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Hi @bradnhopkins I haven't carefully analyzed the derivations in GARP's T1.Chapter 7, and you might be correct (certainly this material contains a lot of mistakes), but I will just note: of course the OLS estimators are unbiased (that's the "U" in BLUE, after all!; BLUE is the Best/most...

Hi Sam (@ucaksbu ) I'll let @Nicole Seaman answer your first set of questions, but I just wanted to weigh in on "there are now 2 exams, one in October, one in November, is the expectation from you guys that these exams are equivalent in what material they cover?" Yes, the October is the...

That's super cool @Sixcarbs! Another thing you can do, and I guess it's more of a trick-shortcut is use the signs (+/-) in put-call parity where (+) is long and (-) is short. I always start with protective put equals call plus cash: p + S = c + K*exp(-rT, it's the only one I memorize.. In this...

Hi @clement I don't think it quite works because (n) is just an index in the summation. To illustrate with ridiculously rounded spreads, say we two positions: #1 position: 10 shares of $9.00 / $11.00 with position value of #10 * $10.00 = $100.00; spread, s = (11 - 9)/10 = 20.0% #2 position: 20...

Thank you @Nicole Seaman good find! To your point, I think the note is correct as it is @FRMNinjaLeonardo I think the confusion is that the last term (second bullet) contains σ(M) divisor, but this is the result of taking Jensen's alpha: E(Rp) - Rf = α + β*[E(Rm) - Rf] where β = ρ*σ(p)/σ(m)...

And I would just add @carroleo, but i'll be brief, GARP somewhat frenetically reshuffles these P1.T2. LOs, but overall the basic set has been 90% (or unchanged) unchanged in years. The irony is their own new 2020 notes are imperfectly mapped, so next year they will get another revision because...

Hi @Elizabeth_Babalola Yes, you are correct, it should be: ES(X) + ES(Y) ≥ ES(X + Y). Thank you for spotting these typos! @Nicole Seaman I have saved correct version (in ROOT) to T4-VRM-1-Ch1-FR-Measures-v3.01 (but this can await next batch; i.e., let's without publish until we have more to edit)

Hi @MagnusNordzell Yes, we agree. Please see my post here https://forum.bionicturtle.com/threads/problems-in-garps-2020-frm-material.23011/post-80349 i.e.,

H @Raj Sachdeva That link seems to work for me: https://forum.bionicturtle.com/threads/market-portfolio-and-derivative-of- weight.9919/#post-45560 i.e., please note also some discussion at https://forum.bionicturtle.com/threads/p1-t2-305-minimum-variance-hedge-miller.6800/

Hi @Eustice_Langham I think @Nicole Seaman already did a good job answering you, but I will add a bit. In the specific, a P1 (or P2 for that matter) FRM candidate definitely needs to know how to solve a two-asset portfolio expected return and variance. This is highly testable. Previous exams...

moved duplicate question to where I answered

Hi @kausthub When Tuckman (Chapter 7) extends the risk-neutral probability example from 1.0 year to 1.5 years (three six month periods, as you say), he only adds to the scenario: the 1.0 year assumptions that informed the risk-neutral (RN) p = 80.24% remain. That is to say, the assumption in...

Hi @ruben.gasparyan Sure, thank you for visiting our forum to ask :). Here is the XLS I used for the above ES video: https://www.dropbox.com/s/mne5ghyn93nrbqq/091719-expected-shortfall-P2-T5-R35-Dowd-23-ver2-2.xlsx?dl=0 Let me know if you have any questions ...

Hi @Sixcarbs I don't know. But here is the deck from the January webcast: https://www.dropbox.com/s/h5vqsa514k9x5ak/GARP 2020 Candidate Webcast slides.pdf?dl=0 Slide 3 repeats from last year that GARP has "150,000+ members," but I don't know if membership requires an FRM (?)

Hi @ChristofferLoov I do agree with the gist of your second and third paragraphs above; i.e., if we want a more thorough view of the different possible outcomes, we probably need to simulate; and copulas allows us to model high tail dependence. The analytical unexpected loss (UL) in Schroeck...

Hi @Sixcarbs sorry for the delay responding; I didn't mean to take you for granted ;) I count the following three as resourceful with respect to risk-weighted assets (RWA) in Part 2; i.e., ORR-14, ORR-19 and ORR-20: [ORR–14] Capital Planning at Large Bank Holding Companies: Supervisory...

HI @ckwhan Yes, your formula for gamma is correct. I was referring to the same gamma for a non-dividend-paying stock such that q = 0, where q is the dividend yield, and exp(-qt) = exp(0) = 1.0. Yours is better because it's more general. Thanks,

Hi @ChristofferLoov Right, well, I am not myself sure that any multivariate normal application is a showcase for the advantage of copulas; if i think in terms of code (I use r #stats) and if the goal is to simulate (eg) multivariate normal, I am not sure why I would need a "copula." I put quotes...

@Elizabeth_Babalola Okay, right, that's fair ... I just pulled up the text (thank you @Nicole Seaman for giving the exact reference, that's why I didn't look before because without a pointer it just takes too long to find, but your pointer makes it quicker) .... σ (diff) = sqrt[(2^2 + 1^2 -...

HI @Elizabeth_Babalola 0.78 = 0.398 * NORM.S.INV(97.5%) = 0.398 * 1.96 = 0.78. And 1.02 = 0.398 * NORM.S.INV(99.5%) = 0.398 * 2.58 = 1.88, where 1.96 is the 2-tailed 95.0% confident standard normal deviate/quantile and 2.58 is the 2-tailed 99.0% confident standard normal deviate. I admit that my...