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Received. Best, Brian

Thanks for your message Jayanthi. While I agree with what you are saying, generally, it isn't really addressing my philosophical question. Consider today at time t=0 and an FRA that requires a fixed payment of 5% and a floating payment of 1YLIBOR from t=3 to t=4. At t=0, we do not know that...

Actually, it looks like the discount rate is a risk-free rate not necessarily equal to a LIBOR of the correct period length.

Also, since the FRA has a value of 0 at inception, it seems like one could argue in favor of either the fixed rate or LIBOR as the appropriate rate at which to discount!

I am curious as to whether this is a legitimate question or more of a philosophical question. It looks like an FRA is discounted from T2 to T1 at LIBOR. I am wondering why this is the case. If one argued that LIBOR is the appropriate discount since it a market-rate, couldn't one also argue...

Thanks Nicole! Please email an Amazon card to my address. All the best, Brian

To be clear, see page 32 in Hull's text. "If in total the transactions have lost money, the member is required to provide variation margin to the exchange clearing house; if there had been a gain on the transactions, the member received variation margin from the clearing house." There is no...

While I believe your second point to be mostly true, clearing house members post variation margin every day (they don't post in response to margin calls only) assuming that they have lost money during that day's market movement. (They also receive funds if they are "in the money" at the end of...

It's been a while since I reviewed tracking error, but I think Jayanthi is correct!

This is a fairly simple concept. Assume you have vector of 100 daily returns. Then, you can order them from largest to smallest or smallest to largest. When talking about returns, we are worried about the asset moving down, not up, so the risk we are examining is the risk associated with the...

http://finance.yahoo.com/news/ubs-says-settle-fx-probe-pay-545-million-053323621--sector.html

Can people please share your practice exam scores? Although I decided to postpone my part 2 exam until November, I really think that this information is valuable for all of us. Best of luck on the 16th!!!! Brian

New state, new job, new home, new baby..... I think the FRM II will need to wait a few months! Plus, even if I was able to pass it in May, I don't think I would pass it with a strong understanding of the material. Deferring the exam will position me much better to fully grasp the material by...

As hard as it is for me to admit, I have decided to defer my attempt until November! It is such a difficult thing to accept, but I think it is the right decision for me at this time! Good luck everyone!!!!! I will remain a forum participant, naturally, so you haven't gotten rid of me yet!

There are a few different ways to calculate the adjusted R^2. (Some of the alternatives are confusing since the acronyms used for a few of the sum of squareds values are so hard to keep straight.) I would suggest that you memorize the approach presented in the assigned text even if you came...

I am not sure I understand your question. Are you asking which R^2 to use? In a simple linear regression framework, the R^2 can be used. In a multiple regression framework, i.e., when there are multiple independent variables, you should use the Adjusted R^2 which effectively penalizes the fit...

Thank you. Please send an email with an Amazon code. Brian

Malz' Chapter 12 Liquidity and Leverage is phenomenal!!!! How one person can create a concise representation of such a macroscopic topic as liquidity AND make it interesting is simply incredible.....

Nicole, and David, Here is a "materials update" question that I do not think has been asked nor answered - at least I have not found it asked nor answered elsewhere and I apologize if it was addressed previously. I see that there are some topics that remain on the curriculum from 2014 to 2015...

Thanks Shakti - I believe I have a good understanding of what wrong-way risk is. I was merely commenting on the lack of easily testable material in Gregory's Chapter 15.