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pls visit the link for more information: http://forum.bionicturtle.com/threads/frm-level-2-nov-2012-expected-cutoff-passing-score-out-of-80.6534/#post-21514 http://forum.bionicturtle.com/threads/how-garp-calculates-passing-score.4039/#post-10718...

a short put option has payoff = premium-max(X-St,0) so that losses increases when the stock price moves down due to degree of loss aversion the investors panic when price goes down and thus would result in more losses than anticipated because all investors would take out their money leading to...

Hi there, When more independent variables are added to the regression than the value of R^2 increases that means now the regression is more better able to explain the regression. Its possible that the R^2 has increases by addition of independent variable but the variable in itself is not...

hi As i infer from above equations, Tier 1>Tier2 + Tier3..(1) is the strict inequality which should always hold i think the inequlities Tier1>=Tier2 (2), Tier3=<250% of Tier1 .(3) do not hold in the strictest sense. so that (1) always holds under the condition that Tier1>=Tier2, Tier3=<250% of...

here are rest to 49. Merton Models: PD=N{[ln(F/V)-mean*(T-t)+.5*stdDev^2*(T-t)]/stdDev*sqrt(T-t)} 50. LGD= F*PD-V*exp(mean*(T-t))*N(d) 51. Vulnerable option= (1-PD)*c +PD*RR*c 52. CDS Spread; PV of payoff =s* PV of payments => s=PV of payoff/PV of payments 53. RAROC= [Revenues-Expected...

Here are the rest of the lot for the part II, 21.Marginal Contribution to value added= Alpha of asset- 2*Risk Aversion* Active Risk*Marginal contribution to active risk 22.Average Log Return= ln(1+r1)+ln(1+r2)+ln(1+r3)+................ln(1+rT)/T 23. Alpha and IR test: t(alpha%)=...

Ok that was for part I but now lets have a look on part II important formulas from the exam point of view, 1. Arithmetic Return= (Pt+Dt-Pt-1)/Pt-1 where Pt and Pt-1 are prices at time t and t-1 resp. and Dt is the dividends flow between time t-1 and t 2. Geometric Return= ln([Pt+Dt]/Pt-1) 3...

hi Forward price= current spot price+interest on current spot price+ FV(cost) - FV(benefits) Forward price= current spot price*e^rt+ FV(cost) - FV(benefits) FV(benefits)=0 and FV(cost)= 0.0042 *(e^3r/12+e^2r/12+e^r/12+1) Forward price= current spot price*e^3r/12+ 0.0042...

@ryno9181 Yes i read it but i did focused on the earlier chapters which deals with basics and fundamentals. But the later chapters are a bit advanced they do require some time.I just skimmed through the later chapters or read it in one go. I did paid special attention to earlier chapters lie up...

21. Poisson distribution: P(X=x)=lambda^x*exp(-lambda)/x! 22.adjusted R^2= 1-(n-1/n-k-1)*(1-R^2) where R^2 is the coefficient of determination, k:no of independent variables 23. Geometric Brownian motion= dSt= mean(t)*St*dt + stdDevt*St*dz where mean(t)*St*dt =constant drift term and...

Hi starting a new thread for the important formulas that can come in handy for your exams. Let me start with the following(these are relevant for part I) : 1. Holding Period Return=(V1-V0+D1)/V0 2. Standardized Return= (mean return-Target return)/standard deviation of returns 3. Expected...

Hi, Yeah i agree with David, Hull is a great book with almost comprehensive coverage of important concepts relevant to frm exam. I would recommend to anyone giving the exam. I read it before my preparation too and got success. It is a good book dealing with important topics which are very...

its two step model so that each step is of duration 6 months/2 = 3 months or 1/4 yrs U and D value are given that so that U=1.2(up 20%) and D=.8(down 20%) risk neutral probability of up is given by=e^rT-D/U-D=(e^.12/4-.8)/(1.2-.8)=1.03045-.8/.4=.576 thanks

A CDS has two counter-parties a buyer of CDS and the seller of this CDS Now the buyer could own any asset for e.g. a bond of a Company than in order to protect himself against a default by the bond the buyer buys a CDS from the seller. SO that if at all bond defaults at any future date than the...

hi value of portfolio=V=long delta (d) shares + short one option delta=C2-C1/S2-S1 let S goes from S to following in next step, S->S+(up) or S->S-(down) delta*(S+) - C+=delta*(S-) -C (same pay in either state for risk-less portfolio) =>delta*(S+)-delta*(S-)=C+ - C- delta=(C+ - C-)/(S+ - S-) so...

you can always infer the above two assumptions from the question you said If you can infer the assumptions than its good to proceed.i mean it should be implicitely/explicitely mentioned in the question. But FRm sets a standard sets of questions which has similar assumtions that follows and if...

Hi steve, Yes in the end it depends on the Q's assumptions , that is one of the two assumptions should be given, i) the profit is not withdrawn ii) the profit is withdrawn please do check the above two assumptions whether thy are valid in the context of the Question given before proceeding with...

hi let x be the principal value than for this value of principal, EL(x)= PD*Principal*LGD= 3%*x*x/18 (LGD and PD need to be independent since any two events independent implies P(A*B)=P(A)*P(B), so PD does not depends on the LGD whcih depends on the the value of x so that PD is in itself...

hi, Please follow the instructions, yes there are some rough space given on the Q booklet itself where you can write the rough work and perform calculations and write notes etc. But please do read the instructions carefully given on the Q booklet itself before starting to write the exam that...

case i) (assets higher than liabilities) or A>L net assets=A-L, currency depreciates from 50$/FC to 40$/FC so that net assets goes from 50(A-L) to 40(A-L) by -10(A-L). This is a loss of 10(A-L). B/S, suppose assets are 10 FC and Liabilities are 5 FC Assets(in $) 50$/FC(10FC)=500 Liabilities(in...