Recent content by secondtimearound

Cleared part 1 too!! THANK YOU BT!! The material helped tremendously!!!!

One of David's mock exams has a similar practice question.

@Naseer For #2, the question asked to calculate a 100 day historical 95% Var and then provided additional losses for 4 days..when you plugged those in the order (descending order of loss), in the latest 100 day loss, the (previous) 95th day observation (of 25% of so) got kicked out. so the...

@Roshan Ramdas I hadnt read the note that you did, so I didnt think that question was confusing (!) and selected the second last day which is when the margin fell below the maintenance margin. Perhaps @David Harper can comment on this one?

@Jo_ @Roshan Ramdas Thank you for the feedback. Looks like i definitely missed a couple of observations there!

David ..first of all thank you for your comprehensive material. It made my testing experience so much better (than my first time)! Here are a couple of questions that I thought were new. 1. In the EWMA model, we were asked to calculate the weight of a return for 5 days, given lamda^T=1/2 where...

Hi Nicole..is the following chapter in scope for FRM 2014? It mentions in the notes (Appendix in R6.P1.T1.Stulz_46_49_v5) that it was discontinued for FRM 2013: Stulz, Risk Management & Derivatives, Chapter 3: Creating Value with Risk Management