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Hi @Jaskarn These assertions by Ang are based on his elaboration in Chapter 4; I have attached the section here Ang compares a buy-and-hold strategy to a rebalancing strategy where the trader rebalances to maintain 60% equity + 40% bonds: ... put more simply (I think!) the rebalance strategy...

Hi @dymny if there are 2 bonds, the only other outcome aside from neither/both default is that only one defaults with probability of 100% - 20% - 45% = 35% with value of $20 (one default) + $100 (the other survives) = $120; so mean = [20% * (20 + 20)] + [35% * (100 + 20)] + [45% * (100 + 100)] =...

Hi @prakashsista We do not currently have a video associated with that spreadsheet; in fact, most of the Learning Spreadsheets do not have videos that are directly focused on the spreadsheets themselves. Rather, the spreadsheets implement concepts and, of course, the spreadsheets constitute most...

Hi @Mah87 It depends on your objective. If your goal is only to pass the exam as efficiently as possible, you can generally navigate according to (i.e., follow the guidance implied by) the Learning Objectives. At the same time, in many cases, especially in Quantitative Methods (because it...

Hi @fxlprasetyo No, I have not encountered such a modeled approach (but the question fascinates me, and I tagged it for further research FWIW ....). Re: Kevin Dowd's book, you can get the pdf version here (click green download button at upper right) at...

HI @fxlprasetyo I think (in the FRM literature) we tend to sub-divide stress testing into either (i) scenario analyses or (ii) factor push models. The former, scenario analysis, suggests either historical or imagined (aka, hypothetical) scenarios that can be conveyed, or at least connected...

Thank you @ag0511 for a great tip and I agree that you can start Part 2 study with Current Issues. I just wanted to note, in case new candidates don't know this: historically, GARP has each year changed all of the Current Issue readings. They've done this every year. Therefore, 2019 candidates...

oh okay @haroun I realized a flaw in my calculation: by using Hull's future-based formula, implicitly my calculation above treats the short ETF as unfunded (a futures contract is unfunded). But the short position returns cash, and probably should therefore have a negative weight. In this way...

hi @haroun to alter net beta we use Hull's Δβ = Value(portfolio)/Value(futures contract), which in this case can be adapted to: Δβ = value(portfolio)/value(ETF share) = (0.96 - 0.75)*271478.18 / 267.50 = 213.12, but I had to lookup the SPDR EFT price (and infer that it's 10% of the index; I...

Hi @Jaskarn Below I quoted Tuckman's actual setup for this in Chapter 6 (emphasis mine). Notice that's a really a spread trade; the trader is hedging but the trader is hoping the perfect hedge will "fail" in the sense that (s)he is making a bet that the inflation-induced spread will increase (in...

Hi @Serdar7891 Thank you for your patience. First, in case you haven't seen Bill May's reply to my previous calculus question. Bill May is GARP's SVP, FRM and he is basically the top guy in charge of the FRM. I previously shared his reply over here but is copied below (new emphasis is mine)...

Hi @Serdar7891 as the exam was Saturday, and my support schedule was relentless, I am taking a bit of a pause in the forum ... if it's okay with you, I will respond to your (very good actually ...) question next week? Thanks!

Hi @Shadma This is a question that GARP had to revise from its original version in 2015. The relevant discussion is here at https://forum.bionicturtle.com/threads/garp-2015-p2-13.10332/ Choice GARP 2018 P2.30.B is incorrect for the same reason that my 714.2.D is true: the corporate bond cannot...

@Jaskarn This is from Tuckman's Chapter 6 case study; i.e., (emphasis mine): ... this "naive" hedge is based on neutralizing DV01 which is the dollar gain/loss per one basis point change (decrease, actually) in the instrument's yield to maturity. So the statement you are referencing refers to...

HI @BartW The return scales linearly with time and the volatility scales with the square root of time (aka, variance scales linearly with time). Where Δt = t/T, in this case, Δ=1/250 is the scaling multiple. When computing absolute VaR (ie, when the VaR includes the effects of the return) we...

Hi @gargi.adhikari I won't have time to work detailed calculus issues four (4) days before the exam, if you think about it :rolleyes: (if ever!). Have you plugged this into Mathematica? That's what I do with difficult calculus, it shows step-by-step. Their alpha is really amazing, it's saved me...

Nothwithstanding @Nicole Seaman 's offer, we do know that GARP has told (at least some candidates) that it may take up to two months. Of course that feels like a long time but others have experienced it; e.g, see https://trtl.bz/2Fgk7Yw

@yuwaising I moved your question to a prior discussion; you'll notice that the question is mistaken. Earlier in the week I wrote in some detail about the FX convention here at https://forum.bionicturtle.com/threads/2016-mock-exam-question-59.21938/post-71806 i.e.,

Thank you @Todo10 @Sapnesh can you confirm access? Thank you ....