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  1. Rohit

    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 =...
  2. Rohit

    Important Please Read: Publishing Process for 2017

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

    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!
  4. Rohit

    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...
  5. Rohit

    FRM Part 2 May 2017 Study Group

    https://www.bionicturtle.com/forum/threads/whatsapp-frm-part-2-november-2016-group.9864/ a whats app group is already available, so I deleted my group and joined there. Follow the link above.
  6. Rohit

    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
  7. Rohit

    FRM Part 2 May 2017 Study Group

    I'm creating a WeChat group - let me know who wants to be added.
  8. Rohit

    FRM Part 2 May 2017 Study Group

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

    2016: Part 2 New and Updated Published Materials

    Hi @Nicole Seaman is there a link/button that downloads all the study materials at once ? This feature would make us download/save and print materials quickly. Thanks.
  10. Rohit

    November 2016 Part 1 Exam Feedback

    Passed Level 1 - Thanks @David Harper CFA FRM for great videos ! Level 2 seems much tougher though :/ nervous ..
  11. Rohit

    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 ..
  12. Rohit

    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...
  13. Rohit

    Storage Costs Hull Vs McDonalds

    Thanks David..this makes sense
  14. Rohit

    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 :/
  15. Rohit

    Storage Costs Hull Vs McDonalds

    I am getting U = $0.03390 and Fwd Price = $3.04149 :/
  16. Rohit

    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 :)
  17. Rohit

    bootstrap/spot/forward rates

    Thanks @David Harper CFA FRM
  18. Rohit

    bootstrap/spot/forward rates

    Hi, Is bootstrapping spot rates from T Bond Prices an AIM in level 1 ?
  19. Rohit

    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...
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