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Hi, If suppose the new counterparty exposure after gain of 300t or .3mn as is 10.2mn then out of .5mn posted under min. Transfer amt the 300t gain can be recouped from counterparty i think(not sure as per my opinion),as mtm is 10.2 mn our new threshold is 10.7 mn as min transfer amt will add to...

Please seee in Uses and Benefits in following page: https://asxenergy.com.au/trading/trading_mechanism/exchange_for_physicalefp Thanks

Hi FAS 133 anf IFRS are nothing but hedge accounting standards and priciples. We need to abide by these standards. IFRS is international financial reporting standards. To know more : http://www.afponline.org/pub/res/news/Hedge_Accounting_from_FAS_133_to_the_IFRS_Transition.html Thanks

Please visit: https://forum.bionicturtle.com/threads/garch-vs-ewma.7374/#post-26666 The alpha chosen is more subjective u can choose either .94 or .97. You can solve for alpha on an empirical data ,allow some judgement on your part and adjust the calculated alpha accordingle. Normally alpha is...

May be i can answer a few, Your Q 13 is very interesting i like it. See you are trying to fit discrete values with continous,Var is based on continous distribution aapproach while we are dealing with discrete numbets here.if we assume p/l data instead of continous data a discrete distn like...

Hi Suppose reference currency is usd so rate is usd/eur it changes from 1.2usd/eur to 1.5usd/eur so Geom ret=ln(1.5/1.2)=ln(1.25) and arith return=(1.5/1.2)-1=25%. If instead reference currency is eur then rate changed from 1/1.2eur/usd to 1/1.5eur/usd then geom ret =ln(1.2/1.5) =-ln(1.25)...

Yes distributions are covered in chapter 4 miller,also covered in frm.please check reading in topic 1only the distributions should be covered. Yes such basics u should cover first which would be helpful for further readings.please go through elementery stats book u shall find many things about...

Congratulations to everybody here whose dream of becoming a "certified FRM" has been fulfilled. All the best wishes and good luck from my side and have a bright risk career ahead. David and Nicole too deserve applause for the great job they are doing. Really BT has made it less budensome and...

Visit to clarify yourself: https://forum.bionicturtle.com/threads/frm-fun-11-do-we-really-need-all-three-durations-lets-settle-this-now.6012/#post-18668 Thanks

Hi 7.81 yrs is the modified duration only. Its % chg in price/%chg in yield. Here % chg in yield=1.398% so % chg inn price=1.398%*mod durn so chg in price =price*1.398%*mod durn=852.8*1.398%*7.81. How u got confused its not macualay but mod durn. Becuase of unit years? Both have same unit...

Please download the changes in 2015 i.e. New readings added from this link http://www.garp.org/media/1489123/frm_study_guide_changes_2015_-_final.pdf then find these new readings in goigle search engine u shall get some references to these readings but not the exact frm readings. You need to pay...

Hi, Risk free rate and zero curve are not same. We use zero curve to know discount rate(which is yield of zero) at some point of time, use these series of zero rates determined from several zero coupon bonds as discount rates at various points in time to calculate PV of the coupon bond which is...

Hi, According to me the order of difficulty is: CFA2>FRM I>FRM II.cfa2 is difficult because of the length of course its enormous and high dense material to understand. Many impotant concepts of finance are covered which requires deeper understanding.Frm I is mote elementery and important as...

There are number of operational courses available besidesFrm focussing on operational risk: 1) http://kesdee.com/coursedetails.jsp?productid=22&groupID=10 2) PRmis: http://www.prmia.org/orm-certificate/preparation 3) http://www.edupristine.com/courses/operational-risk/ 4)...

Yes its theta:). Thanks

Hi, the missing letter i think is k. Because in the model k-r(t) is the only difference term and also the difference seems to be positively related to the the change in interest rates. Therefore greater the difference between r and k greater should be the expected change in the shorter term...

Hi, If its hard for u understanding like this you can think of this IRS position of long Libor and short Repo as long a libpr as a position in bond(X) with average libor over the period equal to yield say y1=<libor> for the bond X + a short position in the repo govt. Bond (Y)with yield average...

I also have used the study planner. Please navigate as 1)navigate to study planner there are given all major topic areas of part i 2)choose any topic in part 1 by clicking on the arrow> beside the topic on right side e.g. Quantitative Analysis >, click > 3) Now are given topic areas chapters...

Hi, I think these terms are used to denote the number of the return e.g. n-1th return is 6%,n-2th return is 5% and so on. So that total of four returns n-1,n-2,n-3,n-4th returns are used to calculate moving average. There is typo of using m instead of n in m-2 si its n-2 instead of m-2. n-1 to...

Hi Firstly as David said above that FRM is more valuable than PRM with greater mkt penetration,greater growth rate, popularity,better job prospects and much bigger market so adding PRM will certainly not add to much value to your CV. Both exams are similar in terms of learning, i am saying what...