Search results

Does anyone see the similarities between the 2 sample exams? They seem to be 80% similar to each other to me. Also, does anyone know the difficulty of sample exams and their relevance to actual frm exams?

Hi David, You are doing a great job, replying to each and everyone of us and you should get some appreciation, not only in terms of money. I totally agree with what you said about the illegal copies. It is a problem that is very difficult to cope with. It all comes down to personal ethos...

Dear David, Do you mind elaborating a bit on the CTD Treasury Bonds? I am a student and I am studying FRM with only your materials and I haven't got the industry experience to visualize some of the products and i hope you could help me see them clearer. I do not understand the rationale...

Silver is in backwardation as supply becomes tight. http://www.youtube.com/watch?v=fJPbwnW1z6Y

Hi, Can anyone help me connect the idea that N(d1) is also delta? Thanks a bunch! jk

Technically yes, per AIMs: Hull Chapter 13 "• Explain the lognormal property of stock prices, the distribution of rates of return, and the calculation of expected return. • Compute the realized return and historical volatility of a stock. • List and describe the assumptions underlying...

I'm not the expert but maybe i thought i'd just point out that the equation you have should have read S[i+1] = S * (μ*t + σ*φ*t^1/2) without the 1 in the Drift portion.. Not sure if i'm right but u could try it out..

I'm guessing its portfolio 3. Its just my instinctive answer and my understanding of the portfolio strategy is similar to what a protective put would be..

Hi Quest4FRM, I'm from Singapore as well. How was the turnout like here? What's your background I'm curious to know.. =)

Hi David, Thanks for your explanation once again. fyi, I have not registered with GARP yet as I'm planning to sit for next May's exams. I'm really looking forward to next yr's materials and also, learning more from you through the forums. jk

Hi David, I have a few quick questions on VaR. I referred to the notes: Type: Ex ante Ease of calculation: No Ease of explanation: Yes Aggregation: Yes My question is what is meant by aggregation in this context and why is it 'yes'. Also, what is the reason for 'difficult to...

david, thanks for that very clear explaination. really solved my doubts. just a minor thing i'd thought i'd say regarding the quant notes 2010 pg125. the graphical stegosaurus is a normal distribution but has been characterized "skinny tails". (which partly fueled my confusion earlier)...

Hi eva, yes i guess they were trying to test you on portfolio variance, and yes i did my cov = corr (x, y) * sigma x * sigma y.

Hi guys, I have some burning questions about the subject mentioned above. Firstly, is a normal distribution with kurtosis of 3 considered a skinny or normal tailed distribution? How can i also visualize leptokurtosis as being fat tailed? As df increases or decreases beyond the normal...

Hi eva, I cheated by looking at the answer first =p Weight(X) = 4, Var(X) = Solve for Weight(Y) = 3, Var(Y) = 100 rho = 0.5 So that 4^2 * var(X) + 3^2 * 100 + 2 * 4 * -3 * 0.5 * 10 * sigma(X) = 2700 Then 16sigma(x)^2 + 900 - 120sigma(x) - 1800 = 0 Then went online to solve quadratic...

gosh. this qn is a headache..

Hi Ritesh, I would like to have a take at the question as well. I'm still young in the FRM syllabus and I could need a lot of practice. Anyway, my thought process as I see this question is as follows. The question looks awfully like a binomial distribution to me. It has 10 trials...

David, Thanks for your prompt reply. Anyway I posted the question in retrospect of attempting Qn 4.22b in John Hull's text, where it asked "what is the bond's duration?" My calculations: PV of Bond @ 11% - 86.80 @12% - 85.58 @10% - 92.41 Modified Duration =...

Hi guys, I've noticed Valuation Notes under page 70/146. DV01 = Mac Duration * Price / 10000. Should this read as DV01 = Mac Duration * Price / 10000 (1+y/k) as per the article: http://www.bionicturtle.com/how-to/article/dv01-market/ Another doubt i have would be when asked to...

Hi guys, I wanna ask a simple question regarding VaR. Relative VaR$ = Portfolio value * (volatility * normal deviate) Absolute VaR$ = Portfolio value * (-E(R) + volatility * normal deviate) From what i think i understood, the relative VaR is loss expected to final wealth. Does this imply...