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    Difference between RAROC and ARAROC

    David, is it correct to say that while RAROC adjusts returns for only non-systemic/firm-specific risk (by deducting the expected loss), ARAROC adjusts for both systemic and non-systemic risk (by also deducting the equity beta)? Thank you!
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    Mark Carey ORR assigned readings

    Has anyone been able to find the 3 Mark Carey ORR assigned readings (from the GARP Risk Institute) online? A search does not bring up anything. Is my understanding correct that the content covered in those readings is exactly what is in Hull Chapters 15 & 16? Thank you!
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    Course Errors Found in 2021 Study Materials P2.T8. Liquidity and Treasury Risk

    I believe this is an error (can someone please confirm?) Reading: Rose & Hudgins Chapter 7 Page: Top lines of page 26 Error: The 4 words with a strike out in these lines should read the opposite. Essentially, if the leverage duration gap is positive, then a parallel change in all interest...
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    Course Errors Found in 2021 Study Materials P2.T8. Liquidity and Treasury Risk

    Reading: Ang, Illiquid Assets (Chapter 13). Page 16 In the third equation, the coefficient on the lagged observed return is missing a theta in the numerator.
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    IMPORTANT PLEASE READ: Publishing Process for 2021

    Quick question - I did not find the notes study notes related to P2.T8 Choudhry on the study planner. Are those posted somewhere else? Thank you.
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    P1 vs L1/ P2 vs L2

    @Nicole Seaman This might be a silly question, but is there any difference between P1 and L1 in the question names? Is it just a name change from 'Part' to 'Level'? In other words, are both P1 and L1 questions relevant for part 1 prep? Thanks!
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    Sampling distribution of OLS estimators

    Thank you David. You're right! I was indeed thinking about distribution of a univariate sample mean. Makes sense that for the regression's slope coefficient, the variance would embed the sigma^2/n term but also include the variance of the explanatory variable.
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    GARP Book 2 EOC Question 9.4

    Hi David, the solution to this problem says that for a test with size alpha, the probability of including a single irrelevant regressor is 1-alpa. Shouldn't this probability be alpha instead, which is basically the probability of making a Type 1 error (reject a true null is equivalent to...
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    Sampling distribution of OLS estimators

    Hi David, Equation 7.11 in the 2020 GARP Book 2 says that per the CLT, the estimate of the slope coefficient (beta_hat) follows a normal distribution with mean centered around the true slope and the variance = sigma^2/[n*sigma_x^2]. If this is true, then why do we assume the variance of beta_hat...
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    Exam Feedback November 2020 Part 1 Exam Feedback

    Thank you! Super helpful. And good luck.
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    Exam Feedback November 2020 Part 1 Exam Feedback

    Thank you...that's exactly my issue with the way the time series chapters are dealt with. Seems a lot of memorizing.
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    Exam Feedback November 2020 Part 1 Exam Feedback

    Thank you to all those who took the exam this weekend and remembered some of the stuff. Good luck to you all! Were there any questions on exotic options? And in statistics, did they test on time series and on the less common distributions (other than binomial, passion, uniform and normal)? Seems...
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    Law of one price

    @David Harper CFA FRM Thank you, David! I understand now why the discount rates are so much more important than the spot rates. The discount rates are unique by maturity, the interest rates depend on the compounding freq. Its a bit discomforting to realize that I picked up this key concept this...
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    Law of one price

    @David Harper CFA FRM I have a question on the Law of one Price. Since the discount factors incorporate the compounding frequency information, a d(1) with annual compounding is NOT equal to a d(1) with semiannual compounding, correct? Mathematically, the first one is 1/(1+r), the second one is...
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    Exam Feedback November 2017 Part 1 Exam Feedback

    It was the upper bound for a European Put. Answer = Kexp(-rt). I think came out to be 64 something. K was 68.