exam is finished! and thanks for everything!
could i ask something not related to FRM, that is,
I am looking for historical currency option price on the web, but there is not!
where can i find it ??
simple quick question
why is liquidity cost low when the asset is fungible
could you explain it ?
if the asset that i want to liquidate is fungible, the buyer of this asset can choose another asset which is a substitution of mine
therefore, isn't it hard to liquidate? then it...
in 06 practice exam part II, no.82
82. Consider a risky zero-coupon bond maturing in one year. At that time the issuer owes
USD 100 million. The issuer has no other debt and the bond can be priced using Merton's model.
The bond is the only asset of a bank. Which of the following...
this is a question from 06 practice exam part II
79.Which of these transactions will NOT result in a credit loss for Bank A in the event of
default before maturity by Bank A’s counterparty?
I. Bank A buys an ATM (at-the-money) call option on the USD/CHF and the
06 practice exam part II
61. What is the best estimate of the market value of a portfolio of USD 100 million invested in
recently issued 6% 10-year bonds and USD 100 million of long 10-year zero coupon bond if
interest rates decline by 0.50%:
a. USD 219 million
b. USD 195...
question 27, in 08 practice exam part III
27. Which of the following best describes what we would normally expect to see in a seasonal agricultural
market like wheat? Assume “the harvest” is normal and not unusually big or unusually small. Now
consider the following statements about...
practice exam 08 part I number 38.
I dont understand the solution intuitively
Conditional Probability (24 months / not defaulted during first 12 months) =
(45.6% - 21.5% ) / (1-21.5%)
is it bayes theorem?
denominator is probability of nondefault in first year
thanks for quick response! really!
following is a question from FRM HandBook
Assume that a hedge fund provides a large positive alpha.The fund can take
leveraged long and short positions in stocks.The market went up over the
in 08 Practice exam part I, no.36, which is about LVaR
I think the solution has an mistyping
it says, estimating liquidity peice is V * 0.5 ( mean - 1.96sigma)
then putting given numbers in that, i got 244,000 , which is different from 344,000 in solution
that minus should be...
in 08 practice exam part i
no.35 , it's about calculating semi-SD
answer is d.9.08% which is from (12.2%-4.75%) / 0.82
but i'm confused why riskfree rate is used,
normally minimum acceptable return(MAR) is used, isn't it?
question number 33 in practice exam 08 part I
i dont know the terms like front month, front end, short end, front-loaded something like those
because of my poor english.
could you explain about those things??
otherwise i can not even understand its solution
EXAMPLE 12.7: FRM EXAM 1999—QUESTION 61
If all spot interest rates are increased by one basis point, a value of a portfolio
of swaps will increase by $1,100. How many Eurodollar futures contracts
are needed to hedge the portfolio?
a is the answer, which is...
here is an example question from FRM Handbook
a corporate treasurer wants to hedge a July 17 issue of $5 million of
commercial paper with a maturity of 180 days, leading to anticipated proceeds of
$4.52 million. The September Eurodollar futures trades at 92, and has a notional...
in 06 practice exam set I , number 40.
about Geometric Brown Motion.
I know S is lognormally distributed and then ln(S) is normally distributed
how come is dS/S normally distributed?
it says dS/S equals to d ln(S)
is it mathmatically equal?
if i short call option of a stock, which is ATM and its maturity is very short
what kinds of greeks pose the highest risk to my position?
Gamma, of course. is it because i am in short position?
if i long this option, i got plus gamma, then it's not risk, is it?