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Hi @Singh_mandeep24 Like Nicole said, we cannot make a determination for you, but I will say: I cannot imagine your experience not qualifying. Plenty of FRMs have been qualified with less relevant experience. You've been doing plenty of work directly in risk. I personally have no doubts ...

FAQ: Why does a floater price to par on coupon settlement dates; aka, how are we able to value the floating-rate leg of the swap as a single cash flow when it's really a stream of future cash flows? About the valuation of an interest rate swap "as if two bonds," a very popular question we get...

Hi @nhuxng Yes, that's excellent, thank you! I agree that I'm probably (above) mixing the sample size with the multiplier in my text; e.g., "... in each of our relevant cases, the standard error scales by 1/SQRT(n), where (n) is the multiplier on the sample size (or number of trials, in MCS)." I...

Hi @Raj Sachdeva See below, please (your image plus minor annotation). I'm glad you asked because the very reason I included those bullets was to remind readers that each column in the binomial tree is itself a binomial distribution. (Yes, that's definitional if not tautological but I've noticed...

Hi @Elizabeth_Babalola My apologies, but that is a mistake. (Thank you!). It should be that either: Solution given (follows text) is: 0.98*exp[(0.070 - 0.050)*2) = 1.020; or Question setup (follows solutions) is: "Suppose that the 2-year interest rates in Australia and the United States are 3%...

Hi @mrporters The daily volatility is 2.0% and the VaR is concerned with the worst expected loss at some confidence level. So σ(1-day)*CF = 2.0%*2.0 = 4.0% means that we expect better than (i.e., greater than) a one-day return of -4.0% on 97.7% of days or 97.70/100 days; or that we expect worse...

Hi @ktrathen Welcome! To me, that is merely a premise of the APT. I don't know about you, but I need examples. Using the CAPM to illustrate (as a special case of one factor) where E(r) = Rf + (Rm - Rf)*β, assume I told you that we can select among the following securities: Security A has β(A,M)...

Hi @mtakroosta we just got the announcement, too, about the ERP going CBT. I have not received any such similar news about the FRM ....

Hi @rohinjain If par yields are used, the sum of KR01's will not exactly equal the DV01, so it should probably say "The three changes add up approximately to a yield-based DV01." But this is a (very) subtle point due to the nature of a par yield. The more common misunderstanding here is how...

No worries! It would not be wrong to add the parens, but if we had to do that in every instance (to reinforce the order of ops), we'd have to redo a lot of formulas! :eek: Talk to you soon!

Hi @Elizabeth_Babalola Thank you, I hope you are keeping safe also! :) Can I clarify: do you mean that, in the denominator of the formula, instead of 1+Rf(T2 - T1), it should read 1+(Rf(T2 - T1))? And/or do you mean, in the equivalent calculation that, instead of (1+ 4.5 × 025), it should read...

Hi @mhkpayel20 The results should be similar because the only difference is the compound frequency assumption. For years I lobbied GARP to settle on a single compound frequency assumption, but they switch authors and readings so often that we don't get to assume continuous and deal only with...

Hi @Raj Sachdeva I would like to add another diagram to the notes (I had a chance to tweak the diagram due to a question recently asked). Below are the two cases. The first is GARP's example in their Chapter 1 (which confused me for a while because the yellow 12% is broken into 10% and 2% in...

HI @Eustice_Langham Good question, and I do agree with you that "curve risk" is synonymous with non-parallel term structure shifts; e.g., as you already wrote, Tuckman writes " ... the resulting hedge does not protect against curve risk, that is, changes in the slope of the term structure" ...

Hi @JLFRM2020 GARP's Part 1 notes (you may or may not realize) are new in the sense that it's the first year they wrote them in house; previously they were assigned to external authors, like Part 2 currently. My view is that new Chapters 4 and 5 are pretty weak. The first Learning Outcome...

Hi @WarrenSV In the source at https://forum.bionicturtle.com/threads/p1-t2-20-1-conditionally-independent-events.23249/ I explained ... ... so this is just a binomial distribution (btw, this is easily the most common credit distribution in the FRM just because it's so tractable). Because we...

Hi @Elizabeth_Babalola Sorry but there should be an additional set of parenthesis in the first formula. It should read: =(100*0.75%/2*0.99925)+(100*0.75%/2*0.99648)+((100+100*0.75%/2)*0.99135) ... The final cash flow, that includes the principal, is (100 + 100 * 0.75%/2) and that is multiplied...

Hi @mhkpayel20 See below; XLS is here https://www.dropbox.com/s/9tuaflaknmgj0je/052720-hull-10-5-volatility.xlsx?dl=0 There are a few ways to calculate daily volatility (as the question says). Here The daily prices (yellow cell) inputs inform the daily returns, u(i); I could have used...

Hi @Elizabeth_Babalola Yes, you are correct about both mistakes. Thank you for your attention to detail. We will fix on revision. In regard to page 32 of VRM-3, the red circled (see below) 0.2s should be 0.020, just as you suggest. And in regard to page 9 of VRM-4, yes the negative sign was...

Hi @vasvet We use this a lot, in the case of the symmetrical standard normal distribution: N(-Z) = 1 - N(Z). For example, N(-2.33) = 1 - N(Z) = 1 - 99.0% = 1.0%. In Excel that's NORM.S.DIST(-2.33) = 1.0% = 1 - NORM.S.DIST(2.33) = 1 - 99.0%. Similarly, where N(-1) is the inverse standard normal...