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    Pricing Rule Query

    Dear David Trust all well! I have renewed BT again and looks excellant this time. Can you provide me with a link where I can view or download the Early Bird 1 - 3? I have a doubt non-related to the FRM curriculum and hence couldn't understand where to put up on the forum. I need some...
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    FRM round the corner

    (This is just a copy of the email I had sent across yesterday - would be looking forward to hear from you.) Dear David, Trust all well! It's been almost an year since I last posted any update. Not that it had to do with too much of work, but to some extent yes. After the not-so-shocking...
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    Query - Key Rate Exposure

    Hi David In your video under LO 24.3 Example shown, you have mentioned "security" FV is 0, which is normally the case for "Mortgage Security". In case it was a normal security, the FV should have been $ 100,000 right? Please explain. Thanks, Avi P.S. Is key rate exposures calculated...
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    Query - Duration

    Hi David, Please take a look at the below Question. I have a feeling that I was correct. Duration has no Unit while the Yield should be decreasing with increasing Duration. Only Macaulay Duration has unit. Am I correct on this? Correct me please if am wrong. Question: Which of the following...
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    Query - Cash flow exposure

    Hi David This is from Market Round 3 Question 16. Please check the below and tell me how is this correct? The formula suggest a subtraction of CoGS, Tax & Cash Expenses. But, as per the solution provided in the quiz only subtracted Tax Outflows. Am I right? Question: Assume Motor Inc...
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    Point to Remember 34

    A bank can create an on-balance-sheet hedged position by matching: A) domestic and foreign cash rate exposure on its balance sheet. B) domestic and foreign inflation rate exposure on its balance sheet. C) domestic and foreign market value positions on its balance sheet...
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    Operational Risk (Sample) Questions

    David I shall highlight a few questions over here as and when I solve so that others can benifit from them. These have a probability of being tested as well. For all members: Which of the following are the two risks in implementing technological innovations? A) Discontinuity in...
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    Query - Basel

    Hi David, I was looking for LO 19 in your videos which is there on Page 52 in your Operational Risk Pdf. Can you look into and advise as to where you have covered it in the videos? Thanks very much, Avi.
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    Query - Contractually Promised Gross Return

    Very Good Morning David, Where are you? Am getting all worried in your absense. There isn't anyone to solve my queries anymore :-) This concept was easy including the formula. Just one thing which I was wondering as to why am doing. Why do we have +1 on both the side of the equation? Any...
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    Query - Amaranth Case Study

    Dear David, I found this case study the most interesting one out of everything else. I am waiting for you to come to office and solve my queries. ;-) Curiousity at the peak!!! Tell me something, on basis of your data, experience and understanding, what were the other Hedge Fund Firms doing...
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    Query - Metallgesellschaft

    Good Morning David, Regarding the captioned case study, can you advise as to what kind of fin accounting the germans took up that it could not trace the gains/losses properly? As in, what exactly was the unrealised gain - what could it be that the accountants disregarded or failed to capture...
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    Query - Transaction Cost

    David, As I was going through Naked/Covered position which can be used to generate stop-loss trading strategy, I came across the "Transaction Cost" in red. Different markets have different Transaction charges. How much is it at your end? Is it too high that it impacts the profits to a great...
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    Query - Straddle/Top Straddle Strategy

    Greetings David! Thanks for motivating! I was revising Derivatives last night when I recollected that there was something I wanted to ask during my previous reading. Are these Straddle, Top Straddle, Strangle and the likes used in real-life scenarios as these are bound to create very...
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    Query - Duration based hedging strategy

    Hi David, This is pertaining to the example at 49:51 Minutes of Fixed Income I Video. I solved it and got a 0. I just need to know two things -> # What is the unit of Current Futures Price which is being stated as 98. # How did you arrive to $98,000 Futures Contract Price? I got it as...
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    Query - Basis Risk

    Hi David! Me back again. In your Fixed Income Video 1 at 36:56 Minutes, you have shown as to what happens when the Forward Price at time T1 falls getting the Basis at the same level at Time T0. I got a conceptual query here. What is a Risk Manager's motive here? To simply try and hedge or...
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    Query - Value of Forward Contract

    Hi David Hope you are keeping fine and setting up our CRAM Sessions? ;) In your Derivatives I video under Section "Question Value Forward Contract" at 1:56 Minutes, can you advise me as to why we haven't take the Exponential power as negative as per your formula? Please advise if there...
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    Query - Effective Duration

    Good Morning David, Thanks for the previous explanation. The spreadsheets are providing a very high level of interpretation to the concepts. I have a new query on Effective Duration today. In the Fixed Income Video 1, @ 71.59 minutes, I have understood the concept - but failed to generate...
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    Query - Accrued Interest & Invoice Price

    Hi David Back with another easy query. At 24.02 minutes of your Fixed Income - 1 Video, can you advise as to how you calculated the Full Price as $1020? Also not able to understand the calculation of Full Price at 26:36 minutes. What I mean is - let me know the calculation of either Full or...
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    Query - LVAR

    Hi David, Could really make sense out of the below solution. I couldn't solve it but luckily got the correct answer. Can you please explain why the LVAR formula (considering absolute LVAR since mean is not provided) is not being applied? Question - A $10 MM portfolio has a daily volatility...
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    Query - Parametric Approach

    David, I got the below wrong but am not sure why. I still feel that I am right though the answer says otherwise. Can you clarify? Question - Which of the following gives the lowest weight to more recent data? A) RiskMetrics® model. B) Moving average model. C) EWMA...
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