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Hi djh, Thanks for looking into it. Yes I ended up wearing my wife's watch on my wrist...LOL. But again, it really depends on the person as i'm not the only one with watch on desk, i just didnt want to point out At the spot because I don't want to bring disruptions to others. Hope I don't have...

Just hope that this thread serves as a lesson learened for other candidates. I think they allowed watch worn on your wrist.

It's a just regular analog watch. Nothing audible. I don't think there was a big clock on the wall at my exam site unless I missed it. I agreed with Addy. This is not the first time I'm taking an exam and none of previous ones had any issues. The funny thing is for P1, the exam site EXPLICITLY...

Sat for P2 today at the Javits center, NY. To keep track of time, I brought my wife's watch with me to the exam today, which I left it on the table. Halfway through the exam, I was told to put away my watch. How ridiculous! I had the watch with me on FRM P1 (that was in May and I actually...

I agree with David and MaNi but I also think it also depends on the person's background. I found CFA Level 3 very difficult because it's essay type question and during the course of study, you'll find that there's no black and white answers (e.g., IPS/determining someone's risk tolerance, and...

Hi David, With regard to your chart: http://learn.bionicturtle.com/images/forum/0911_defaultcorrelation.png I understand that lower correlation is beneficial to the senior/Nth-to-default tranches. What about the # of credits (n)? If n increases, is it good or bad for senior/Nth to default...

David, Glad that I found this page. I was really confused with marginal PD vs. conditional PD. Can you help clarify my understanding below? PD = 1 - (1+rf)/(1+y): This is a marginal PD in year 1? PD = 1 - (1+rf)^2/(1+y)^2: This is a marginal PD over two years? PD = 1 - (1+one year...

Hi David, In contrast to the Merton model (which naively assumes single bullet debt structure), KMV uses linear combination of short term and long term debts. My question is, does this make the KMV model assume 2 default dates? KMV still uses the BSM formula, which is a pricing model for...

Hi David, Thanks. Just to be clear: 1. OpVaR including EL = absolute OpVaR = we simply rank the loss distribution and find the VaR. 2. OpVaR excluding EL = relative OpVaR = we need to take an extra step and calculate EL and subtract it from the absolute VaR in step 1. Is my understanding...

Hi David, The link you provided above is no longer valid. Can you provide valid link? Given the inconsistency (see http://forum.bionicturtle.com/threads/question-40-var.3522/#post-9489), I would like to know the BEST way to answer this kind of question on the actual exam: including or...

Hi David, It's from GARP 2007 Practice Exam Q#106. Thanks.

I have exactly the same question!

I did not get 2.733 either. I got 2.727. https://www.dropbox.com/s/t6110d97nu2f6tt/VaR%20Mapping%20Jorion%2011-2.xlsx

Hi David, In your T5.c video there was an example on mapping a two-bond portfolio where you mapped the duration to 2.73 yrs. Can you clarify that the 2.73 yrs is the Macaulay duration (i.e., the column should be labeled Macaulay Duration)? I am still very confused with which (Mac or Mod)...

I think the first method is correct and more intuitive (but I could be wrong), i.e., what could go wrong if you do it year by year? The difference between the 2 methods seems to come from the usage of recovery rate (or LGD). The first method explicitly uses the recovery rate twice: in year 1...

Hi Troubleshooter, Thanks. I understand that "Distance to default is how many standard deviations (asset volatility) is the final asset value is from the default point". The Moody's KMV is built on the Merton model, which assumes lognormal distribution of stock price, isn't it? KMV only...

Hi David, There was a question from the 2011 GARP FRM practice exam where we were given the following: Current market value of firm = 4,500 Expected market value of the firm one year from now = 5,000 Short term debt = 1,000 Long term debt = 1,300 Annualized volatility of firm assets = 22%...

shaki Thanks. You showed how to derive delta, can you how to derive the Ito formula? Also how did you get rid of the term dW and f''(x)? Sorry I don't have strong background in math.

David, To solve for firm value and firm volatility, we simultaneously solve the BSM formula and the Ito's Lemma formula E*SigE=V*SigV*N(d1) through some kind of iterative process using computer. But can you please explain how the Ito's formula was derived? The book gave no such explanation. I...

Thanks for the video. That's exactly the explanation I'm looking for.