Search results

  1. S

    T3. Mkt Prdts (Global T3 Topic Drill)

    Hi folks, For question 203.1 and 203.2, I noticed we are taking (100÷ the longer year bond PV) to get the zero rate. Example for 203.1, it is 100÷96.58 . Why shouldn't we use the PV of the 3yr Treasury Bond divided by the PV of 5yr Treasury Bond?
  2. S

    T3. Markets & Prdts (McDonald and Geman)

    thanks!
  3. S

    P1.T2 Quantitative Analysis (Chpt 3 of Stock and Watson)

    I have found this link to compute duration http://www.bionicturtle.com/how-to/article/texas_instruments_ba_ii_plus_ti_ba_ii_essential_functions_for_the_frm/ using Texas BA II Plus. How do we determine the amount of basis shock if we were to solve question 25.1 of Tuckman's Fixed Income Market...
  4. S

    P1.T2 Quantitative Analysis (Chpt 3 of Stock and Watson)

    About standard deviation, on question 209.1, the answer is C. The standard error is derived by (0.15x 0.85÷60)^0.5. Is this an alternative method to calculate standard error besides S÷√60? is 0.15x0.85 the standard deviation? On question 210.2, I'm still confused why the answer is c instead...
  5. S

    Preparing for Nov FRM (Part I)

    Thanks Dave and Shakti. Any important parts do you think I should focus? Also how about Basel?
  6. S

    T3. Markets & Prdts (McDonald and Geman)

    May I know where can I find some explanation or examples on Stack Hedge VS Strip Hedge?
  7. S

    T3. Markets & Prdts (McDonald and Geman)

    Hi question 189.2, is it always 2 Gasoline and 1 Heating Oil to 3 Oil futures?
  8. S

    Preparing for Nov FRM (Part I)

    Hi there! Is Credit Risk covered in Level 1 FRM? If so, which section should be the focus? I can think of Ong's Portfolio Expected Unexpected Loss
  9. S

    p1.T4 Measures of Financial Risk (chpt 2 Dowd)

    For question 30.4, why do we have to multiply 50% × 0 + 50% × E[loss|loss event] I mean why should 50% be the average of the 10% tail?
  10. S

    L1.T4.Basic Bond Pricing (spot and forward rates)

    On 13.2, why should it be 99.90 ÷ 98.56?
  11. S

    P1.T4 One Factor Measures of Risk Measure

    Hi, Q15.4, How do we derive the bond price at $45.6387? I've got $59.229 instead. N=20, FV=100 Thanks!
  12. S

    Diff btwn Binomial, Black Scholes Merton, Geometric Brownian Motn

    oops thanks!
  13. S

    Valuatn & Risk Model: Hull 11,13, 17

    Thanks Dave, Another question. 17.21, it states forward contract delta = EXP(-qT). Why does forward contract not cumulatively compounded by riskfree rate r?
  14. S

    Diff btwn Binomial, Black Scholes Merton, Geometric Brownian Motn

    Also, how do I computeN(d1)?
  15. S

    Diff btwn Binomial, Black Scholes Merton, Geometric Brownian Motn

    I'm still a bit confused by the answer for 13.08(a). How can we derive N(0.008) as N(d2)? Also 13.08C? And the difference between absolute and relative VaR (13.08d and 13.08e)?
  16. S

    Diff btwn Binomial, Black Scholes Merton, Geometric Brownian Motn

    thank you Shakti!
  17. S

    Diff btwn Binomial, Black Scholes Merton, Geometric Brownian Motn

    Hi, Can anyone give a detailed concept of Binomial, Black Scholes Merton, Geometric Brownian Motion, Monte CArlo for Valuation? Which is applicable in which circumstances? I'm taking Level 1 this year so I'm not sure if all will be tested and I'm pretty confused by them. My understanding...
  18. S

    Valuatn & Risk Model: Hull 11,13, 17

    Hi I'm looking at question 13.07C. The answer says "price distribution is lognormal (log returns are normal) which is positively skewed: the mean greater than the median". Shouldn't it be negatively skewed? Thanks
  19. S

    Mortgages

    Do we just need to focus on these topic areas? Foundations Quantitative Analysis Products & Markets Valuation & Risk Models Market Risk Credit Risk Operational (Integrated) Risk Investment Risk Current Issues Thanks
  20. S

    Mortgages

    Hi, Is mortgages not tested in coming FRM Level 1? Thanks
Top