David Harper CFA FRM

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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.

    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,
    Hello David!,

    How is VaR NOT subadditive?
    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.
    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? :)
    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?

    Thank you in advance,
    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,

    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?

    Please advice,
    Hi David, could you help me calculate Incremental Risk Charge in Basel II and Basel III, thank you ( I read somethings on the Internet but I still don't understand)
    David, I had purchased your program with everything but the learning spreadsheets...beginning to regret that. Is it possible to purchase the remaining part with the spreadsheets retroactively and having that expire the same time my current subscription expires?

    Also, I use a Mac with Microsoft Excel...would that hinder any of the functionality of the spreadsheets?
    Mr. Harper, I would like to get some career advice from you . Is there anyway I could PM you?
    Mr. David Harper,
    I have made 3 attempts for FRM Level 1 and i will sit again in upcoming exams of May2012. I have read prescribed books such as Hull and others many times i need topic wise practice questions (alongwith answers) do you have any such type of product ? can u help me out ? . I shall be highly obliged if you kindly reply to my email : [email protected]
    A credit simulation ran for a 15 day period, to calculate capital required to cover the credit risk. I understand an upcoming payment for the out-of-the-money counterparty within the 15 day period, would increase the capital required. However, how come when the in-the-money counterparty makes a payment the capital required also increases? so what would make counterparty exposure decrease in this scenario?
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