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    Exam Feedback November 2016 Part 2 Exam Feedback

    I passed. Congratulations to all who passed. Is anyone able to see the quartile data or the "Exam Results Letter"? (I can't see mine yet)
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    Exam Feedback November 2016 Part 2 Exam Feedback

    What do you mean that "Probability of default is constant."? Don't we have to use different probability of default values (e.g. 35% and 40%) in the calculations above? Or, were you referring to the probability of default values that were given on the exam?
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    Exam Feedback November 2016 Part 2 Exam Feedback

    From what I recall, the problem was something as follows: Cash Flow in Year 1: 1,000,000 with a probability of default of 35%, a recovery rate of 70% and a discount factor of .90 Cash Flow in Year 2: 750,000 with a probability of default of 40%, a recovery rate of 80% and a discount factor of...
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    Exam Feedback November 2016 Part 2 Exam Feedback

    From whom did you hear this?
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    Exam Feedback November 2016 Part 2 Exam Feedback

    I believe the answer to this question was that neither approach relies on a normal distribution. Did anyone else select that answer?
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    Exam Feedback November 2016 Part 2 Exam Feedback

    The threshold amount and the minimum transfer amount are additive. If the threshold is 1.2 million and the exposure goes to 1.3 million and the minimum transfer amount is $200,000, then the exposure would need to be greater than $1.4 million in order for collateral to be posted, right...
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    Exam Feedback November 2016 Part 2 Exam Feedback

    I studied for 4 months (> 300 hours) and found it to be a very difficult exam! I'm hoping for 50% correct...
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    GARP Part 2 Questions 76 and 33 (garp16-p2-76) (garp16-p2-33)

    This makes perfect sense now. Thank you to Matthew Graves and Arnaudc.
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    GARP Part 2 Questions 76 and 33 (garp16-p2-76) (garp16-p2-33)

    Thanks, Nicole. Now that I've read through all of the thread you provided and other associated threads, my question is now: When do you use each of the following? Are there certain trigger words we should be looking for? [1– exp(-λ * time_2)] - [1– exp(-λ * time_1)] vs. ( [1– exp(-λ *...
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    GARP Part 2 Questions 76 and 33 (garp16-p2-76) (garp16-p2-33)

    Question 76 on the 2016 FRM Part II practice exam: A major regional bank has determined that a counterparty has a constant default probability of 5.5% per year. What is the probability of this counterparty defaulting in the fourth year? The probability of default in year 4 =...
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    Kendall Tau (example)

    Thank you, David. Yes, I see 7 concordant pairs and 3 discordant pairs. Given the following: (C - D) / (C + D) 4 / 10 --> 0.4 Thanks again.
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    Kendall Tau (example)

    I'm interested in solving for Kendall Tau. Can someone help me with this? The rankings for some stock returns are: X Rank..... Y Rank 1.................... 2 2.................... 4 3.................... 1 4...
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    Z-Score Formula

    Hi All, I have a question about the formula for Z-scores. I've seen the formula as: a) Z-Score = (observation - mean) / standard deviation and as: b) Z-Score = (sample mean - population mean) / (standard deviation / SQRT(sample size)) Thus far, I've been using formula "a" above. When...
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    Hull - Swaps Example 10.1 in text

    Hi David - what is the formula for the discount factor that you're using (in cell F6 of the video that you posted)? Thanks!
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