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Hi Suzanne, Does GARP provide any scrap papers to work on in the exam? Thanks

Hi David, I would appreciate if you can explain this issue: If the company has positive net exposure, (assets higher than liabilities) - depreciation of the foreign currency will be against the bank and increase the exposure. If the company has negative net exposure (assets less than...

Hi David, Can you please clarify the topic of carry roll down: Here we examine 3 possible assumptions made by investors? 1. If forward rates are realized it means that investing in long term bond equal rolling over shot term bonds and the investors are indifferent between the two options? is...

Hi David, Can you please clarify a point regarding the calculation of Var: Var is calculated as: Volatility*Deviate*Value Where the deviate (sigma) is calculated as the distance from the mean. but when calculating Var we ignore the mean(expected return) and we use the value of the portfolio...

Hi David, I would appreciate if you can clarify 2 points in respect to the coherent risk measure: 1. Can you please explain the Monotonocity and translation invariance? 2. ES is sub additive because the expected return will be higher in 3 bonds portfolio than in 2? Based on the example on the...

Hi David, I really need your help is understanding,I was trying to figure out by myself but with no success unfortunately: when a company issues warrants to employees, it gives the employee the right to purchase shares @ a specific strike price. When the employee exercised, basically the company...

Hi David, The formula to calculate the SE is given by: StdDev*SQRT(1/2T). Can you explain what do you mean by calculating the relative error in VAR? Thanks, Orit

Hi David, The exponential distribution is used to model the time we have to wait until the next event. So, if for example x=4 years and Lambda=1% , the cumulative probability is 95.123%, it means that the probability that next event will take place in the next 4 years is 95%. If we use 1-p% we...

Hi David, Can you please clarify a point regarding this question: If the true probability of default is 1%, the entire sample default is n*p it means that since the bonds defaults are i.i.d the average default rate increases when the sample size n increases. In this question the default rate is...

Hi David, Can you please help me to understand the rational behind the calculation, in particular: Why do you divide the annual volatility 10% by five to get the five year horizon? what do you mean by the volatility of the average? (I don't recall from our study notes that we simply divide the...

Hi David, I was really struggling to find the formula for: Cov(G,P)=Cov(G,0.5G+0.5S)=0.5Cov(G,G)+0.5Cov(G,S) Based on the notes: Cov(G,P)=Var(G)+Var(P)+Cov(G,P) Var(G) - is the Cov(G,G) but I don't understand the rest of the formula Can you please explain the rational? Thanks, Orit

Hi, Should we expect more practice questions toward the FRM exam in may 2013? Is the material updated for the FRM exam in May 2013?

hello David, Im studying for the FRM exam part 1, and I would appreciate if you elaborate on the two topics below taken for foundation 1.a: 1. compare and contrast valuation and risk management using Var as an example 2. describe advantage and disadvantage of Var relative to atop-loss, notional...