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Remember the following two points: 1. We are dealing with a discrete ES here. NORMSINV uses correctly 1-confidence level (= significance = alpha) having -NORMSINV (1-0.05) in the case of a 95% VaR. 2. In case of a continuous ES (which cannot be straightforwardly computed with paper and pencil...

No one knows, neither the master @David Harper CFA FRM himself! However, your two questions are both very computationally burdensome you can be rest assured that you won't see them on exam day. Most of the time the calc on the exam is quite straightfoward; it is much more about the 'how' (in...

Yes, I would follow your cited (my) approach: "30 min at the end (it takes at least 20 minutes to properly fill the boxes with the pencil!)" I never even looked at the answer booklet 35-30 minutes before the end because you need every single minute to tackle the questions. But do remember that...

My advice, not chronologically (which helped me for both Part's of the exam): Skim through all the questions first (the whole booklet) and see which ones you can answer more easily than the topics you are not so at ease with. I would work hour after hour and see that you manage/answer a...

Any updates from some fellows? I did not get mine so far. This is a bit worrying and I tried to reach out to GARP 5 days ago but they did not reply to my mail. Any ideas whether there is such a glaring difference in receiving the certificate within Europe. I agree that a few days are normal...

For sure, every single line is of help! Thanks, @David Harper CFA FRM ! Will not be the last here...

Hi @Nicole Seaman, Thanks for being awarded with the trophy again this week! As always, I would like to go for the Amazon gift card please. Thank you!

Are you purely taking the FRM 'for exam sake' or to enrich your skillset in the long run? The question has always to be 'YES'. An eager FRM candidate must strive for the best knowledge and not speculate on sth. what might show up on the exam. Anthony Saunders 'Credit Risk Management In and Out...

First of all I do not (and suppose my peers neither) remember (I am not counting questions during the exam) how the split was between qual. vs. quant questions (I took level II but this assumption holds for Level I as well). A rough guess is 50/50. Even if one question seems to be qualit in...

Honestly speaking the diversified VaR question is not clear. contribution of KLM: VaR(portfolio) = 300*1.645*0.137 = 67.6095 Component VaR(KLM) = marginal VaR(KLM) *Wealth(KLM) Marginal VaR(KLM) = 1.645*0.8*0.137 = 0.180292 Component VaR(KLM) = 0.180292*160 = 28.84672 >> in percent out...

Hi, weight(HIJ): (140/300) = 0.466 which means Wealth(HIJ): 140 weight (KLM) (160/300) = 0.533 which means Wealth(KLM): 160 weight (portfolio) = 0.466 + 0.533 which means Wealth(portfolio): 140 + 160 = 300 std. dev. (HIJ): 20% std. dev. (KLM): 12% std. dev. (portfolio): 13.7% beta (HIJ): 1.6...

Hi @David Harper CFA FRM, Coincidentally I came across the following two interesting contributions at MarketWatch and CNBC about VIX and correlations; it is worth to have a glance at them: 'Jeffrey Saut, chief investment strategist at Raymond James, comes to that conclusion using a little...

Would you be so kind and attach the spreadsheet if possible?

Your assumption about ES is wrong! You can calculcate the ES either in two ways: 1.) Take the average of the worst % of losses (e.g. the average of the worst 10 losses when we assume a 95% confidence level: 200*0.05 = 10) which means getting the sum of the worst 10 losses summed up and divide...

You are mixing things up here: For a 95% confidence level the VaR is the 11th highest loss (200*0.05) + 1 = 11. Unlike VaR which is a quantile, ES is an average of the tail losses which means at 95% confidence we have (200*0.05) the average of the worst 10 losses.

Can you please be a bit more precise with your question? The ES is average of the worst losses 100*(1-confidence)% in the tail. In case of the formula sheet (Part II, page 21) you are referring to you have 200 observations (there must be an Excel around for this screenshot, @David Harper CFA...