What's new

Search results

  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!
  2. U

    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!
  3. U

    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!
  4. U

    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!
  5. U

    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...
  6. 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!
  7. U

    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...
  8. U

    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...
  9. U

    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...
  10. U

    Treynor measure

    Hi David and Nicole, May I ask why when Treynor measure of a portfolio is greater than Treynor measure of market, then it means there will be positive alpha? Thank you
  11. U

    Forward and Future delta

    Hi @David Harper CFA FRM @Nicole Seaman , I am reading Hull- Chapter 19 Assigned Reading. May I ask why Forward delta is 1 but futures delta is not 1? Since from my understanding, both can be priced using F_0=S_0*e^rT, differentiating with respect to S_0 should get e^rT? Thank you!
  12. U

    American option

    Hi, I would like to ask about GARP Assigned Reading- Hull, Chapter 15 When a stock pays a divided , D , at time n. At the last dividend date before expiration, t_n, the exercised value of the option is: S(t_n) - X If the call option is unexercised and the dividend is paid, its unexercised...
  13. U


    Hi, Below is the question that I came across while reading Part 1 FRM Swap: Which of the following would properly transform a floating-rate liability to a fixed-rate liability? Enter into a pay: A. Foreign currency swap B. Fixed interest rate swap C. Domestic currency swap D. Floating...
  14. U

    Hull, Chapter 7 , Swaps

    Hi, I have question for Hull, Chapter 7, Swaps. I am quite confused about calculating the value of the floating rate bond. Referring to this example: Consider a $1 million notional swap that pays a floating rate based on 6-month LIBOR and receives a 6% fixed rate semiannually. The swap has a...