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WOW... Thanks a lot..!!

Ok .. now i got it.. thank u so much david.. U rock!!! :)

david, I learnt from ur screencast only that zero coupon bond has highest duration and then order is zero>discount>par>premium. so as per that logic for question below: Q.19 A newly issued non-callable, fixed-rate bond with 30-year maturity carries a coupon rate of 5.5% and trades at...

Hi david, I have a doubt in Q. 5. Sarah is a risk manager responsible for the fixed income portfolio of a large insurance company. The portfolio contains a 30-year zero coupon bond issued by the US Treasury (STRIPS) with a 5% yield. What is the bond’s DV01? a. 0.0161 b. 0.0665 c...

David, can you please answer this one on Monte Carlo too. Should I need to practise more such questions on monte carlo??? Thanks snigdha

Thanks for the reply david. But in your expanation 1st average A = intercept + beta(A with respect to B)* average B is used to arrive at calculation for intercept and then same formula is modified to Regression (A on B): A = 0.2% intercept + 0.9 slope * B. and E[A|B] is calculated...

Q. Consider 2 stocks, A and B / assume there annual returns are jointly normally distributed , the marginal distribution of each stock has mean 2% AND STD deviation 10%. And correlation is 0.9 . What is the expected annual return of the stock A if the annual return of stock B is 3%? a. 2%...

This is from Jorion 5th edition: Q. Let N be n x 1 vector of independent draws from a std normal distribution, and let V be a covariance matrix of market time-series data. Then,if L is a diagonal matrix of eigen values of V,E is a matrix of the eight vectors of V and C’C is the cholesky...

EXAMPLE 15.7: FRM EXAM 1999—QUESTION 82 BankLondon with substantial position in five-year AA-grade Eurobonds has recently launched an initiative to calculate 10-day spread VAR. As a risk manager for the Eurobond trading desk you have been asked to provide an estimate for the AA-spread VAR...

Hi David, Below is the question from Jorion: Q. Consider a portfolio with a one-day VAR of $1 million. Assume that the market is trending with an autocorrelation of 0.1. Under this scenario, what would you expect the two-day VAR to be? a. $2 million b. $1.414 million c. $1.483 million...

David, Can we expect question from Jensen's Inequality in L1 frm? If yes, please share some examples. -snigdha

Q. 15 the table below gives the closing prices and yields of a particular liquid bonds over past few weeks: Day price yield Mon 106.3 4.25% Tue 105.8 4.20% Wed 106.1 4.23% What is the approx duration of the bond? Ans.b 106.3-105.8/106.3/.0005=9.4...

Ohhh.. thats y I was wondering which one to take as q and which one as r...!! My god... such small small technicalities and solid understanding is reqd.. Ur guidance is really very insightful...!!! Thanks a lot. BT rocks!! -snigdha

David, In above mail chain 26. Which of the following loans has the lowest credit risk? Loan 1 Year Probability of Default Loss Give Default Remaining Term in Months whether this question above i.e concept of cumulative/marginal PD of default relates to l1. I thought for L1 the...

Q. If the current USD/AUD rate is 0.6650 (1 AUD=0.6650USD) and the risk-free rates for the USD and AUD are 1.0% and 4.5% respectively, what is the lower bound of a 5-month European put option on the AUD with a strike price of 0.6880? a. 0.0135 b. 0.0245 c. 0.0325 d. 0.0455 ANSWER: C...

Hi David, I wanted to ask out of curosity that why is it that GARp has issued practise question 2010 and practise exam 2007? Why not '08 and '09?? do u have any any specific reason fot it in your mind?? Thanks Snigdha

David, Thanks For the wonderful reply. I wish, I would have known about BT and your wisdom a bit sooner :( Though I understood the explanation but I wanted to ask that whether the formula (1 + riskless_rate)^2 = (1 + risky_rate)^2 * [cumulative prob of repayment + cumulative PD *...

David, I guess , I do not have the rights to view that thread ... Please,if u can copy the same here.I would be very grateful to you. Thank you snigdha

Hi david, Here is a question from 2010 nov FRM practise questions issued by garp Ref is : Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk Q:A risk analyst seeks to find out credit linked yield spread on a BB rated ,2 yr zero copupn bond issued by a...