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R46.P2.T6.Gregory_v7 pg58 I dont quite understand the graph shown here Is it interpreted this way? Assuming a Bank enters into a (1)payer swap with c/p or (2) receiver swap with c/p (1) the bank pays net cf (fixed) initially but receives net cf(floating) later stage. Thus his mtm for the...

R70.P2.T8.Grinold page 16 This is whats written in the BT notes: What happens if we forecast returns on stocks that are not in the benchmark? We can always handle that by expanding the benchmark to include those stocks, albeit with zero weight. This keeps stock n in the benchmark, but with no...

The question is as it is "Why is it closer in nature to market risk?" The market price is based on the credit risk. Why isnt it closer to credit risk? The price is simply the reflection of credit risk

R45.P2.T6.Malz_Ch7_v3 p25 Spread risk is the risk of loss from changes in the pricing of credit-risky securities. It is closer in nature to market risk as it is generated by changes in price p27 Spread risk therefore encompasses both the market’s expectations of credit risk events and the...

I have difficulties understanding the value of subordinated debt portion. R44.P2.T6.Stulz, page 11 V = D(V, F,T,t) + SD(V,U,T,t) + S(V,U + F,T,t) How does this work out as call options? In R43.P2.T6.deservigny.pdf, it was mentioned in your video that the holders of the equity have the option...

Please prioritize the current issues portion That is a whole 10% thats missing :)

Can someone here share their thoughts on how prepared were you with regards to using BT for P2? I just purchased the P2 package and noticed a pretty huge difference in the amount of content available vs P1 (used BT as well) For instance, there were quite a number of revision videos in P1 which...

Would appreciate some help with these Could we also have a "recent updates" tab? that way we know which file was the latest to be updated? "NEW" doesnt really mean much Error! Message: Cannot open /home/bionictu/public_html/FRM/2016/PracticeQuestions/R54.P2.T7.Girling_Chapters7,8,& ! Error...

I think some of those above are the textbook used for the exams is there anything that'd be helpful for frm2 thats not mathematically intensive? Looking for something to read casually on my holiday trip

Passed! 1,3,2,2

Another 13 hrs to go i guess :confused:

4pm NYT would be in 10 hours Lets see i guess

Found it really hard as well....dont think i'll pass Going to be a long 2 months

is it possible to request a reupload for P1??

I have no issues understanding the concept. If you see what i quoted, it seems like GARP has a dif way of seeing things Normal(GARP) Vs Contango(BT) Inverted(GARP) Vs Backwardation(BT) and Contango(Garp) vs Normal Contango (BT) Am i over thinking this? Has Garp ever used Normal Contango or...

Hi David, can you explain with reference to this?I've not sat for the exam but Ive always thought normal=contango In the BT hull notes it writes (pg 23) If the forward price is higher than the spot price (or the distant forward price is higher than the near forward price) the Futures curve is...

Sorry about this, so far I understand the part as to how linear approx method understates/over the option price. However I cant see the relationship as to how understating/overstating an option price will affect the VAR. What links them together?

....then the linear approximation returns a higher price (and a lower VaR).... Why is this so? My understanding is that a higher price = higher dollar value at risk

Bank A and B are both calculating 1 day 99% VAR for ATM no dividend call A is using linear approx method B is using monte carlo simulation for full revaluation Stock price USD 120 Annual return volatility 18% Current BSM option value 5.2USD Option Delta 0.6 Which bank will have a higher 1 day...

Im doing the mocks and trying to access the archive but it seems to be giving me an error e.g i cannot access any of the posts on this page https://forum.bionicturtle.com/forums/p1-2012-practice-exam-part-1.75/