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Yes sunny there was a bit of calculation mistake from my side. you are right thanks for pointing out the mistake will see that from next time i do calculate rightly P(S1&S2)= .15*.1*.6+.8*.15*.4=.009+.048=.057 P(D1/S1&S2)= .009/.057=0.1579 P(D2|S1&S2)=0.048/0.057=0.8421 thanks

FRM Holder,CFA L3 Candidate

Hi caramel Can i know for which frm part you are sitting.Relax and chill as i think there would not be such awkward wrong Questions on the exam day. I have sat for the last frm exams and i have not seen such mistakes barring one or two Qs which might stand out as exceptions. Nevertheless even if...

David Harper, CFA, FRM, CIPM Yeah I agree david 40*1.2*(1.2)=57.6 not 57.76 so yeah a bit of error in my calculation. 20.6*Pu*Pu=20.6*.67*.67=9.247 =(.67+.67+0+9.247)*e^(-0.08*.25) =(10.58734)*e^(-0.08*.25) =10.58734*.98 =10.376 approx. thanks

also refer to the links: http://www.ehow.com/how_5106230_calculate-sortino-ratio.html www.youtube.com/watch?v=F7RjfU6U_lc en.wikipedia.org/wiki/Sortino_ratio thanks

@afterworkguinness mean squared deviation is nothing but volatility of downside returns in a set of portfolio returns. The volatility of returns that are falling below a MAR over a period. Sortino Ratio = (R - MAR) / SDd where R is the Mean annual return, (or Minimum Acceptable Return: MAR)...

bhar You have considered only one case of UU, however several combinations are possible via UD, DU, DD, UU UD: 40*1.2*(1/1.2)=40, value=40-37=3 net value after probability=3*Pu*Pd=3*.67*.33=.67 DU: 40*1.2*(1/1.2)=40, value=40-37=3 net value after probability=3*Pu*Pd=.67 DD...

Aleksander Hansen, First of all ATB for your future life. Thanks for providing insights into how to make a career in quant side of it. I like when you said that R is a useful tool to perform data analysis and other such stuff. I have also worked on R for performing difficult calculations and...

hi @FRMStrawberry, yeah i agree with Hend that one week is enough to cover several practice exams which would suffice. I think if you have covered each and every topic in depth and comprehensively than practice exams are not required. Before my FRM exam prep i did not did practice exams and...

Let x be the fixed rate at which B can borrow, B pays: 6% and L+2% B receives: L% so total net fixed rate to B= (6%+L+2%)-L%=8% So total advantage to B in terms of fixed rate:x-8%[B wants to borrow at fixed rate but entered into swap to benefit from low fixed rate from A side who has comparative...

please refer to the thread, http://forum.bionicturtle.com/threads/swaps.6221/ look at floating rate valuation. thanks

See above definitions have their own significance that is they are defined in different contexts, for example the definition "a monetary amount, calculated by multiplying the money the business has tied up in capital, by the weighted average cost of capital (WACC)" is related to capital required...

In a total return swap the swap payer pays all the income and cash generated from the reference asset and receives some variable or a fixed rate in exchange. The swap receiver virtually becomes the owner of the referenced asset and bears the risks associated with the asset. So in a Bond the swap...

Hey mohanvenufrm whether the industry recognizes an FRM charter holder? yes industry does recognises the FRM qualification but its definitely not par with someone who has an Engineering/Quant background and FRM. FRM boosts your chances, according to me at adds to your knowledge and skills but...

Regarding part 1..I agree with trabala almost..Prepayment speed when goes higher than borrowers of mortgages pay all the mortgage due to low interest rates. They the borrowers sell the real estate at high price and pay the mortgage from the proceedings and keep the remaining sum with them, they...

please refer to the link: www.bis.org/publ/bcbs189.pdf thanks

Yeah FRM is itself not a degree but a professional designation to get accustomed to the risk concepts and various risk aspects required in the risk management job. It in itself however does not guarantee a job but when you are going towards a career in risk finance and one definitely wants to...

we calculate risk free rate of USD w.r.t AUD(since price is given in USD)interest rate as r=r(USD)-r(AUD)=5%-10%=-5% now put call parity, p+S=c+X*exp(-rT) p=c+X*exp(-rT)-S p=0.0236+0.59*exp(-(-.05)*1)-.6 p=0.0236+0.59*exp(.05*1)-.6 p=0.0236+.6204-.6 p=.644-.6=$.044 thanks

see spread sheet and see it yourself how values came... https://docs.google.com/spreadsheet/ccc?key=0Aid7DfvHI6TWdFhSQ3ptXzNKV0lxRGYxZ3A3bGRGWEE#gid=0 thanks

Bhar, please dont get confused by signs.It is possible that I considered signs in one derivation and not in other but the real significance of the result is that the magnitude of VaRs of a long call option and a short call option are equal. I mean vol(short call)=-vol(long call) i mistakenly...