question p1.201.2 and have the following sheet: X Y 0 0.2 1 0.3 2 0.3 3 0.1 4 0.1 so I added everything to the datasheet (2nd + data then X01 = 0, Y01=02, X02 =1...
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    p1.t3.r12 explanation of example page 99

    I'm trying to calculate the example. And I think I have it right. However i don't quite get the right answer as per example. if i take the pv of the yen it's 1109. divide it by 110 then you get $10.08(181818). If you subtract $9.68 i'm getting $0.40 (or if you use the unrounded number you...
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    p1.t3.r12.c6.q4 Effects of Volatility on Duration.

    I'm looking at question 4 of reading 12 chapter 6. if a bond portfolio with a duration of 9.0 years is hedged with futures contracts in which the underlying asset has a duration of only 3.0 years, but the volatility of the 3 year interest rate is greater than the volatility of the 9 year...
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    t3.r12.c3.q5 Why selling short?

    I have a question about the answer given in reading 12 hull chapter 3. (question 5). The question states that a contract has been negotiated to sell one million barrels of oil. If i read it correctly, the oil producer already has an obligation to sell one million barrels of oil (and given...
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    being able to convert t/f/z statistics to probabilities

    Quick question. I was doing some of the exercises from miller chapter 5 (frm chapter 4 book 2). And the first question was to calculate the probability of the population mean being different than the sample mean. in any case. I calculated the t-statistics. which was about 0.53... however there...
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    notation error P1.T1.R2 regarding the variance of portfolio?

    I'm reading p1.t1.r2 which was published a couple of days ago. on the 5th line (the definition of variance of p) i see that the covariance ab is being added instead of multiplied. Is this an alternative calculation or a typo?
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    doing part 1 or both part 1&2 at the same time

    I'm wondering if it is advisable to do FRM level 1&2 in one go. It'll be my first go at this. A few things are unclear. 1. Will my score for part 2 be gone if i fail part 1. (i.e. you have to do part 2 again) 2. Is it possible to learn both parts in one go or will i be sacrificing sleep time...