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1. ### BT Notes on Backtesting VaR

@David Harper CFA FRM As per above I am trying to understand via hypothesis test - 99%, 2 tail test. Please tell me if my understanding is correct? H0 = 0.01*250 = 2.5 exceptions expected Ha = 5 exceptions (let's assume this is the alt hypothesis) 99% 2 tail hypothesis test t-critical =...

@Nicole Seaman the 2 videos on Credit Risk - Gregory have only a few slides that are relevant to 2017. Would these be updated ? Thanks.

Thanks
4. ### Calculate the probability of default, cumulative probability of default, marginal probability of def

Hi @David Harper CFA FRM , This is a new topic added in 2017 - are there any practice questions for the calculations? GARP tends to test more on new topics per my experience. Thanks!
5. ### BT Notes on Backtesting VaR

@David Harper CFA FRM for Jorian's back testing VAR example - what does the pink shaded region signify ? Example - if 99% VAR over 1 year horizon (250 days) is 10 mill, expected exceptions is 2.5 days/ per year (0.05*250=2.5 or 3 approx.). So we expect to lose >10 mill on 3 trading days of...

7. ### FRM Part 2 May 2017 Study Group

Google Group -> FRM Level-2 May 2017 Group Email -> frmlevel2052017@googlegroups.com Send a request and I will add you
8. ### FRM Part 2 May 2017 Study Group

I'm creating a WeChat group - let me know who wants to be added.
9. ### FRM Part 2 May 2017 Study Group

agreed ! Can we do WeChat ? I can make a group..

11. ### November 2016 Part 1 Exam Feedback

Passed Level 1 - Thanks @David Harper CFA FRM for great videos ! Level 2 seems much tougher though :/ nervous ..
12. ### November 2016 Part 1 Exam Feedback

Did anyone else feel that the first 20 and the last 20 problems were a lot easier than the middle sections ? In retrospect I wish I had read the entire paper before starting the exam :( Also, given more attention to hedging with options and less time to Fixed Income ..
13. ### Good Luck on the Exam Tomorrow!!

Hi, Glad to hear that some people found it easy. Personally I found the test to be very lengthy ( my lack of practicing could be a reason) .. though I spoke with 4-5 people after the test and they all seemed to agree with me. I found the GARP and BT practice tests to be most helpful. One...
14. ### Storage Costs Hull Vs McDonalds

Thanks David..this makes sense
15. ### Storage Costs Hull Vs McDonalds

Hi @David Harper CFA FRM , PV = FV / (1+r/m)^m.n ---> isnt this the formula to use for monthly compounding with m=12, n=0.25 ? This gives me a different PV Value :/
16. ### Storage Costs Hull Vs McDonalds

I am getting U = $0.03390 and Fwd Price =$3.04149 :/
17. ### Storage Costs Hull Vs McDonalds

@David Harper CFA FRM In this case - Calculate 3 month fwd price for a bushel of soybean if current spot is $3/bushel, the effective monthly int rate =1% and the monthly storage costs are$0.04/bushel ? Ans = forward price = \$3.2121 how would I solve this ? Thanks in advance :)
18. ### bootstrap/spot/forward rates

Thanks @David Harper CFA FRM
19. ### bootstrap/spot/forward rates

Hi, Is bootstrapping spot rates from T Bond Prices an AIM in level 1 ?
20. ### SWAP VALUATION -FRA

Hi, Trying to understand how to value swap using FRA. In the notes we first calculate continuous fwd rate using the hull equation then convert to semi-annual fwd rate (continuous to discrete formula). Why do we do this? Also, if anyone can explain to me in clear and simple words the different...