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Hey, I just found this... http://www.garpdigitallibrary.org/display/frm_course_pack.asp, "2013 FRM Part II Books - Pre-Purchase NOW! To be shipped beginning the week of 1/28." Beginning of 28? But why so late? This is strange because they have already all readings available. FS

Hi VP26, Where can I find the 2013 reading list? It seems then that books are available in printed format only - as far as I know last year they were available in electronic format as well... not good for me...

Pass Level I! 1/1/1/1. Thanks David! And now Level 2.

Hi David, If there will be a question like... compute the duration... which one we should compute? I mean the modified or the macaulay... Thanks, FS

John Simpson, FRM, is debating whether or not the capital asset pricing model (CAPM) is an appropriate technique for estimating the equity required rate of return for a publicly traded company. The CAPM in practice is subject to which of the following limiting assumptions? a. Only large stock...

Hi David, There is a question in the GARP exam, asking if we are short or long FRA (question 18, 2012 practice exam). What does it mean being long or short FRA? One of the two sides is paying fixed - floating (or floating - fixed). Thanks as usual for your support, FS

Hi David, Can you please answer to the above question? I have as well three questions on the "P1.T3. Financial Market & Products" for which I'm waiting for an answer. Thanks for your cooperation, FS

Hi David, In the example 170.3, you use PMT = 20 even if the coupon is computed with a basis ACT/ACT so I think that the coupon payment should not be always 20. Is this an approximation or am I missing something? Thanks, FS

Hi David, What is the formula to compute the "true yield" of a treasury bill? I'm not able to understand the formula of the exercise 169.4. Thanks, FS

Hi David, In the question 153.4, I see following formula to compute R^2: R^2 = h*^2 * var(F)/var(S) Where does this formula mean? Thanks, Fabiano

Hi David, I see that in your questions (e.g. 151.1, 151.2) it is required to know the size of futures contracts (e.g. crude oil, copper...). Should I remember all these values? Thanks, Fabiano

Hi David, In the FRM handbook there is the following question: "Assume that a random variable follows a normal distribution with a mean of 80 and standard deviation of 24. What is the probability that this random variable is not between 32 and 116?" I think that it is required the z-table in...

Hi David, In your "Estimating Volatilites and Correlations" practice questions, there is following question: "If w is a column vector of portfolio weights, w(T) is the transposed row vector of the same weights and Z is a covariance matrix, which of the following is LEAST likely to suggest a...

Hi David, I found this question in your practice on Estimating Volatilities and Correlations (Hull): "Assume an exponentially weighted moving average (EWMA) model with a lambda parameter of 0.94 (as per RiskMetrics). Yesterday’s DAILY volatility was 1.90%. The price of the stock closed at...

Ok, thanks for the quick answer. Regards, FS

Thanks, now it is clear. Can you please explain as well how do you calculate the standard deviation with auto-correlation (in the example it is 3.12%)? Thanks, FS

Hi David, Why Monte Carlo simulation is considered a non-parametric approach to VaR calculation (T2 page 114)? I thought that the distribution assumption is needed for Monte Carlo simulation (in Jorion, it should be needed for the simulation of price path). Thanks, FS

Hi David, On page 110 of T2, there is an example where the volatility (per year) is 12.4% and the time horizon h is 10 days. How can I compute the standard deviation iid for h days (in the example it is 2.48%)? Thanks, FS

Hi David, I agree with Edward. I see that the T3 has not been published yet. Thanks, FS

Hi David, Are you going to publish as scheduled the P1.T3 part today? Thanks, FS