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Hi @akrushn2 Yes, you can skip the Hull EOC questions. We include selected Hull EOC questions because their quality is high and they are consequently useful for candidates who want to go deep, and have the time to do so. To work Hull EOC is not wasted time. However, frankly, our questions are...

Hi @lowhueyyi Right, it's confusing because we have different authors, as mentioned in previous post. I've summarized the important metrics in the exhibit below, with numbers to give exact clarity; XLS is here https://www.dropbox.com/s/3lb6c016ar9czn2/0813_different_pd_definitions.xlsx?dl=0 In...

Hi @Sixcarbs Yes, indeed. I am getting 8.96% as below; XLS here https://www.dropbox.com/s/w4l4lvvbjhw0g45/081219-z-problem.xlsx?dl=0

Hi @akrushn2 It was not obvious to me how Hull was getting 10.21.c but (see below) I did find his answers; see XLS https://www.dropbox.com/s/lic7336s4ka4bcg/081219-hull-rmfi-10-21.xlsx?dl=0 (@Nicole Seaman in conjunction with 10.17 & 10.18 at...

Hi @akrushn2 Please note that ω = 0.0000020 (not 0.0001) such that the given answer looks correct to me. Please see below; XLS is here https://www.dropbox.com/s/0e6u50q43qsl4qk/081219-hull-rmfi-10-19.xlsx?dl=0

Hi @lowhueyyi Thank you, I did not realize it had been thusly updated. Re: "do we have to know how to calculate cumulative loss rate in part 1? I am not sure where this formula is covered in part 1" ... this is typical of the FRM. This exact formula is not exactly covered in Part 1; it is...

Hi @lowhueyyi We did not run the calculations on that exhibit but rather just used (copied) the source text, as below: ... but the text edition must have been updated (it would not be like GARP to run calculations, not even ) because quickly I can see that 10.x% does appears to be correct. See...

Hi @Sixcarbs Apologies but the answer to question #1 contains two typos (in the interim calculation, which is sloppy I admit), it should read: p[X = 3] = C(4,3) * 0.30^3 * 0.70^1 = 4 * 0.30^3 * 0.70 = 7.56% (ie., same result ... but as you suggest, there are only three multiplicands in the...

Hi @danghara I don't have more than passing familiarity with it, sorry, but hopefully somebody else does ...

Thank you @Nicole Seaman Good move! Please note @shaoni0803 that it has been explained (how we get 3 defaults) above, I hope it is helpful!

Hi @Sixcarbs The answer is still "no" in 2019. More exactly, last year I clarified with Bill May at GARP and shared his reply here https://forum.bionicturtle.com/threads/where-are-millers-eoc-q-a-discussed-do-we-need-to-know-calculus-for-the-frm.13435/post-57562 where he wrote (emphasis is...

Hi @Merlinius de Laurentis is confused, I've told GARP that I think it's the worst reading in P2 (and it's part of the PD confusion mentioned in my memo "How to Fix the FRM"...

HI @tattoo Yes totally correct about both typos. Thank you! @Nicole Seaman I highlighted these fixes in red below (page 5):

Hi @oryan5000 Sure thing! No, these are the only "optional" readings in Part 2. I'm quite sure because their optional status has been a bit of a burr under our saddle for years; despite the qualifying text (caveat), the fact they are itemized in the Guide/LO documents causes some candidates...

Hi @oryan5000 I moved your question to here (thankfully we have a tag https://forum.bionicturtle.com/tags/basel-optional-readings/). This appears to be our latest understanding (see above by Bill May @ GARP). @Nicole Seaman I think this is our best understanding? That is, if the question is...

Hi @danghara sorry i shared the link almost 6 years ago. Here is the file @ https://www.dropbox.com/s/6nsx05k6wkpvgtq/T4.a_2012_XLS_bundle_valueatrisk_v1009.xlsx?dl=0

Hi @Maxim Rastorguev Yes, I think you are correct. Firstly, many of the historical practice questions (of any sort, not just FRM) often tend to omit the funding cost assumption. That is, a swap or par rate is calculated without regard to a funding assumption. (Although please note a swap, as a...

Hi Thomas (@tom87) Right, that's good analysis. (and yes, earlier in the FRM, a less sophisticated definition of CDS Basis was employed per the video; Choudry in his book actually has more than one definition simply because there are multiples spreads that can be compared to the CDS spread) Re...

Hi @tom87 But isn't it a fallacy to hold the Yield constant in the expression "S = Asset Swap Spread = Yield of the bond - funding cost" in order to draw such an inference? If the funding costs goes up, the bond's yield (as it includes a funding component) should go up. And, sorry, where are you...

Hi @Maxim Rastorguev Hull's question 7.12 only refers to a single swap transaction where the counterparty in the single transaction defaults. But this is effectively close-out netting (albeit with the single transaction): if company Y does not default, then the FI owes a payment of 320,000 at...