Search results

If the random variable characterized a six-sided die such that the possible realizations are {1, 2, 3, 4, 5, 6} then here R(X) includes that set because if we want a CDF Pr(X ≤ 3) then technically we want the sum of Pr(X = 1) + Pr(X = 2) + Pr(X = 3) but we don't want to include Pr(X = 0) or Pr(X...

Hi @DenisAmbrosov Inf refers to "Infimum" (see https://en.wikipedia.org/wiki/Infimum_and_supremum) and is a more robust (but effectively still a) minimum: I really don't know where it matters, realistically. This quantile is our value at risk (VaR) definition. For example, if the distribution...

@Eyram I've answered thousands of VaR questions over 10+ years but @lushukai is right (thank you!): it's actually difficult to understand what you are asking, usually I can pluck out the essence of the the question, but yours is too vague. I will say: VaR is always one-sided. VaR is only...

Thank you @lushukai for taking the time to observe that the context is hedging. This is a point (for example) articulated by FRM author Crouhy, see https://forum.bionicturtle.com/threads/economic-earning-accounting-earning.10625 i.e., .... and notice in the thread where contemporaneously I...

Unknown as of yet (nor is the score required to pass----aka, minimum passing score, MPS--even remotely knowable ex ante, as has been much discussed, and this MPS can only be approximately inferred ex post). Historical averages are ~46% for P1 and ~56% for P2; will update chart when GARP...

@ArnaudD I like your thinking, but I agree the problem is these are not risk-neutral probabilities. Building from your idea, below is a plot of the four outcomes (without probabilities). That's a payoff graph, and delta is the slope of a line (aka, rise/run) ... but which line? In a...

Hi @bass really, an interview question? Fascinating. Never seen this pattern. My first reflex is to calculate the variance per E(X^2) - E(X) = 10% - 30%^2 = 1.0% such that σ=sqrt(2%) = 10%. (Minor issue: this assumes positive returns +10%, +20%, +5% which is not exactly what's assumed!). Then we...

HI @bass what's the question's source (we sometimes like to know just so time isn't wasted, in case it's not a good question)?

@nc27 yep, I personally reached out to every single one of them when I wrote my Memo (https://forum.bionicturtle.com/threads/how-to-fix-the-frm-davids-2018-memo-to-the-frm-committee-and-garps-board-of-trustees.22758/) in the hopes of addressing a >30% error rate on the (large!) sample of...

to whom exactly do you refer; i.e., who are the quants/Phds who are active in exam development? Any names? Our members routinely identify mistakes ... I wouldn't care except to judge by the output. I don't care about formal qualifications, I care about quality, accuracy, depth, etc.

to add to the reply to your same question here ... i.e., ... I suppose the ostensible reason is that it takes time to calibrate the raw scores into pass/fail which is a function of the total set. But I would add: It shouldn't take that long GARP has a track record of writing inaccurate or...

@thanhtam92 see https://forum.bionicturtle.com/threads/work-experience-verifying-time-2020.23672/

Thank you @lushukai for your generosity. @AbhishekJha please look at the forum before you post. In this case, you'd notice that a highly- related question was asked very recently here at https://forum.bionicturtle.com/threads/credit-risk-replacement-value.23917/ i.e.,

HI @reiss1 Good question. This really borrows in advance from greater detail in FRM P1.T6 Counterparty credit risk (where Jon Gregory's text is authoritative). The relationship is that replacement value (aka, replacement cost) quantifies the credit risk. The most fundamental counterparty credit...

Hi @reiss1 Not sure exactly what you are asking, but you should not need to work the optional questions (is why they are designated optional). At the same time, some of our questions do not have direct references to our notes, or even the current topic; e.g., I'm proud of the fact that some of...

Hi @wahahahaha Please see my recent post at https://forum.bionicturtle.com/threads/week-in-financial-education-2021-05-24.23840/ including the second bullet .... ... where I explain exactly why DV01 =P*D/10,000. Duration is not divided by 10,000. Dollar duration is divided by 10,000 because 1.0...

@Meta They should be able to, but they don't have a good track record of writing high-quality questions, so they seem to focus on revisions/corrections to the existing limited sample. if they wrote entirely new questions each year, their 30+% error rate would be more manifestly obvious. Instead...

Hi @AbhishekJha please see my video T3-05: Basis risk is about an unexpected weakening or strengthening at https://forum.bionicturtle.com/threads/t3-05-basis-risk-is-about-an-unexpected-weakening-or-strengthening.22365/

Hi @AbhishekJha As you suggest (via context), the term "tracking error" is has occasionally different definitions. In the FRM, tracking error should be active risk: the standard deviation (aka, volatility) difference in returns between the portfolio and the benchmark. As explained in my video...

Hi @lushukai not yet. FYI, I'm on vacation https://forum.bionicturtle.com/threads/david-is-on-vacation-july-1st-through-12th.23903/