Search results

@Elizabeth_Babalola sorry, in haste i wrote α(P) instead of σ(P). Fixed above. Should be as follows: E(Rp) - Rf = α(P) + β*E(Rm - Rf); divide by sides by σ(P): [E(Rp) - Rf]/σ(P) = [α(P) + β*E(Rm - Rf)] / σ(P) = α(P)/σ(P) + β*E(Rm - Rf)/σ(P). But β ~= σ(P)/σ(M), so [E(Rp) - Rf]/σ(P) = α(P)/σ(P)...

Hi @Elizabeth_Babalola dividing by σ(P) because Jensen's alpha says E(Rp) - Rf = α(P) + β*E(Rm - Rf) and dividing by α(P) gives [E(Rp) - Rf]/α(P) = α(P)/α(P) + β/α(P)*E(Rm - Rf), but if B ~ σ(P)/σ(M) then β/α(P) = σ(P)/σ(M) * 1/σ(P) = 1/σ(M) and α(P) = α(P)/α(P) + 1/σ(M)*E(Rm - Rf). Append...

@Mh.gharagozlou also please review the forum before asking a totally repetitive question. This open forum does not exist to add to our stress. It's enough work to write totally new PQs every week (which is part of the content), answer questions every day, etc etc. Please read the forum so you...

FYI, somebody asked: "Can I ask a question here? If I register for the October(previously May) exam now will it be considered an early registration or a late registration?" (here at reddit/FRM ) ... I'm don't know the answer to that

Thank you @Nicole Seaman Are we assuming that a fail in October cannot sit P1 again in November @celclevil89 because it would presumably be too late to register for November? I don't see where the email explicitly addresses this scenario ... is it conceivable GARP didn't consider the scenario...

Hi @jihan w Not yet. Many have been updated in raw form (but not yet published) because our sequence is to prioritize the notes and PQs, then videos, however, in most cases, I am required to first update the spreadsheets (as they are used for exhibits in notes). For anything quantitative, my...

Hi @Eustice_Langham Thank you for liking the video! The call option delta is given by exp(-qT)*N(d1) where q is the dividend yield such that, in the case of a non-dividend-paying stock, the Δ reduces to N(d1). Even when there is a dividend yield, exp(-qT) is almost 1.0 so that N(d1) approximates...

Hi @elena77 See below (Hull 18.7), d1 for options on futures is slightly different, and more advanced. Hull 18.6 actually shows the derivation. Thanks,

Hi @sgrgpt I think it's a profound question. From my perspective, I don't see how they can avoid it given the status of the Part 1 material. First, please note that GARP gives itself utter leeway by anchoring on "broad knowledge points." But there can be different interpretaiont of "outside the...

@thanhtam92 no, not quite. If gold producers hedge, like any commodity producer who plans to sell in the future (at the then-prevailing, currently unknown price such that their risk is a drop in the gold/asset price), the producer employ a short hedge: they enter into short gold futures...

HI @olivierbuisson Sorry for the broken Basel link(s)! @Nicole Seaman can you please check/fix? Regarding the status of P2, I think we are actually in pretty good shape at this point, see https://forum.bionicturtle.com/threads/2020-part-2-new-and-updated-published-materials.23057/ As you surely...

@taekyeong.katy.ko FRM is smaller than CFA, I think the comparison in terms of annual registrants is >80k versus 250k is what I thought I read about the CFA (@Nicole Seaman does that sound right? Nevermind, I just accessed the EPP presentation which says "Over 80,000 registrations in 2019"), so...

Hi @Eustice_Langham I interpret "the average time until the bond holder receives cash flows decreases" as a reference to duration (strictly speaking, Macaulay duration). Of course you are correct about the future stream of cash flows under a fixed rate bond: if we have a 3.0% annual-pay coupon...

totally agree @Nicole Seaman

Thank you so much @frenchmarmot for the positive feedback, much appreciated (given the time and expense that was invested)!

Hi @corinne.lieberman21 I understand the challenge, but I do not have a specific view on this because it's the first cycle of the new, expanded material. To be really candid, I think it's a problem GARP created for everybody. There is way too much P2 material such that, in the first cycle (and...

Thank you @Evangelia_Mintzai2 for copying GARP's response. The wording of these two sentences is awkward to me: "And also we don't change the current exam schedule. However, We will let you know if it's necessary to cancel to defer the exam in May."

Learning objectives: Explain the arbitrage pricing theory (APT), describe its assumptions and compare the APT to the CAPM. Describe the inputs (including factor betas) to a multifactor model. Calculate the expected return of an asset using a single-factor and a multifactor model. Explain models...

Learning objectives: Differentiate between the various transaction and non-transaction deposit types. Compare different methods used to determine the pricing of deposits and calculate the price of a deposit account using cost-plus, marginal cost and conditional pricing formulas. Explain...

@Aditya Bhat No, ES is an average of some percentage of the loss tail. Please see my comment here https://forum.bionicturtle.com/threads/problems-in-garps-2020-frm-material.23011/post-80533 and/or search "expected shortfall" (we also have a tag...