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Hi @Nicole Seaman, Thank you so much, nice surprise! Happy to be of help out there. Beyond the exam prep materials, BT is becoming a real good database/reference for all sorts of thorny questions. I particularly appreciate the matter-of-factly dialog addressing the disconnects or subtleties...

It is nice to see how inspirational the FRM designation can be, but why wouldn't you go to college first? FRM is a professional designation that requires a minimum of 2 years of work experience. It recognizes one's practical proficiency in a specialized (risk management), fast-changing work...

@gargi.adhikari, you're welcome. I always feel I'm missing something when discussing equations in plain English, I like visuals... @David Harper CFA FRM, my go-to software is R ... for pretty much everything (my 2nd brain). It takes a little bit of time to create nice looking charts but once...

Bond price dependencies I found difficult to "picture" all at once given the multiple dimensions... I ended up preparing the charts in attachment, which is a good way to get the equations "in your system" and understand how and why they behave this way. Next, I memorized this array of charts so...

I found that the ability to parse the questions effectively is very important during the exam. For instance, for every question before I'd start reading, I'd jump to the bottom of the paragraph to find out what is actually being asked. The description may use several long sentences involving...

Ashok, You're very welcome. My explanation above takes a number of shortcuts, if you want more detail in regard to point (3), you may want to check out the original technical documentation for RiskMetrics when it was first released back in 1994...

Not exactly sure of what you're asking under (3). Let me take a stab at it... (1) Agree. (2) Check for instance Mardia's test (and also package MVN if you're a user of the statistical computing tool R)... (3) Let's take N instruments whose dynamics is captured by 2 risk factors only (that'll...

To be honest I don't think there's much to "apply" directly without a given context. This is more a reminder to not automatically assume that E{f(X)}=f(E{X}), but instead E{f(X)}~f(a)+f '(a)*E{x-a} + 1/2*f ''(a)*E{(x-a)^2}, where f ' and f '' refer to the first and second derivatives of function...

In all generality Jensen's inequality says that for a convex (concave) function f, the expectation of the function of a random variable X (RV) is greater (smaller) than the function of the expectation of the same RV: E{f(X)} ≥ f(E{X}). Jensen's inequality would typically be reflected in the...

Agreed. I ended up preparing such a summary table myself to memorize before the exam. I would anticipate the questions to be explicit and clarify what stage of the phase-in or what proposal (if any) they are considering (some components go up to 2019). Otherwise, personally, I would interpret a...

For what it's worth, I keep this paper handy when I need a quick reference on the (distributional) assumptions and approximations related to arithmetic vs geometric returns: http://www.cdiadvisors.com/papers/CDIArithmeticVsGeometric.pdf

Hello, I retrieved 2 pointers: [1] Crouhy, Chapter 9 of "The Essentials of Risk Management" (p.364 of GARP 2016 Credit Risk Measurement and Management book): "A more benign feature of many retail portfolios is that a rise in defaults is often signaled in advance by a change in customer...

Planning to attend 1 event/conference per year (company would pay). Other than that I think the readings are not that bad: 40 credits are needed and the cycle is 2 years. That's about 2 articles per month... I find it manageable (I see it as instead of 1 hour browsing the web I could earn a...

Got the card… thanks BT! Much appreciated.

Hi Nicole, Thanks a lot for the nomination, always happy to help! I'll pick the Amazon gift card, thanks!

Did you mean to ask about the relationship between zero correlation (covariance) and independence instead? Mathematically Cov(x1,x2) = SD(x1) * SD(x2) * rho_12 So generally if Cov=0 <–> rho=0 and vice versa. And in the case the standard deviation of one of the variable SD(x_i)=0 then...

Hesham_87, The 2nd formula is valid in all generality, it is the mathematical definition of the covariance. Note that it makes use of the expectation operator E[.], which might take different forms depending on the type of variable or properties of the (mathematical) space under consideration...

The gift card arrived! Thank you BT!

Certified! Submitted 1/4, approved certification 1/17. For the anecdote, I only found out I had received the email one day later on 1/18 as Outlook decided to filter the message as junk e-mail :eek:... Do keep an eye on your junk e-mail inbox just in case...

Hi Nicole, Thank you very much for the prize, I appreciate it! Happy to help. I'd like to pick the Amazon gift card. Thanks!