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Same thing happened to me

No it is based on overall score

Had the same feeling coming out of this as I had after the CFA exams, are they using the same question writers now?? Felt really good blazing through the first 5 questions, then got caught up in some ridiculous calculation questions. Unlike everyone else, I thought the quantitative part was...

Here is the full quote I read, dont' remember the source: "The option’s return function is convex with respect to the value of the underlying; therefore the linear approximation method will always underestimate the true value of the option for any potential change in price. Therefore the VaR...

I read somewhere that the full revaluation VaR will be underestimated compared to linear approximation. How is this possible? I thought delta normal VaR underestimates due to the convex nature of options

The examples in the notes are pretty good, but they are only for the Euro call option. Just wondering if there is an easier way to keep things straight as I'm fearful GARP will throw a put option question from left field. For European call: delta increases with price, increases with maturity...

Hi, We are not provided with lower bounds on American options in the study notes so I'd like to know what they are?

Thanks @Nicole Manley I will have the Amazon gift card

Thanks @David Harper CFA FRM for the very detailed explanation. Some of my angst has to do with the way GARP is wording the question. They ask us to calculate VaR, but there are a few different types! They will signal when to use the delta normal method, but I haven't seen any distinction...

Based on the formula I have derived from the BT practice questions, absolute VaR doesn't seem to take into account the gain: Or is it a difference between actual return vs. expected return? Does absolute var use E(R) as the mean and relative var assume a mean of 0? Or am I mixing up the two...

There are 10,000 bps in 1% and each 1bps move in a Euro$ approximates a $25 change in the price of a Euro$ contract. Does that help?

This is driven by the modern portfolio concepts in the Foundation of Risk Management section. If you have a portfolio of assets that have low correlation with each other, the overall standard deviation (and variance) of the portfolio will be lower because the securities "naturally" hedge each...

Same here. Thank you! @Nicole Manley

I just went through a practice question (not BT) where it was along the lines of "what is the prob x is equal to or less than 45%?" The mean of the sample was 46. My assumption is that X=<45 should be the null, but the answer explanation didn't set it up that way.

Also, check this out: https://www.cmegroup.com/trading/interest-rates/files/us-treasury-futures-and-options-fact-card.pdf It seems like the 2 year is based on a $200,000 notional as opposed to $100,000 but for the exam we are assuming $100,000?

I think the way it's quoted is a % of face value, here is the quote for the 5 year T-n0te: http://www.cmegroup.com/trading/interest-rates/us-treasury/5-year-us-treasury-note.html

Nevermind guys, I think I got it. It looks like order matters if the # of bonds defaulting isn't 0 or the maximum.

probability of 1 defaults=P(ND)*P(D) or P(D)*P(ND) =(1-.02)*.02+(1-.02)*.02=2*.0196 =.0392=3.92%(2C1(.02)^1*(.98)^1) If (1-.02)*.02 is the probability of 1 default per probability of 1 defaults=P(ND)*P(D), why are we multiplying by 2?

On a similar note, can someone explain how the .0392 is calculated with the 1 default in the 2 bond and .00576 1 default in the 3 bond case? Or is there a spreadsheet somewhere?

T-bond multiplier is 100,000 meaning the quoted price*100,000 is the actual amount per contract. This is similar to the S&P 500 futures 250 multiplier. Example: If S&P futures are trading at 1,000 each contract is for $250,000.