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Just to correct your typo: If, say, coupons pay on Jan and July 1st and settlement is April 1st (i.e., 90 days to next coupon under 30/360) So the formula is: It gives P= 1056,73

This formula assumes first coupon payment exactly in 6 mths (180 days = semianual period). It gives P = 1043,76

Passed part II: 2-3-2-1-2

Hi Nicole, thank you for the prize. I would like to redeem my prizes now.

@Alex_1 , I have finished reading. AIM• Differentiate between solvency capital requirements (SCR) and minimum capital requirements (MCR), and describe the repercussions to an insurance company for breaching the SCR and MCR under the Solvency II framework. SCR –solvency capital requirement...

hi @Alex_1 actually I have read only first 13 pages... I think I will finish it tommarow. key ideas: Solvency has more holistic approach (Basel treats each risk individually: market, credit, operational, liquidity) same structure as Basel (three pillars), Basel aims to protect banking system...

Thank you! Let it accrue. I really enjoj participating forum! For me it is one of the best parts of preparing for FRM exam.

Hi David, Repurchase-to-maturity agreement – this is equivalent to long forward contract, basically they agreed to buy European bonds in the future at price equal to par? Value of RTM agreement = value of long forward = (F - K) exp (-rT) Where F is forward price today, and K is par value of...

Thx. I see now. 2013 reading on Basel and liquidity was: “Basel III: International Framework for Liquidity Risk Measurement, Standards and Monitoring,” (Basel Committee on Banking Supervision Publication, December 2010). This is deffinitely not the same as 2014 reading

Davide, Nicole I cannot find study notes or questions for reading: Basel III: The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools This is old reading (it was assigned in 2012 and 2013). thx

1. “Basel II: International Convergence of Capital Measurement and Capital Standards: A Revised Framework—Comprehensive Version,”(Basel Committee on Banking Supervision Publication, June 2006). Study notes and Questions AVAILABLE 2. “Revisions to the Basel II Market Risk Framework—Updated...

Yes. Linear interpolation for Hybrid approach gives -2,63% Var 95% is calculated after solving system of two linar equations (Y=aX+b) where Y1=-2,60%, X1=5,11% Y2=-2,70%; X2=4,79% a=0,313 b=-0,042 so Var 95%: Y (X=5%) = 0,313 X - 0,042 = -2,63%

Hi, just to make sure... I thought that for JPMorgan Whale Trade only Executive summary (pg. 2- 17) is assigned reading. Not all 300 pages! Also, for reading MFGlobal - 75 pages (not 101) From FRM Study guide 2014: 73. U.S. House of Representatives Subcommittee Report on MF Global (through p...

Example on page 67 refers to problem that was set up at the buttom of page 65: "If a trader goes short $100m of Treasury bonds, we can solve for how big a long position she needs to enter into to make the position DV01 neutral." The DV01 neutral hedge calculated on page 65 was $73,33mil...

I would be suprised if GARP is not aware of this issues. But, I could not be sure. As far as I know about EMIR, the following entities are covered by the different provisions in EMIR: Value of the clearing thresholds : - EUR 1 billion* Credit derivative contracts - EUR 1 billion* Equity...

thx for the prize let it accrue

Bond prices are quoted as a percentage of par, such as 99 or 101.5. For bond with par $1000, these refer to the percentage of $1000, and mean $990 and $1,015 per bond respectively. For bond with par $100, these refer to the percentage of $100, and mean $99 and $101.5 per bond respectively. I...

Hi, I agree there is no special treatment of large losses But, If we observe large loss event that today, it will receive a higher weight in next day VaR calculation than under equally weighted HS. It means that age-weighted HS is more responsive to large loss observations, than equally weighted HS.

Hi Nicole, thanks for the price! I will let it accrue.

n=20 each position default probability = 1% correlation = 1 if one position defaults (probability of this is 1%) then every other would default as well because they are perfectly correlated if one position does not default (probability of this is 99%) then every other would survive as well...