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    Exam Feedback November 15, 2008

    Hi David! ive passed!!!!!!!!!!!!!!!!!!! thanks for everything,, really! suk
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    Hi, David! 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 ?? cheers! suk
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    Hi. both at-the-point and through-the-cycle have procyclicity effect?? suk
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    Liquidity cost

    hi, 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...
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    inverse floater hedging

    hi, A reverse floater hedges against falling benchmark yields could you explain how it works? thanks suk
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    explanatory power?

    Big thanx! two days ahead! suk
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    Merton Model, and risk capital

    hi, 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...
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    Credit Loss

    Hi, 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 CHF subsequently...
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    question from 06 practice exam

    hi, 06 practice exam part II no.61 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...
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    Hi, short CDS is buying protection? does short means selling? so CDS seller gets premium and risk from CDS buyer that's what I know so far but as i saw your reply then i am getting confused am i wrong?? one more thing, why is it risky that USD depreciation against rngt...
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    contango and backwardation of commodity

    Hi, 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...
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    explanatory power?

    hi, what is explanatory power?? and one simple vocabulary question, the portfolio is unwound -> what is the meaning of unwound ?? quite stupid question,, thanks! suk
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    question about marginal prob of default

    Hi, 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 and what...
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    Portfolio Alpha

    Hi, thanks for quick response! really! following is a question from FRM HandBook EXAMPLE16.5:PERFORMANCEEVALUATION 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 period.Based on...
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    Liquidity Var

    Hi 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...
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    semi standard deviation

    Hi, 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? suk
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    stack-and-roll hedge

    Hi! 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 cheers suk
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    Hedging with Eurodollar futures

    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. 44 b. 22 c. 11 d. 1,100 a is the answer, which is...
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    Duration Hedging!

    hi David, 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...
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    why is asset volatility lower than equity volatility??

    hi David, could you explain about it roughly? holding condition of constant leverage. suk