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    BASEL III Capital Ratios

    Hi @David Harper CFA FRM. The Capital ratios are 4.5%, 6% and 8% , with CCB its 7%, 8.5% and 10.5%, Now the RWA is 100 and the buffers are 5 for CE Tier 1, 2 for Additional Tier 1, 3.5 for Tier 2 Bank satisfies capital requirements ? We have 4 options. a) Yes, because its Total Capital Ratio...
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    Liquidity Horizon in FRTB - Hull Ch 17

    Hi, Looking at the table of Liquidity Horizons for risk factors, would you say that there is a general way to determine if the LH will be higher for some risk factors than other. some order to remember for the exam like the LH for securitized spread should be lower than the non-securitized...
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    Repo, Collateral, Re-use and Legal ownership

    Hi @David Harper CFA FRM, In 2 separate questions on Gregory's Question Set there is the idea of legal ownership of the collateral and also if its different in case of re-hypothentication (re-use). I just want to be clear of the legal ownership is transferred or not. Question 406.2 Option B is...
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    Calculation on rho in BASEL (Hull reading)

    Hi @David Harper CFA FRM , In the calculation below for rho seem like the formula i rho ~ 0.12(1+exp(-50*PD)) is not being used. I am getting rho = 0.1927.
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    Optimum portfolio and VaR based on MVAR

    Hi @David Harper CFA FRM https://www.bionicturtle.com/forum/threads/marginal-var.6008/ Refer to the post above and your reply below https://www.bionicturtle.com/forum/threads/marginal-var.1365/#post-5001 If the MVAR (X) is greater than MVAR (Y) then in-order to get optimal portfolio increase...
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    If we are using the KMV model and Long Term Debt (LT) / Short Term Debt (ST) > 1.5 then the threshold is equal to ST + (0.7 - 0.3 *ST /LT) as per ppt below. Is this correct or should it be Threshold = ST + (0.7 - 0.3 *ST /LT) * LT
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    Regression beta- Nominal vrs Real

    Hi @David Harper CFA FRM, If the beta is the slope of the line in the figure rise over run Nominal over Real. Why does the formula says like -F^R*DV01^R / F^N*DV01^N, Real/Nominal = beta. Is it because of the -ve sign.
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    Weighted average life (WAL), Choudhary Chapter 12

    Hi @David Harper CFA FRM , Under the Mortgage performance measure and weighted average life the PF (pool factor) refers to ‘pool factor’, which is assumed and is the repayment weighting adjustment to the notional value outstanding (O/S). What does that mean, how do we calculate from the O/S in...
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    Malz Chapter 6. Log Math

    Hi, Anyone who can solve this ? In Chapter 6 page 217 Malz calculates value of spread as Substituting the current market value of the debt (blue), we have [D e^-rt − Put ]e^yt = D ---- A so after taking logarithms, we have y = 1/t log [(1 − e^-rt) D + put] --- B I tried everything...
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    PFE of CDS and Cross Currency SWAP

    Hi David, This question is from GARP sample question 2016. The answer B and D both seem correct. Do you see why answer D will not be correct. The graph D peaks at approx 1/3. PS: Please check GARP sample question 58 in 2016 FRM Part II Practice Exam
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    credit var calculation explaination (garp15-p2-11)

    Hi David, This sample question from GARP, in-order to calculate the C-VaR uses the current value of the Bond In your example you use exp. terminal value of the bond. Here is the explanation from GARP. Do you think they are correct. Rationale: The 95% credit VaR corresponds to the...
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    Risk Management related experience

    Hi, I believe this type of question would have been answered before in the forum. What kind of detail experience does GARP look for when submitting the experience after part 2. The study guide says "two years of risk-related, financial risk management, trading, portfolio management, industry...
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    Tracking error.

    Suppose the daily returns of a portfolio and a benchmark portfolio it is replicating are as follows: Portfolio Return (bps) Benchmark Portfolio Return (bps) Day 1 34 30 Day 2 -89 -87 Day 3 108 102 Day 4 70 70 What is the tracking error over the four day period? A. 2 bps B. 10 bps C. 2.39 bps D...
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    Bond Value Quick question

    Q. The price of a 1,000 par value Treasury Bond (T-bond) with a 3% coupon that matures in 1.5 years is closest to: A 1. 1010.02 A 2. 1011.85 A 3. 1013.68 A 4. 1015.51 The price is calculated as $15(0.992556) + $15(0.98224) +$1015(0.967713) = $ 1011.85 BUT using the bond keys N=3, PMT=15...
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    Duration of the Bond question.

    Hi, I have the following question The table below gives the closing prices and yields of a particular liquid bond over the past few days. Monday's Price - 106.3 and Yield - 4.25% Tuesday's Price - 105.8 and Yield - 4.20% Wednesday's Price - 106.1 and Yield - 4.23% What is...
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    Putting Var to work

    In the study notes of this chapter. Question and Answers 1, page 37-39. The value of the bond is calculated as 1000*exp(-5%*9). I used the bond keys and calculated the PV = 644.60 I got the result as PV*sigma*normal deviate. = 10.51. If the volatility is daily and the VaR required is daily, why...
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    Early start with Bionic Turtle Note for Nov P1 Exam

    Hi, The BT Material is available throughout this year, however I would like to confirm. Is it that we order it and start using for Nov P1 Exam. Thanks in advance for your suggestion.
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    FRM Exam Progress

    Hi, The last date for late registration and extension to Nov 2014 exam is next week. What do you think, how much should be our practice test score (for a full length exam) at that time. 50% 60%.
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    Black-Scholes-Merton Model

    Consider a 145-day put option at 30 on a stock selling at 27 with an annualized standard deviation of 0.30 when the continuously compounded risk-free rate is 4 percent. The value of the put option is closest to: [round d1 and d2 rather than interpolate for N(.)]. PT = [Xe-r (T) × (1 - N(d2))] -...