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    Testability of TSM (Term Structure Models)

    Thank you, @David Harper CFA FRM
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    Testability of TSM (Term Structure Models)

    Thank you for your response. My question is more in line with the Term Structure Models incorporating Drift (i.e., Cox-Ingersoll, Model 1, Model 2, etc.) where we say that "dw" is a random variable. How is the randomization performed? Taken from the Study Notes on the TSM: "Assume our uniform...
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    Testability of TSM (Term Structure Models)

    Good morning, In all of the term structure models, we have "dw" serving as a normal random variable, in which David recommends to use Norm.S.InV on that uniform random variable. I'm curious if anyone could provide how to prepare for this, given that there is a "randomization" factor in the...
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    Any whatsapp study group for P2 May 2021?

    Nick : +1973861368. Thank you!
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    Exam Feedback November 2020 Part 1 Exam Feedback

    Passed with 3,1,1,3 - thank you, BT!
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    CAPM Implications with MRP Negative - WACC Upper/Lower Bounds

    Theoretically, is it possible to have a negative MRP where the Risk free rate is greater than the Market return? I'm thinking of finding the upper and lower bounds for the WACC and the market return is unknown. Would the lower bound be where Expected Market Return equal to Risk Free Rate...
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    Exam Feedback November 2020 Part 1 Exam Feedback

    I sent an email out regarding this, and got this note back. "Please note that membership is not required in order to pursue or maintain your FRM certification, but it does provide you with access to a network of FRM certification holders around the world. Some find value in being a part of this...
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    Basic Math Associated with Poisson Process

    Ah, thank you @dtammerz. I must have missed that math class back in the day lol. Thank you for that tidbit that's super helpful to know!
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    Basic Math Associated with Poisson Process

    In the following GARP 2020 Practice Exam question #65, we use the Poisson process for defaults at 1 and 0. 65. An analyst on the fixed-income trading desk observed that the number of defaults per year in the bond portfolio follows a Poisson process. The average number of defaults is four per...
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    Difference in GARP vs BT Binomial calculation of "u" and "d"

    Thank you, David! Will take that approach going forward.
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    Difference in GARP vs BT Binomial calculation of "u" and "d"

    Just want to bump this as new, hoping to gain some clarity as this discrepancies is causing issues in my risk-neutral probability switching between BT and GARP material..thanks
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    Difference in GARP vs BT Binomial calculation of "u" and "d"

    https://www.bionicturtle.com/courses/frm-part-1-advanced/lessons/chapter-14-binomial-trees/topic/instructional-video-binomial-trees/
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    Difference in GARP vs BT Binomial calculation of "u" and "d"

    Based on the binomial trees video you provided, we calculate the u and d with volatility as: However, in the 2019 GARP Practice Exam question #87 when calculation risk neutral probability it is simply 1+volatility an 1-volatility for u and d, respectively: Is there a reason for the logic...
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    Compute Delta

    Great news, Thanks David!
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    Compute Delta

    We know that a non-dividend paying stock N(d1) is equal to that option's percent delta. Given that we can solve for d1 using an equation, how do we compute N(d1) to solve for delta on the exam?
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