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many thanks, David! Apologies,I was referring to Crouhy's first edition in my question (there it is Figure 12-7). Now it makes good sense.

Hi All, in Crouhy's book it says the following about a Total Return Swap: the purchaser of the TRS makes periodic floating payments, often tied to LIBOR. The party selling the risk makes periodic payments to the purchaser, and these are tied to the total return of some underlying asset. In...

Hi David, I would like to address another topic (from a computational perspective as well as from a testable perspective on exam day): First, perhaps you can give me a bit of help with this: Jorion in his book 'VaR' gets the values for prob (X = N) in the fifth column of the attached...

Hi David, many thanks for your insight. As always, great support! I just want to be clear about your following comment; it does need some more explanation I am afraid: The other point (ie, that extreme losses don't immediately show up) is a weakness of VaR but not ES. Imagine 100 losses...

Hi David, I am referring to Dowd's footnote: 'HS fails to take account of useful information from the upper tail of the P/L distribution. If the stock experiences a series of large falls, then a position that was long the market would experience large losses that should show up, albeit later...

Has this something to do with adjoining vertices? The portfolio duration is 2.885, so we we first need to compute the 2-year and 3-year maturtiy VAR because the modified duration of 2.885 lies between 2 and 3? This could be total nonsense, but it's my first intuition from Jorion's Appendix...

Dear All, Dear David, I have a bit of a tricky question at hand from the CAIA QuestionBank which I would like to share with all of you and which I am not quite sure about. Malika Kone wants to compute the value-at-risk (VaR) measure on an asset with a 1/90 chance of losing $1,000,000 and an...

@Mkaim thank you very much for your comment! Appreciate all your input and opinions, guys!

Hi All, I am very curious about your experience and understanding how the FRM is 'judged' by recruiters (and even practitioners) in Europe? Explicitly Europe, NOT the U.S. or Asia. Sadly, from my experience I do come across many recruiters (even from very big agencies) who don't really know...

many thanks for the first reply. This sounds pretty straightforward then. Do full-time traineeships (either with an Asset Manager or with a Big 4 in Risk) count as work experience as well?

Passed Part I & II (first time passes, May & Nov 2016)

Hi All, GARP does not provide us with a clear list which sort of roles count towards the 2-year work experience. Can you please share your thoughts/experiences and tell for example what "lower level" roles (e.g. Back Office) will not count as work experience to gain the charter? Are there...

Hi David, many thanks for your detailed statistics. Well, what can we infer from the table? Is the exam 1.) "easier" in Nov., 2.) are there more qualified people sitting it in Nov. or 3.) is there a different team writing the questions for the exam in Nov.? There must be some logic behind this...

Raya, well I had this letter already in the morning, but still got nervous the whole afternoon now...

make screenshots in order to be on the safe side! :) :rolleyes:

now mine it's green again!! Raya, yours as well?? Brilliant, shrutibhatnaga - phenomenal performance!

what the hell is going on here? shrutibhatnagar, did you pass this morning as well?

even with all these confirmations, I am so nervous! Why is it that they don't write anything on Twitter about this?

ok, brilliant, Raya. This is what I inferred from my call as well. I mean I even downloaded the "Congrats letter" this morning, so I can't nowhere imagine that after 6 weeks they no make any changes to results (re-evaluate the so called "curve").

mine went back to blue as well (Part I). Even if I have already registered for Part II and downloaded the Letter of Congratulations. Raya, can you tell what they exactly confirmed to you?