Search results

Hi If you can find this derivation helpful: Marginal Var=d(Varp)/d(wi*Vp) is the as per definition where Varp is the Var of the portfolio and the wi*Vp is the $ invested in the ith position. =>Marginal Var=d(z*sigma(p)*Vp)/d(wi*Vp)=(z*Vp/Vp)*d(sigma(p))/dwi (as z and V are constants per se so...

Congratulations to all those who got passed especially @brian.field thanks

Hi, I have personally studied the Bionic material and its worth the investment. please also see: https://forum.bionicturtle.com/threads/frm-exam-and-study-summary.7880/ https://forum.bionicturtle.com/threads/question-on-bt-bionicturtle-notes-and-garp-books.6106/#post-19165 thanks

Hi, Also please see: https://forum.bionicturtle.com/threads/percentage-of-correct-answers-to-pass.7028/#post-24587 https://forum.bionicturtle.com/threads/frm-cut-off-marks.7586/#post-28136 https://forum.bionicturtle.com/threads/frm-level-i-exam.2023/#post-7056 thanks

1)no the rough sheet/space shall be provided in the exam booklet itself there will be no separate rough sheets. 2)u can keep them in your bag in the separate room provided please see: https://www.garp.org/#!/frm/frequently-asked-questions thanks

Hi, please see these links carefully: https://forum.bionicturtle.com/threads/optimal-hedge-ratio-correlation-understanding.9482/ https://forum.bionicturtle.com/threads/how-to-calculate-optimal-hedge-ratio-when-using-more-than-one-type-of-futures.6872/#post-25926...

Hi, u can refer to these links if you like: https://forum.bionicturtle.com/threads/volatility-smiles.5472/#post-18996 https://forum.bionicturtle.com/threads/what-are-the-axes-on-the-longnormal-plot-corresponding-to-the-volatility-smile.7681/#post-28727

hi by convention, "excess return" = active return=portfolio return-benchmark return and "tracking error" generally refers to active risk; i.e., std deviation (active returns).How much the portfolio tracks a benchmark is measured by tracking error,lower the tracking error the more closely the...

see: https://forum.bionicturtle.com/threads/november-2015-part-2-frm-exam-feedback.9165/page-16 thanks

hi If High water mark initially at day 0=H0=100(initial fund value=100) if the return for the fund is 10% for day 1 then the fund value becomes 100*1.10=110>HWM=100 threfore 110 becomes the new HWM,110 exceeds the previous HWM of 100 therefore manager receives performance fees of 20%*(110-100) ...

Hi, i think he just rearranges the formula: According to merton model: PD=N(-d2) d2=(LN[V(0)/F(T)] + [mu - sigma^2/2]*T)/[sigma*SQRT(T)] =>d2=(LN[V(0)*exp(-r*T)/F(T)*exp(-r*T)] + [mu - sigma^2/2]*T)/[sigma*SQRT(T)] =>d2=(LN[V(0)/F(T)*exp(-r*T)] +LN(exp(-r*T)) + [mu -...

hi please see these: https://forum.bionicturtle.com/threads/my-thoughts-on-part-1-prep.8668/ https://forum.bionicturtle.com/threads/how-did-you-study-frm-and-passed.6655/#post-22442 https://forum.bionicturtle.com/threads/putting-down-a-study-plan-for-level-i.6466/#post-21710 thnks

Hi gargi, please visit: https://forum.bionicturtle.com/threads/greeks.6207/#post-19683 if of any help thnks

Hi yes there is continuous compounding,u didn't mentioned that 97=((X*100)/2)*exp(-8.0097%*0.5)+((X*100)/2)*exp(-8.3092%*1)+((X*100)/2)*exp(-10.2882%*1.5)+((X*100)/2)*exp(-10.0353%*2)+(100+(X*100)/2)*exp(-10.1966%*2.5)...

Hi I think the Bond prices shown are rounded. Let coupon rate be X%. 97=((X*100)/2)/(1+8.0097%/2)+((X*100)/2)/(1+8.3092%/2)^2+((X*100)/2)/(1+10.2882%/2)^3+((X*100)/2)/(1+10.0353%/2)^4+(100+(X*100)/2)/(1+10.1966%/2)^5 =>...

Hi, The b is used when we need to check whether the sample mean is closer to the actual population mean. Actually we don't have complete data set in the real world to calculate the population mean for e.g. for a company producing the screws of standard length we cannot measure the length of each...

Hi, The EWMA can only project the current volatility into future. σ(t)^2 = (1- λ)*r(t-1)^2 + λ*sigma(t-1)^2 where σ(t) the current estimate of volatility based on EWMA should forecast the same volatility estimate σ(t) for the future period also. There is no forecast of volatility possible with...

hi please see if of any help: http://www.bis.org/publ/work316.pdf thanks

Hi, In Selection Bias the fund manager drop the non performers from the list when reporting the past performance and selects only the best performers is a selection bias,manager is biased towards selection of best performers. Whereas In Survivorship Bias the best funds performs well and they are...