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Hi @Manisangsu You intuition is correct: the Part 2 topic Liquidity and Treasury Risk was added only in 2020. The other topics go back many years (most of them over 5+ years that I've been running BT and writing PQs). Given it's a relatively new addition, there are fewer questions. Re: feeling...

Hi @Amierul I think it's correct (as was noted by @Garbanzo here at https://forum.bionicturtle.com/threads/errors-found-in-2021-2022-study-materials-p1-t4-valuation-risk-models.23684/post-90704). In the first panel (the "positive/right" skew) above, we can see (for example) at +2.5, there is...

Hi @dla00 Because it is such a common question over the years, I created this post (below my YT video on Interest Rate Swaps) at https://forum.bionicturtle.com/threads/t3-32-valuation-of-plain-vanilla-interest-rate-swap.22446/post-82735 i.e.,

Hi @Aaron1616, @tdani3656, @bagelcoffee, @Moh, @MFole8227, Daniel (@tdani3656), @Manisangsu, @David Notter , @LCosi6229, @Sahil1999, and @cy123 (copy @JVera3537, @shubhamyadav, @RSHIV2781, @ethanyc and, and recently @SBash5958 who I realize have specific action items that in some cases...

Hi @NStha8467 Nope, in the exam you will not need to compute SEs from raw data. Much like in realistic practice where you run a command and get the coefficients and their standard errors, the exam will certainly provide the SE(s) for you. So it is clearly TRUE that "the focus [is] more on having...

Hi Antoine I'm not sure I follow you, sorry. In the simplest model (aka, model 1) we have dr = σ*dw where σ in an annual volatility and dw is a random normal with standard deviation of sqrt(Δt). The σ is really just an "untransformed" input. For example, if the annual basis point volatility...

Hi @NStha8467 The spreadsheet template aspires to be universally useful (although I see that I can make an improvement with respect to the Confidence Interval: it is only showing a 2-sided CI, which would not be useful to the question!). As you can see, the XLS is actually trying to be...

HI @NStha8467 1) The chi-squared distribution is included for completeness: before GARP "simplified" their econometrics chapters, the four sampling distributions were (normal, student's t, chi-squared, and F-distribution) were foundational. The normal/student's t because they test a sample...

Hi @JGURR5668 I think we had a good discussion about this here at https://forum.bionicturtle.com/threads/bayes-theorem-two-approaches.6784/ and specifically in my last post at https://forum.bionicturtle.com/threads/bayes-theorem-two-approaches.6784/post-82906 where I wrote P[3B|S] is equal to...

Hi @Sahil1999 Right, a more precise question should identify which interest "rate". You have a point. However, this question is closely based on Tuckman and (in my opinion) it is fair game: you've got to assume it's the same "rate" that informs the DV01s in the setup (i.e., probably yield as our...

HI @collen I apologize but it's a mistake (that I didn't fix) and you (your implication) is correct. Per the source (https://forum.bionicturtle.com/threads/l2-t5-63-fixed-income-mapping-jorion.3617/), if they are both 4% par bonds (c = y = 4%) with maturities of 1.0 and 5.0 years, then I get...

@TatjanaVitkovic I re-read this thread from the beginning and, sorry, I just don't even know what you are asking. I can't related it to the portion you quoted, or to the GARP extract !? On the horizontal x-axis is the strike price such that at-the-money (ATM) is near to the center. In regard to...

We are looking to hire somebody full-time. If you are qualified and interested, please let us know! Here is the LinkedIn job post at https://www.linkedin.com/jobs/view/3094115323 Here is my reddit version at

@JackSmith you gave no context/information about your problem. @Nicole Seaman this is strange (weird type of spam)

Hi @Torsleno Interesting question. In my opinion, "diversified VaR" is an FRM term (specifically P. Jorion but also K. Dowd), unlike many terms in the FRM that have universal definitions outside the FRM (is a caveat to acknowledge somebody might disagree with me based on some other source)...

@enjofaes Oh, I see. Given N(z) - 1 = -N(-z), I think [N(d1)-1]*exp(-qT) = -N(-z)*exp(-qT) is the equivalent expression for the put's delta; e.g., if z = 1, then N(z) = 84.1% and N(z) - 1 = -15.9%; N(-z) = N(-1) = 15.9% but -N(-1) = -15.9%. Same as your just with a negative in front, thanks...

dividend-adjusted delta = delta*exp(-qT) such that call delta = N(d1)*exp(-qT) and put delta = [N(d1)-1]*exp(-qT)

Hi @enjofaes If I said that (sorry I'll have to locate the specific video location later), then I misspoke. You are correct: DV01 = (P*D)/10,000 = dollar duration/10,000. I'm actually very happy with my summary note at see...

Hi @xZhan3765 Welcome! I don't think you are alone, this is a question that bugs me because I think it's possible that it might possibly be a harder puzzle to those who are better prepared. The problem, to me, is the first sentence "A financial firm has sold default protection on the most senior...

HI @LeonardoFRMPart1 Agreed, when I last looked, I believed they did get the variance correct for AR(1) but incorrect for AR(p), see https://forum.bionicturtle.com/threads/p1-t2-20-22-stationary-time-series-autoregressive-ar-and-moving-average-ma-processes.23527/post-91654