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hi, Downgrading is not a credit event(i mean the terns of the CLN can be such that there is payoff from the protection seller in case of a downgrade) , you can think as If there is a Bond downgrade then the credit risk of bond increases manifolds so that the credit spread earned by the issuer...

Hi, CLN issuer = short bond + long CDS. CLN means issuers sells note (bond) plus buys credit protection from the CLN investor.This means the issuer pass on any default/interest on bond to the investor of CLN. Issuer sells CDS and gets CDS spread from the protection Buyer. Thus any default on the...

Hi Under ES estimation the tail region is assigned a distribution(e.g. extreme value or POT) now this distribution is divided into equal probability slices weighted by the more general risk aversion (weighting) function. The focus is on tail region only the difference is that the tail region...

Hi there, WE calculate the Var in the conventional way assuming the elliptical distributions like normal, lognormal etc. for the portfolio. The correlation used is also used for measuring the linear relationship between the variables not the non linear relationship which can exist and can...

Hi The CAL is the plot of portfolios expected returns Vs the portfolios standard deviation(both systematic and unsystematic). CML is a special CAL where the risky portfolio is the market portfolio. CAPM makes further assumption for CML that portfolio is well diversified in that case only the...

Yes returns (in %) are normally distributed, but Prices (in $) are lognormally distributed. Yes its analogous to it, the mean of normal distrbn is arithmetic mean while that of lognormal is geometric which is mean-.5*sigma^2< Arithmetic mean of a normal distribution. Lognormal helps to plot the...

A variable x is normally distributed then the logarithm values of this variable x is said to be lognormally distributed. This is lognormal distribution. For e.g. if returns of stock ln(St/St-1) are normally distributed then ln(St/St-1) ~N(0,1) this means that Stock price St are lognormally...

Nice to see that most of BT members passed , BT is really a source of inspiration to all of those who aspire to give exam in the future. Its a great site for anyone preparing for the frm exam.I mean the videos are impeccable and perfect. Supplemented by spreadsheets and study notes really makes...

Hi, The meaning of 10% semiannual coupons is that the bond pays coupon at 10% of face value per year compounded semiannually. So the rate is 5% per semiannual period which is used to pay coupon at end of each half year. so that for a bond with face value 100 with 10% semiannual couponsmeans that...

The semiannual coupon given 4% is given in yearly terms but the coupon are paid out semiannually so we discount them by 4/2%=2% to price the bond. thanks

Hi A congratulations and best wishes to all those who passed the exam.It was remarkable to see all those who passed in the forum. Really you people deserves a applause. Who passed part 1 ATB for next part 2 and those of you who cleared both parts 1 and 2 congrats on becoming frm...

Hi, 1. I used schwser and john Hull textbook as my preparation towards the exam. BT videos also helped a lot. 2. Revieved garp sample papers of previous years together with EOC exercises. 3. Regularly 5-6 hrs for 3 months (gave first 1.5 month for study of all AIM topics then 1 month for hull...

Hi sure you can sit for both at one go but would require greater time of effort on your part but i would advise to give one part at a time. 1. Yes your score for part 2 be gone if you fail part 1. (i.e. you have to do part 2 again) if you pass part 2 and not part 1 than all is gone and you need...

Hi, THe scaling factor for annualizing returns is T so multiple daily return by 252 to get in annual terms. calculate the daily returns as ln(St/St-1) and then take the average of these returns over the entire 252 day period and then multiply by 252. so the final average daily return...

There are snippets of tables or values provided in the exam booklet itself for t or other distributions. There are no separate look up tables provided in the exam if there are some values used in the question then this are mentioned in the question itself. Although you can memorize some of...

Hi, Portfolio of only A class will have spread of 10 portfolio of A and B will have duration adjusted spread of 27 the higher weight of B along with the higher duration will tilt the overall spread of portfolio towards the spread of B and since the B has higher duration the overall portfolio...

Hi Just read and understand what you read but its not necessary to get into the details. But if you have time left behind after you cover your readings in first go then you can revisit the sections which you have not understand properly and get into details if necessary. But to make sure that...

hi, please refer to the link: http://forum.bionicturtle.com/threads/part-2-curriculum-changes-2012-vs-2013.6653/ thanks

Hi, No need to panic just wait for the results. Best of luck may you and the BT members pass with flying colors and best of luck to David so that this time around there is highest percent of members passing. Thanks and best wishes to all...may all of you realize your dream of becoming an frm...

Yes you can achieve your goal provided you remain regular in your studies and complete the course in due time. There seems to be one month gap between cfa L1 and frm part 1 which is enough but do make sure that you cover the L1 prior to these so that during this time you can cover the L1...