Search results

Hi @David Harper CFA FRM, Sure. I agree whith your ratio-consitents explanations for the IR and for sure the outdated Jorion terminology have Tracking Error in the numerator. Jorion's VaR is still a superb book but with respect to the latter he got it completely wrong (or at least his...

Hi @Galaxy, first of all, the IR is defined as alpha (difference between portfolio return versus its benchmark) divided by the Tracking Error (which is the std. of the difference between the return of the managed portolfio versus its benchmark return). For the exam: you only have to remember...

Hi @Nicole Seaman, very happy with the reward again! Thank you! I would like to go for the Amazon gift card please.

Hi @Tania Pereira, A CDS only outsources Credit Risk while a TRS (Total Return Swap) outsources Credit + Market Risk. In a Total Return Swap the seller of credit risk (the bank or called TRS payer) pays 1. the coupon and 2. the price appreciation to the investors (TRS receiver or the buyer of...

Hi @Unusualskill, beyond the theory (which has been discussed by David in-depth in his learning resources; for example: https://forum.bionicturtle.com/threads/interest-rates-stultz.10689/) In general I would say that it is very difficult to justify that high interest rate vol has less impact...

Hi @Passer-by as I have already explained many times in the forum: there is literally NO EXPIRATION DATE for David's videos incl. notes/forum comments etc.. This also holds true for let's say 98% of all topics in financial risk management. As an FRM you are expected to know all topics inside...

Thank you for the trophy again, @Nicole Seaman! :):) Very happy! Repeatedly, I would like to go for the Amazon gift card please.

Hi @kchalmers, It is the opposite way round: 1. Absolute VaR: - drift + (normal deviate * vol) 2. Relative VaR: (normal deviate * vol) where drift = 0 See also my post here: https://forum.bionicturtle.com/threads/l2-t5-69-parametric-value-at-risk-var-dowd.3643/page-2#post-51392 No one...

Hi @Passer-by quick reply. I think there are already tons of great threads/discussions here in the forum to guide you how to tackle the exam. 1. No, study notes are way more important. Videos are just there to back up things up and make topics which are more tedious or more difficult to grasp...

Remember: everyting in GARP's readings is exam relevant!

Hi @elbest1542, yes, the more you read (even if it is on Sunday night) the higher the odds you will pass. Even some plain reading can help you out in the end of the day. Even if the study material compiled by David should cover everything you need to pass the exam with flying colours, the...

Hi @lRRAngle basically everything is testable based on my experience. Just do not make any compromises and disregard some topics/chapters completely. Even footnotes (in Dowd's book) have already been tested when I sat for the exam. Chapter 5 in Diebold is highly relevant: especially selection...

Thank you for the trophy, @Nicole Seaman! As always, I would like to go for the Amazon gift card please.

Can you please repost the full question then I am happy to help. 3.16 is not given in this post.

Hi @Nicole Seaman, thank you for being awarded the trophy for a consecutive week. Hope you are recovering well in the meantime! I would like to go for the Amazon gift card please. Thank you!

Hi @Bernardo, your statement is partially correct: In the case of correlation coefficient = 0, then the portfolio std dev (sigma p) gets to zero the larger N (no of securities), however, as you can see the correlation coefficient is the critical point here in the portfolio std dev equation. In...

Hi @Nicole Seaman many thanks for this lovely gift! Have been a while since I was active in the forum and now with some luck right when back I get rewarded for my post. I would like to go for the Amazon gift card please. Thank you!

Hi @[email protected], you can have a look at David's and my post here about the derivation of the covariance: https://forum.bionicturtle.com/threads/p1-t2-705-correlation-hull.10172/#post-48565 proof of the covriance between two assets: cov(i,j) = [cov(i,m)/variance(m)] *...

Hi @123Rabbit, please see my post here about an explanation for systematic vs idiosynratic risk: https://forum.bionicturtle.com/threads/p2-t6-304-single-factor-credit-risk-model.6807/#post-46404 If you have ONLY Type A securities in your well diversified (this means that the idiosyncratic...

hi @sm@23, Forward delta is 1 (the change in the forward with respecto to a change in the underlying asset). The difference why delta is NOT 1 for futures is based on the fact that interest rates are not constant. Forwards are settled at maturity date while futures are settled daily.