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Thanks.

Hi David, If you're given 1-year VARs of a firm for market risk, operational risk, and credit risk (they are uncorrelated to each other and all calculated at same significance level), can you simply sum them to get the overall 1-year firm VAR? For a portfolio VAR (referring to Q#11 on page...

Hi David, While below topics are in the 2012, can you advise the testability? 1. Test of differences between 2 means. You had a slide in the video but you quickly skipped it saying you'll go over it in an example later, but I never came across the example. Did I miss? 2. Using GARCH or...

Hello David, I've noticed that some topics in the past FRM are no longer in the 2012 curriculum, or at least not part of the AIMs. Can you comment the relevance/importance of these topics and if it's safe to forget about it? Specifically, 1. The Bayes' theorem formula 2. Chebyshev's...

Hello David and Suzanne, I am also trying to get used to the website. · I understand that you’re updating the 2012 videos, but if I viewed some of the 2011 videos (I’m up to T2d), do you recommend viewing the 2012 videos again? Are there significant differences? You won’t be doing T3...

The first one is contango. The second one refers to NORMAL contango. Note the difference between spot S(0) and futures spot E(St). One is comparing to the current spot, the other one compares to the EXPECTED future spot.

Hi, I'm new to Bionic Turtle. Where can I find the practice questions relating to Jorion Chapter 1? Or more generally, where can I find bionic turtle practice questions, other than those posted under "Today's Quiz"? So far I've used 2011 study notes and videos. Thanks.

David, You have the same formula for se and sample standard deviation on page 24 and 25. So are you saying se = sample standard deviation? or should se = sample standard deviation divided by √n? Since we're dealing with sampling distribution here, why the denominator is not n-1 here? Thanks.

Thanks. So for the exam, we stick to leptocurtic.

David, One more clarification. In your video, you described the t-distribution as "fatter tail and more peaked than the normal distribution (leptokurtic)." But my understanding is that the t-distribution is less peaked than the normal distribution. So I google searched and found the below link...

Thank you for your quick response. 4. I see. Since F test involves 2 populations, then params = 2 df. Thanks.

Hi David, Sorry I have a number of questions regarding T2.a.Quantitative. 1. t-distribution variance = k/(k-2) and k = degree of freedom = n-1. This means t variance = (n-1)/(n-3)? 2. Are k = n-1 for all distributions, including chi and F? This would make chi variance = 2 (n-1)...

Sharpe ratio is good for portfolios that are not well diversified (because it accounts for total risk). Treynor and Jensen’s are appropriate for evaluating the performance of a well diversified portfolio (because it only accounts for systematic risk). What about the information ratio? Total...

Not sure if I posted the question under the correct forum, but the question came to my head while reading Financial Disasters, which is part of Foundations. By reading through the case studies (financial disasters), it becomes clear that knowing and analyzing a financial institution’s...

David, please help me understanding the following: “As long as the correlation between the rate of return on the market and the rate of inflation is positive, the market price of risk is higher than that depicted in the standard CAPM.” èThis I can understand. Inflation increases risk. Standard...

Thanks for the one word summary. Rearranging as F E D M P S N B T H. FED's current Monetary Policy iS Not necessarily the Best during this Time Horizon. :D That is the best I can come up with. Other suggestions/improvements please.

Thanks for your clarification. All portfolios on the minimum variance frontier are MVPs but they're not necessarily all efficient. Only those portfolios above Global MVP are efficient, thus the curve above the Global MVP is called the efficient frontier (i.e., efficient frontier is just a part...

Anyone came up with an acronym for memorizing these? ;)

David, With regard to your graph for MVP (page 36/AIM: Define the MVP), you have labeled the left-most point (intercepted by green dash line) of the minimum variance frontier as the MVP. Shouldn't that point be more appropriately labeled as the Global MVP and not just a MVP because all the...

David, In your slide for assumptions of CAPM/Homogeneity, what do the 3 Greek symbols stand for? I only know the standard deviation σ. μ (mu) = expected return? What's the last one for? Thanks.