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In Frankfurt we had a clock and I think its very bad that some sites don't. I would be pissed too. Also the proctor specificially said, that we can write in the booklets as much as we want to, it just won't be graded. I was surprised by the lack of calculations. Some of the topics that took a...

Shakti, thank you for your reply. The confidence level for the backtesting is in both cases 90%. But one time a 99% VaR and the other time a 95% VaR is backtestet.

Hi, Practice Question number 3 in the GARP Market Risk reading goes like this: You are backtesting a bank's VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that it switch to a 95% confidence level. Which of the following statements...

If the score is from BT exam, I believe you have a good chance to pass.

I agree, 70% with practice exams seems OK to me. For part one I had around 70% with Schweser practice exams and I passed with 1211.

Here my very short summary of Ang: Sources of Illiquidity: Clientele effect Transaction cost Search friction Asymmetric information Price impact Funding constraint Returns of illiquid assets show: Survivorship bias Infrequent sampling Selection bias (assets trade when their prices are high)...

you need to read the original papers, don't wait for BT.

Hi, I left those out entirely. As I understood it, a lot of this stuff has been covered by the other readings (esp. Hull). I decided that I don't have the time for this level of redundancy. But of course that might be the wrong decision. I took a quick glance at the study notes though and...

Ups, I got confused in my previous post with the sign of DV01. Since DV01 is negative it's not clear if a + in the matrix means increase in amount or in the signed value. The + for coupon and the - for yield are correct, if the amount of DV01 is meant. Than IMHO time to maturity should have a + too.

Hi ckat, great idea to make this matrix. I already learnt a lot from thinking about it. I think the relationship between price and time to maturity depends on the yieldcurve, its determined by the fact if the forward rate for the new coupon period is higher or lower than the coupon of the...

Hi, In your logic β can never be anything else then 1. You set α = Rfund - Rm and then α = Rfund - Rf - β * (Rm - Rf) both together: Rfund - Rm = Rfund - Rf - β * (Rm - Rf) which you can transform in Rm - Rf = β * (Rm - Rf) which means β = 1 whatever the values of the returns are. You don't...

Wow, that is a subtle difference, but you are right of course.

I agree, that looks like an error in the question to me.

You solve the first equation for F2 F2 = (F5 * DV01_5 * PC1_5year + F10 * DV01_10 * PC1_10year) / (DV01_2 * PC1_2year) As you said, you still don't know what F2 is, since you don't know F10. What you have is an expression for F2 that depends on F10. In the second equation you substitute F2 with...

You have two unkown and two equations. First solve the first equation for F2, F2 = (F5 * DV01_5 * PC1_5year + F10 * DV01_10 * PC1_10year) / (DV01_2 * PC1_2year) than plug that into the second equation and eliminating F2 from it. Than solve that for F10. But that is a bit tedious, I doubt that...

I read it, that for short term bonds you need more PCs to hedge them effectivly, since the first component (Level) is not that dominant in the short term. You need to go at least to the third component for short term exposure. The next sentence seems to point in that direction: "Or, put in...

Hi afterworkguinness, the formula you cite is for calculating the P&L when you know the face values already. To calculate the face values you need the DV01 and the exposure of the three rates to the PCs, lets call them PC1_2year, PC2_2year, PC1_5year, .... Then you solve these two equations...

Hi Anir, your first formula is correct. The second one would be correct, if the variance instead of SD is used. Maybe there are some text with a typo, where the ² was erroneously left out.

Thanks David for your interesting thoughts about the SAR.

I just checked, mine has no Candidate Number too. On the Ticket last year the number was there. Then I got on the GARP website and downloaded the Ticket again and lo and behold it not only has the number on it, it's also a ticket like the one last year, it has no Bar-code and the typo is also...