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Dear David: I passed L1 and L2!!! I joined Bionic Turtle on May 23, 2010. it is really very helpful for preparing FRM EXAM. Thanks for your quick respond for my tedious questions. Your reply always can clarify my puzzles. My wife will take L2 test in May this year. I believe she can...

Hi Sorry I didn't express clearly. Actually, what I want is the practice question authored by you. The pdf file named FRM 2010 Practice Questions Level 1, authored by David Harper. You put all questions into this pdf file. I already have FRM 2010 Practice Questions Level 1. I need FRM...

Dear David: I remenber you have put all pratice questios into a PDF file, called FRM 2010 Practice Questions, which is like the GARP's practice exam. I couldn't fine it on your web. I tried the practice question and forum, but questions over there are all related to one individual topic...

Hi David: I couldn't view the spreasheet as following ,not mentioned the upper-right sidebar . Could you check the spreasheet as following for me: •2.a.1. Bivariate (joint) PDF •2.a.2. Skew & Kurtosis (GOOG returns, single die) •2.a.4. Chi-square distribution •2.a.6. PRACTICE BAG...

Hi David: I couldn't download the spreadsheets as following: •2.a.1. Bivariate (joint) PDF •2.a.2. Skew & Kurtosis (GOOG returns, single die) •2.a.3. Sample mean (t test) •2.a.4. Chi-square distribution •2.a.5. F distribution •2.a.6. PRACTICE BAG: Sampling Distributions •2.a.7...

Hi David: On your webnair: 2010-4[1].a-Valuation, page 18: The WCS assumes the firm increases its level of investment when gains are realized; i.e., that the firm is “capital efficient.” I couldn't clearly understand the point. I excerpt the book PUTTING VaR TO WORK, page 113...

Dear David: On your webinar 「2010-1[1].b-Foundations」, page 27, and spreadsheet「1_b_4_Stulz_bankruptcy_taxes_debt_v1」: Explain how risk management can create value moving income across time and reducing taxes. How do you come out with tax 75(for future 450)、25(for forward 350)? I...

Dear David: On your webinar 「2010-1[1].a-Foundations」, page 64, and spreadsheet「1_a_5_Grinold_trival_APT」: APT Amex=SUMPRODUCT($F$7:$I$7,F11:I11)+D11 D11 is 6% ( Forcast), and beta is 1.16. I think APT Amex should be SUMPRODUCT($F$7:$I$7,F11:I11)+D11(the factor)*1.16(Beta, the exposure...

Dear David: On your webinar 「2010-5-c-Market-Risk」, page 28: xV’= 〔0.5, 0.5, 0.5, 0.5, 0.5〕 Diversified Var = 2.49 I guess you can use the vector〔0.5, 0.5, 0.5, 0.5, 0.5〕and then get the diversified VaR 2.49. But I think it had better use xV’= 〔0.4971, 0.0541, 0.0765, 0.0947, 1.9115〕...

Dear David: On your webnair 「2010-7-d-Operational」, page 31: Back testing Yellow: 5~9 k + 「K 」 means specific risk 「k specific rsik」? If so, it conflicts with Handbook, page 709: The Basel Committee has decided that up to four exceptions is acceptable, which defines a “green” light...

Dear David: On your webnair「2010-5-d-Market-Risk」, page 21: I couldn’t get where the weights come from. How to get the Risk measure 0.4227 ? I already tried hard to get it, but failed. Please give me some hints. Thanks a lot!

Dear David: On your spreadsheet「5[1].d.1.ES_subadditive」, 「VaR not Subadditive」: # Bonds ES @ 1 - in Port 5.00% 1 0.4000 2 0.8000 3 1.0238 I conclude: If the portfolio is 1 bond, ES is 0.4 bond will default, so ES is 0.4*100=﹩40. If the...

One more relative issue, on your webnair 「2010-5-d-Market-Risk」,page 19: ES(Expected shortfall) is 6027 (CL=0.995, Var= 2988) 4276 (CL=0.990, Var= 2524) 3685 (CL=0.985, Var= 2503) 3380 (CL=0.980, Var= 2466) …… However, according to the equation on webnair 「2010-5-d-Market-Risk」page...

Hi David: On Handbook 5th example 10.5 page 258: Given the following 30 ordered percentage returns of an asset, calculate the VAR and expected shortfall at a 90% confidence level: −16,−14, −10,−7,−7,−5,−4,−4,−4,−3,−1,−1, 0, 0, 0, 1, 2, 2, 4, 6, 7, 8, 9, 11, 12, 12, 14, 18, 21, 23. the...

Dear David: On your webinar 「2010-5-a-Market-Risk」 page 13: Volatility term structure is relationship between volatility and maturity. –Tends to be an increasing function for a call option(volatility increases with a longer maturity) Compared to John Hull’s book Option Futures And Other...

Dear David: On webnair 「2010-8-b-Investment」, page 15: r-Rf = β3(Km-Rf)+bs*SMB+bv*HML+α I could understand what SMB and HML represent, but what isβ3(Km-Rf)? And where is UMD? Thanks for your help!

Dear David: So on your webnair 「2010-8-a-Investment」, page 10: Z score is *√BR, right? BR is the strategy’s breadth. Breadth is defined as the number of independent forecasts of exceptional return we make per year. Then why √BR could be negative ( -0.25, -0.48)? And could you...

Dear David: On webnair 2010-8-a-Investment, page 5: E{Rn}=1+iF+βn*μB+βn*ΔfB+αn βn*μB is Risk Premium. And On webnair 2010-7-a-Operational, page 18: Equity risk premium (ERP) = 5% equity beta = 1.2 Riskless rate = 4%, Market return = 9%. So I concluded: Equity risk premium (ERP) =...

Dear David; 2010-5-a-Market-Risk page 7: Explain how put‐call parity indicates that the implied volatility used to price call options is the same used to price put options. Could you explain it more? Shouldn't Call Black-Scholes = Call market, since we use Call market to get implied...

Dear David: On your webnair 「2010-8-a-Investment」, page 10: ψAlpha forecast = Std{r}*Corr{r,g}*(g-E{g})/Std{g}. I couldn’t get it! I tried to simplified it ,since Corr{r,g}=(COV(r,g))/(Std{r}*Std{g}): ψAlpha forecast = Std{r}*(COV(r,g))/(Std{r}*Std{g})*(g-E{g})/Std{g}...