I'm reviewing the materials not to pass exams anymore but to say something simple in any job interview and sometimes I come across such questions which I apologize in case I'm wasting your time.
Why it's named Expected Shortfall?
Is it because most banks use VaR and since the ES is the avergae...
I just passed P2 thanks to BT of course. Now want to prepare for the job interview for risk or at least audit positions in banks.
I searched the net but it's mostly general articles. I want something more updated and relevant to what people expect from someone who passed FRM but has no...
Is RAROC calculated to accept/reject a project/loan? (as it seems to be)
Or is it that RAROC is set my management to calculate economic capital? (as of last point in page 3 of BT notes for Crouhy Ch 14)
I apologize if it's too naive question.
In BT notes for Hull chapter - Volatility smile, page 7, there are 2 longnormal plots. Just wanted to make sure...the x axis is the exercise price of the options and the y axis is the price of the option, is that correct?
The HS is included in Dowd ch3 and since the next chapter, ch 4 has the title of Non-Parametric Approaches, I concluded that HS is parametric or am I wrong? but then in BT notes of Boudoukh, page 3, in the paragraph of HS Advantages, it's mentioned that HS avoids distributional assumptions. So...
I'm having a hard time with reading the answers whenever the spreadsheets link is provided instead of the the full answer in text & numbers format. Moreover, I really appreciate it if it was possible to use the mathematical symbols instead of words, for instance e instead of EXP. Although I...
In q 57.2, where it says that the bank's 10 day's 99% VaR is 1 million and actual loss exceeded the VaR in 25 out of 1000 observations, does it mean that:
1. Each of the 1000 observation is the [daily loss*10^.5] and the result of this calculation exceeded 1 million in 25 samples?
In the comparison sheet prepared by you guys, the above AIM is excluded in 2014 AIMs, but the questions were not removed from the questions set of Dowd chapter. I guess we don't have to practice and memories this formula any more, right?
In q 70.1, for calculation of ES at 95%, all losses beyond the 95th are included that is 96, 97, 98, 99, 100.
In Kaplan, there are 3s question related to same topic, in 2 of them the 100th is not provided and even in the answer provided for one of them, it's mentioned that for 95%, the number of...
Part 1: Assuming we want to calculate the daily VaR, assuming 252 days:
1. Get the daily P and D for the last 252 days
2. Calculate the daily R by ln[(P1+D1)/P0)]
3. Sort the data according to R
4. For 95% confidence level:
-a: 05% * 252 = 12.6 , round it to 13, add 1 to be 14, we take the...
Hi, the first question in the questions set for "Dowd Chapter 3: Estimating Market Risk Measures : Calculate VaR using a historical simulation approach", seems to be about calculating the return on investment. I'm confused and can't see how the question is related to the topic covered in the...
Hi, I made a list of all practice questions related to calculating required capital for credit/market/operation risks and also economic capital and regulatory capital.
I'm confused regarding the difference between these capitals and whether the methods used in calculating each type of risk...
According to a practice question, it is Assets / Equity but according to investopedia, it is Debt / Equity.
I'm confused, which one should I consider in the exam?
In FRM1, it was S+c = Ke + p
In FRM2, I found 2 practice questions:
-In first question, the question gives the V for Value of firm, F for Face value debt, S for value of equity and then asking for p.
In the provided answer, the c is substituted with value of equity and p is calculated...
I have a practice question about a lookback call in which it's asking to calculate the difference in payoff between fixed and float; in another practice question, it's asking to calculate the payoff for a lookback put without specifying whether it's a fixed or float.
In the put question, how...
Assume the following:
An asset is quoted at 12% annually with continuous rate.
Interest is paid quarterly.
Is this correct for equivalent rate with monthly compounding?
r = 12 * [ e^(.12/12)) - 1] = 12.06%
Does it matter whether interest is paid quarterly, monthly or annually? What about...