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Hi @Akriti1 The KR01 is analogous to the DV01: it is the price change associated with a plus one-basis point (0.01%) shift in the key rate. In this question, the 5-year shift shows a price of $92,007 which is $7.00 above the initial price, so that is the key rate. Two points: 1. if you refer to...

@Eustice_Langham please don't suggest to GARP that they make it a 3-part course; GARP would love the additional revenue. It's just the worst possible suggestion. You want more topics to cover? Howabout updating current topics ... about reducing the LOs, yes, I've only been saying that for 10 or...

Hi @sgrgpt It's a good question. The observations to which you refer (i.e., "claims by people who have taken the Part 1 exam that exam questions were not as expected") are a common feature of the FRM, and arguably, related to the problem cited very accurately by @nc27 namely ... ... many of...

Hi @for_you_be What do you mean by "6. A few years ago, I found my program had lapsed"? Do you mean your GARP membership lapsed (how would that be relevant?), or do you mean the five years lapsed? GARP's rules include, from the FAQ (https://www.garp.org/frm/frequently-asked-questions) ie., Do...

Hi @richboy4865 This is much already discussed in forum (search "relative" and/or/versus "absolute" VaR). The assumptions here is that the arithmetic returns are normal; aka, normal VaR. Either is okay: absolute VaR (aka, aVaR or just VaR) = -μ + σ*Z; in this case, -12% + 25%*3 = 63.0% or...

Hi @lushukai hmmmm, I can't recall that but if you don't mind the wait: I just tasked to talk to Nicole about it Monday/Tuesday. We will take a look at prior notes versions. If we did have such a table, then we will be able to find it in a prior revision. It sounds like what happened is maybe...

Hi @yisuho97 That's our fault: I see that we explained the other ratios but we didn't add a bullet for the final t-stat (I have tagged it for an edit, at the next batch edit since it's not an error per se). You can see that sheet performs a lot of work (many concepts) and, admittedly, the...

@MCher The Part 1 LOs didn't change when GARP switched to their proprietary readings; the videos apply just the same. GARP's readings are, on average, inferior to the actual chapters (like Hull's chapters) upon which they are anyhow based. The videos refer to the same LOs.

HI @nc27 if you don't mind, next week i will be reviewing our new Gregory counterparty credit risk Study Notes (I am very excited for this!), which contains this topic of course. So i've bookmarked your question (since I can't immediately answer the two doubts at first glance) and plan to answer...

@AaronTKH are you a customer (forum does not indicate subscriber). copy @Nicole Seaman

I agree 100% with @lushukai 's calculations! For the 95.0% ES, I get the exact same answer per habitual application (to the same end): (-15.0%*1.0% + -10.0%*3.0% + -5.0%*1.0%)/5% = -10.0%, because you only want 1.0% of the third worst outcome to get to a total of 5.0% of the tail. @jihan w In...

HI @Dingo The regs were finalized by the Committee in December 2017, but implementation requirements were subsequent (there was always a "phase-in" that originally was 2019 but Basel III is an over-large clunky complex thing that kept morphing and delaying in pieces like a clumsy snail). I...

Hi @sulemanms202 Great question! My answer is: No, put-call parity is not directly related to (i.e., a function of) BSM assumptions. Put-call parity is a no-arbitrage condition that does not require any option pricing model, BSM or binomial or otherwise. Put call parity says, for European...

Hi @aditydev1997 Yes, I agree and as I recall this mistake has previously observed here in the forum. That should be an MA(4) with θ = {0, 0, 0, 1}. But any MA(q) is stationary. You probably have the wrong characteristic equation. MA(q) is a linear combination of white noise; recall to that an...

Hi @Ahmad Siam Wahidi I think Nicole will weigh in at some point (I'm busy with content and support) but briefly two points: (i) the EOC questions are sometimes tough to give you stretch practice, this has routinely been praised about BT (ie., is a feature not a bug), and (ii) if you are really...

Hi @daisypm I think you are right to be confused: I think this question makes no sense at all. I can see what it's trying to do with the interpolation: 7 years is between 5 and 10, it's 40% from 5 and 60% from 10. It is typical (in the key rate technique) to shock the 2, 5, 10 and 30 with...

Learning outcomes: Describe investment banking financing arrangements including private placement, public offering, best efforts, firm commitment, and Dutch auction approaches. Describe the potential conflicts of interest among commercial banking, securities services, and investment banking...

Hi @BDonn Sure thing (sorry i missed your earlier request), thank you for liking the video. Here is the XLS I created/used for it: https://www.dropbox.com/s/1mkkw4n6eytq2zr/101619-var-map-fixed-income.xlsx

Hi @patriciar I'll use a binomial to illustrate (this is a Malz example), let's assume $1.0 billion portfolio that contains 50 identical positions ($20.0 million per exposure) where each has a default probability of 2.0% (i.i.d. binomial). In credit risk, we can now refer to two points on the...

Hi @iamannchi in the ideal, I am sure you are right, but realistically it's hard to manage all such antecedents. I write a lot of questions that, in an attempt to give cross-topic exposure just don't prequalify some concepts/formulas. It's a trade off compounded by a "dynamic" syllabus (ie, that...