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@abh2013 - No, don't think it means your work experience has been validated. I think it just means you have passed both FRM exams. I also see FRM holder, but I just submit my work experience details literally 10 mins before checking.

@Ying2014 - I did something similar. Part 1 in Nov 2011 and Par 2 in Nov 2013. I didn't re-read the Part 1 syllabus before starting the Part II. However, while learning the Part 2 concepts - it was clear when I needed to go back to some Part 1 material to review, before proceeding. The only...

Passed FRM2 with 1,1,1,1,1! Though I wasn't a BT paid member, special thanks to BT team, @David Harper, CFA, FRM, CIPM and forum members. Most of the questions are very well thought out and test the AIM concepts right down to the deepest level. Very helpful!

@abh2013 and @Holmes Don't worry - I've found cases from previous years where it appeared one would have failed based on this 'trick' but they eventually did pass.

@Holmes for what it's worth, it took me to that stage too. If it doesn't let anyone get that far, please post! BTW, there's a significant lag between submitting your name, and the next screen showing up. Don't get excited if nothing opens up in two seconds ;). Wait for more like 10

@Holmes - The website interface for registration has changed. It's probably a software bug :)

Hi Logicpad, Thanks for the post. The generic principle for any derivative where no notional exchanges hands is that it prices to zero at the time of entering into it. PV(fixed leg) = PV(floating leg) is just replaced by Expected PV, where you think of expected as probabilistic...

Makes complete sense. Thanks very much for the detailed analysis!

Hi David, I have a doubt about 309.3, even after looking at references that I have access to. Much appreciated if you can give some clarification. c] seems false, because believe the unexpected loss (UL at given level of significance) tends to expected loss (EL) as n->infinity, in the case...

Great questions, especially .1 and .2. Thanks for posting. However, there are typos in the descriptions of both questions: In .1, $103.00*exp(-4%*0.5) should read as $103.00*exp(-4%*2.0) In .2, $5.00*exp[-(2.0%+3.0%)*1.5] should instead be $5.00*exp[-(2.0%+3.0%)*1.0]

Here's my understanding: Volatility is not always implied volatility. You could historically measure 'realized volatility' - of returns, of interest rates of any parameter. So to answer your question, you can numerically estimate vega for a IRS by bumping the volatility (input) used in the...

Swarnendu, You're mistaken here. CLN issuer is the protection BUYER, and the CLN buyer herself is the CDS/protection seller. To compensate the protection seller with the 'CDS' premium, CLN issuer pays a higher coupon to the CLN buyer. The buyer pays face value at inception. Now three things...

Think 208.2 is a well-framed question that actually demonstrates duration based VaR mapping in action. It's easy to get lost in too much descriptive text when there is no example. Attempting this question feels like I've improved my understanding. Thanks! I'd be checking option b], with the...

Those who've had exposure to stochastic processes at the graduate level will recognize that W(t) is the Wiener Process, which in fact has many interesting properties. It is the cornerstone of a class of pricing techniques in Quantitative Finance.

Hi Logicpad, The idea is basically on the same approach at highlighted in Malz Chap 7 for AIM 24.6 or even Malz Chapter 6 for AIM 18.6. The swap pricing principle is basic and holds for pricing any kind of swap, and carries over from FRM 1. Just think of expected payments from either party's...

Hi Swarnendu, Under low probability of default and low correlation, it is very unlikely that there will be more than a few defaults. Thus under these conditions, the equity tranche suffers all the losses, and the mezzanine (subordinate tranche) will be basically safe - just like senior...

303.1 and 302.2 are nicely written to drive the point home that dw = sigma*sqrt(dt)*Z [where Z ~N(0,1), the standard normal variate] Thanks!

Appreciate your response, David. Thank you! Like I thought, he is taking variance as a measure of risk, not standard deviation.

Hi BT community, I have a question. Appreciate if someone can advise: 304.1: b] is definitely the answer, since unconditional probability of default being 2% means the value of the standard normal variate such that the area to it's left is 98%. Can be looked up from the normal tables as...

Here's my take: 301.1] d] is false. The described phenomenon is actually risk shifting. 301.2] d] is false. That actually reflects the probability of default after time t, a.k.a. survival probability till time t. The r.v. is t* 301.3] c] 192 bps. The exposure in $ terms is not required. R is 40%...