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Hi David Hope you are well. Appreciate if you could explain below example taken from Qbank. I couldn't understand the relation btwn PVBP and VAR? Thanks Imad Question 11 - #29487 The price value of a basis point (PVBP) of a $20 million bond portfolio is $25,000. Interest rate changes...

why is it always higher in May???

Hi Jasvinder, That's unfair as I had better results than 2-2-3-4-4 for level II back in November 2011 and I did not pass!!!

Hi Benj, How are you? First, congratulations...I would appreciate if you could give me some hints of how you managed to pass Level II with (1,2,1,1,2). Did u study in Schweser? Thanks Imad

David, Is "capital charge" similar to Return on Equity? Thanks

It's been always the case that May exam is easier than November one... not fair!

Hi Dimitrij, Congratulations for passing Part I and II. I'd like to ask you whether you studied only in BT materials or you did extra work. I studied in Schweser and did not pass level II. Appreciate your comments. Thanks

You are right as I believe Scheweser is not enough to pass FRM.

I did the same as you

Hi David, Subject: Computing VAR using POT parameters VAR = u + ....where "u" is the threshold in percentage terms. In Schweser, on two occasions, "u" was used as it is (if u = 2%, it was used as 2 and NOT as 0.02). Is there a reason for this? Thanks Imad

Hi David, Sorry for hammering you with questions! Topic is "Portfolio Risk: Analytical methods". I know that to get an optimal portfolio, Return over MVAR should be constant (E/MVAR=cte). Let's say we have two assets X and Y, E/MVAR (X) is less than E/MVAR (Y). To move toward the optimal...

David, Thankyou for your reply. In schweser (book 3), it states that: "Economic capital/regulatory capital is used for unxepected variations from expected losses called unexpected losses (UL)". I can understand from the above that both capitals are to cover UL (which is not right?). Thanks Imad

Hi David, I need a clarification please. I know that regulatory capital is the capital put by regulators and economic capital is the capital to cover UL. Basel II states that both are the same. Is this true? Thanks Imad

Hi David, Hope you are well. I have a question related to exemple on page 19 of your market risk study notes. In the exemple about the calculation of Macaulay duration, you got "k*price" as $1,702. I did not understand how you calculated this. I assume that K = 7. Please advise. Thanks Imad

Hi David, Hope you are well. I need a clarification on above subject. To my understanding, leverage ratio is debt to equity, however, in your notes (page 45 "current issues"), there was the following example: ***For example, consider an investor who buys $100 million worth of assets on...

It would be interesting if anyone could tell roughly what was asked...

Hi all, I sat for Level II exam. I went thru the thread and I have my own comments. I used schweser and it seems that the books are not enough. I did all the Qbank questions while preparing, however, I couldn't relate them to the exam. We were only 4 people to sit for the exam and the...