Search results

Hi David, No problem, I will work towards covering the remaining case studies directly from GARPs material. On a separate note, would you be able to shed some light on whether the Basel readings are a heavily tested topic please ? Given that there are 14 chapters in the main Operational and...

Hi David, I've read the full JP Morgan and MF Global case studies along with the consolidated notes published by BT. Your notes were absolutely helpful in summarising, the otherwise massive readings - thank you. I see BT notes for 4 of the 7 case studies. Are there any timelines by when the...

Hello, The question talks about the circumstances under which a margin call will be made to the short position holder. If I enter into a "sell" futures trade at $100 right now and if the end of day price had to fall to $95, that would result in me (the short position holder) gaining $5. Reason...

Done with the survey. Thank you, Roshan

Hello, Fo= So*e^(r+u-q-y)T is the formula that needs to be used if the storage costs and dividends are expressed as a percentage. Fo=(So+U-I)^e(r-y)T is the formula that needs to be used if the storage costs and dividends are expressed in monetary (eg dollar) terms. Per Alex, the usage of this...

Hi David, There is a chapter named "Structured Credit Risk" by Allan Malz for which there doesn't seem to be a BT video. Is there a tentative timeline by when we would have a video in place for this chapter please ? Thank you, Roshan

Hi Alex, Understood the first part around liability position - thanks. On the bankruptcy point, there is a small note in the very same passage that describes Corporate debt securities as below. Corporate debt securities “are the only type that can default in the narrowest sense” and include...

Hi David, Need your help please in understanding a section at the start of "Credit and Counterparty Risk" by Malz,....that very briefly speaks about credit risky securities. Not able to understand the sections (in bold) in the below passage. To me, an issuer filing for bankruptcy is a logical...

Thank you. Let it accrue.

Thanks David....this explanation helps !!

HOOOOGAAAAA........cleared FRM Level 1 with scores -> 2,2,1,1 (on first attempt). Couldn't have thought of a better way to start the day :):) Thank you David and team. Congratulations to all those who past the p1 and 2 exams.

This has got to be a typo,...the FAQ section has still got the date as July 7th.

Congratulations Bionic Turtle team !!

Hi David, Just had a quick question with respect to the "6. Transition Matrix" tab on the workbook "T6.Malz.6_Credit_Risk". I think that the 2 period transition matrix values should be simply a square of the 1 period values. The 2 period transition matrix values on the s/sheet are not exact...

Thank you David.

Hi David, A bulk of the feedback from the May14 P2 FRM exam candidates seems to indicate a rather tough exam. I hate to throw in a premature question before even starting preparations,....but based on all the feedback that you have received,.....are there any points that we need to keep in mind...

There wasn't any mention of CAPM on the face of the question,.....the mean variance framework is a core CAPM assumption basis which investors care about the first 2 moments alone.

My approach was more with respect to the CAPM being based on a mean variance framework and as per the CAPM,.....investors care about the first and second moment alone and the skew and kurtosis are completely disregarded.

Really sharp memory to recollect the daily and monthly optimal lambda values. Just browsed through the Bionic notes and here is the section that you are referring to,.....0.94 could really be a possible value,...the only reason why I can think of disputing this answer is based on the line in...

Remember this question and remember selecting the answer which mentioned that the mean variance framework did not consider the skew and kurtosis or something to that effect.