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• Hi David,

I am a FRM level 2 candidate for the November Exam and just currently enrolled for the Tier 3 package. Before joining the course i had gone through a few videos on Youtube (Eg: historical/EWMA/GARCH) which explained the concepts using the spreadsheets. But i cant find such videos available.

Regards,
Royden Pereira
Dear Mr David,
Could you tell me how to solve the simultaneous equation in Black scholes Merton model to get the "V" and "sigma V" by using excel solver or any other methods. The simultaneous equation:
VE = V * N(d1) - X*EXP(-r*T)*N(d2)
sigmaE = (V/VE)*N(d1)*sigmaV
I am looking forward to seeing your response!
Thank you so much!
Best regards,
Hung
Hello David!,

To calculate portfolio VaR, we would use Portfolio mean & Portfolio standard deviation (which includes effect of correlation between each individual security in the portfolio), thus when we calculate Portfolio VaR it would always be equal or less than the aggregate VaR of each individual security in the portfolio, which satisfies the subadditivity criteria
Hi, David!

Can you help me understand LVaR a little more as I am getting confused between using a 1-tailed or a 2- tailed confidence parameter - what should I use for he VaR and what should I use for the exogenous spread?
Hi David
Could you please explain also how to scale ES for time ? is it done like Var ? Besides where should I post my usual questions ?
Hi David,
Please could you tell me, how we could use ARCH, EWMA, GARCH models on calculating Var and ES. Also how to calculate weights for ARCH and GARCH, and how to find long ran variance? I calculated EWMA in a way that you've done. But I didn't see any materials by you on how exactly calculate the rest. I am thinking on which model (like hist. d-normal or MC) we can implement this volatility estimators.
Thanks
Hi David - Good Evening. Did you guys get a chance to respond my question last week? My question was how long are the topic-wise videos for Part 1 and 2 FRM for 2012/2013? Please let me know since I am more of a videos person and want to enroll soon
Dear David, I am sorry to bother you again, but as I am new here I am not familiar with Bionic Turtle yet. When you mean to post it tothe forum, where exactly should I post it? Even though I understand your lack of time..could it be possible to have a look at my question?
Dear David
Hello David,
I hope you are OK. I need your assistance regarding the close formula you provide for IRS valuation into the Irate-swap-mcs.xlsx. Could you please provide me a reference?

PL
Hi David, I would like to ask if you could recommend me a software which can simulate various distributions, given its parameters.

I know you're very busy, given the amount of traffic Bionic Turtle gets daily. Your reply would be very much appreciated. Thanks!
Hi David, Could You help me compute a HQM corporate spot yield curve?
Hi David,

I need to buy FRM part 1 material, but i'm confused between tier 2, and tier 3. Tier 3 has learning spreadsheets. Do you have any sample of learning spreadsheet?