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Week in risk (March 14th)

David Harper CFA FRM

David Harper CFA FRM
Staff member
Thread starter #1
FRM Exam (week of 3/14)
  • @Kenji identified several errors in the originally published 2016 Part 2 Practice Exam, see https://www.bionicturtle.com/forum/threads/2016-frm-part-ii-practice-exam-q-a.9350/. These were corrected by GARP. I think errors are very instructive, regardless. For example, the practice exam includes the estimation of ES via VaR quantiles.
  • @PortoMarco79 re-asked a question we get every year, basically: given Miller contains Calculus, do you need to know calculus to sit for the exam? I wrote to Bill May, asking him (me) “Especially because the Miller reading utilizes (basic) calculus, we are often asked, Do I need to know any calculus?". Bill replied helpfully (see thread that prompted this question here @ https://www.bionicturtle.com/forum/...ility-functions-miller.6728/page-3#post-40734), emphasis mine:
    "David, This is a not uncommon question for us as well. Let me respond in two parts:
    1) The FRM Candidate Guide describes the general quantitative level of the Exam thusly:
    Q. How quantitative is the FRM Exam? A. The FRM Exam has a quantitative component, but these quantitative concepts are presented in the context of questions that approximate real-world situations that risk managers would face. The level of mathematical rigor of the FRM Exam is consistent with an advanced undergraduate or introductory graduate level finance course at most universities.

    2) Specifically regarding calculus, the FRM Exam does not explicitly require an understanding of calculus and, as a perusal of the learning objectives will indicate, does not test directly on differentiation, integration, or other aspects of calculus. That being said, an understanding of calculus, not to mention matrix manipulation that is typically associated with linear algebra, would likely prove beneficial to candidates as they prepare for the Exam. Many of tools and techniques related to probability, statistics, modelling, and estimation draw on these concepts and the better candidates understand these topics the better prepared they are likely to be. I hope that helps. Bill"
Risk (general risk-related news that I find relevant, or just interesting ... )
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Active Member
@David Harper CFA FRM
Thanks so much for this, I haven't seen you do like this before, (perhaps you did and I overlooked). Nice, very informative 5 Stars!!!

By the way, I had initiated a conversation with you a couple of weeks before, I think, Have a look and tell me what you feel ( I knew that you would be busy, so no problems for the delay;))

David Harper CFA FRM

David Harper CFA FRM
Staff member
Thread starter #3
Thanks @QuantMan2318 for liking the post. I used to curate a collection like this, but I haven't in years. But I might try to keep it up, if there is a benefit (I enjoy it ....). I will try to look at our inbox conversation, but unfortunately I feel like i need to prioritize the public forum posts each day. But I will try .... Thank you!


New Member
David, I downloaded the exam from the GARP's site again, but found that it is not yet corrected. Hope it will be corrected soon.