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  1. David Harper CFA FRM

    Exam Feedback November 2017 Part 2 Exam Feedback

    @zforce I just emailed our contact a link to your post, so that it might be seen. I'm frustrated for you :mad: You are the customer, my view is that you deserve a better experience. Thanks,
  2. David Harper CFA FRM

    Exam Feedback November 2017 Part 2 Exam Feedback

    @davidhn that's a disappointing delay. Re: employer contact: My information on this is dated (by years) but historically I had understood that they "spot checked" randomly some applications, and the spot check could have included a call, but please don't quote me, I'm not current on GARP's...
  3. David Harper CFA FRM

    R10.P1.T1.BODIE_CH10_SINGLE_FACTOR_MODEL_vs_CAPM

    Hi @tusharkango The question is copied below. This assumes the single-index model ("market index as a common factor") such that a security's return is a function of only two components, systematic and firm-specific (aka, idiosyncratic), where E[R(i)] = β(i, F)*F + e, where (e) is firm-specific...
  4. David Harper CFA FRM

    P.2 T5 Dowd study notes pg 10 confidence intervals

    Hi @Stella.gkotsi Good question, because our current note really does not explain this adequately, sorry (cc: @Nicole Seaman including another edit for this note). So it is implementing Dowd's 3.27 .... .... he shows the calculation. Although mine is generated in its own excel (see sheet here...
  5. David Harper CFA FRM

    jorion chapter 11 mapping var

    Hi @ann123456 Yes you are correct that bond price returns VaR is the product of a change in yield and modified duration! However, Yield VaR is a change in yield. Let's take Jorion's own example, see below, for the 7-year term. The yield VaR is 0.484%. I don't think he anywere decomposes the...
  6. David Harper CFA FRM

    Taylor Series Approximation

    Hi @nikogeorgiev You should be able to apply Taylor; the probability of the application of Taylor on the exam is high. This does not require a deep understanding of its derivation so much as a conceptual understanding of why it works. And we don't use the whole thing, as the readings/Jorion...
  7. David Harper CFA FRM

    Copula functions (Meissner)

    Hi @[email protected] I moved this out to general T5, if you don't mind. I hope you are well? I've been out a data science conference for four days, so that today, I need to continue to focus on responding to the substantial forum backlog especially as it pertains to basic questions (ie, I just...
  8. David Harper CFA FRM

    Regime-Switching Volatility Model

    Hi @nikogeorgiev Well, I perceive that to be a matter of my minor disagreement with the semantics: I think the first sentence is hard to interpret. Start with the second sentence: "The regime-switching model captures the conditional normality and may resolve the fat tail problem." That's...
  9. David Harper CFA FRM

    Regime-Switching Volatility Model

    HI @nikogeorgiev This is Linda Allen's point and I don't think she is quite saying that the "probability of fat tails is much lower" in regime-switching volatility but rather than the unconditional distribution of such a volatility exhibits fat tails. Image the two regimes are normal times such...
  10. David Harper CFA FRM

    P1.T2.80.1 Confidence Intervals

    Hi @lporfiris The test statistic, in the case of the test for a sample mean, is giving us the number of standard deviations that separate the observed sample mean from the hypothesized null. In Miller EOC, the test statistic (as you point out) is only 0.54. Below I took the typical student's t...
  11. David Harper CFA FRM

    Miller Chapter 3: Basic Statistics - Study Notes

    Hi @SP_SK The exclam (!) represents factorial and should be understood by the FRM candidate (e.g., http://mathworld.wolfram.com/Factorial.html). 13! = 13 * 12 * 11 * ... * 3 * 2 * 1. In Shakti's step above, the 3! = 3* 2 * 1 = 6. In the numerator, his (3+n+1) = (n +2), simple. In this way, his...
  12. David Harper CFA FRM

    Spectral Risk Measure

    Hi @QuantFFM Sorry for delay, I was at a conference Wed to Friday. Good luck on starting the next round for part II! Coherence does require all four of its conditions, but as Dowd explains, three of the four are are "essentially 'well-behavedness' conditions intended to rule out awkward...
  13. David Harper CFA FRM

    Where are Miller's EOC Q&A discussed? Do we need to know calculus for the FRM?

    Hi @sandrasp We don't have threads for the Miller EOC questions (we didn't write these, of course, they are included to enhance the convenience of the notes). However, it's totally fine with me if we add them as ad hoc questions arise (but we prefer an organizational method for that, i think...
  14. David Harper CFA FRM

    Exam Feedback November 2017 Part 2 Exam Feedback

    Thank you @Nicole Seaman I'm sure that's nice for some of our members (and visitors) to know.
  15. David Harper CFA FRM

    Hi garima, Yes, I do believe it would based on what you have written. As you know, it does need...

    Hi garima, Yes, I do believe it would based on what you have written. As you know, it does need to be two full years, but your Risk Analyst of course is spot on and before that your industry participation (ie, job in insurance/banking) generally helps to signify affirmative participation. I hope...
  16. David Harper CFA FRM

    Errors Found in Study Materials P1.T2. Quantitative Methods (OLD thread)

    Yes, great catch, that is a typo. It should read exactly as you show. The regression of Y on X entails β(Y, X) with respect to X so that σ^2(X) is the denominator. Thank you! (@Nicole Seaman I think we can wait until the next batch to include this, it is not quite worth uploading a new version...
  17. David Harper CFA FRM

    Errors Found in Study Materials P1.T2. Quantitative Methods (OLD thread)

    Hi @theapplecrispguy great observations (I gave you a star just because I appreciate attention to the details, that's why we are here!) You are right: especially if the sample is small like this (n = 10), the proper standard deviation would be a sample standard deviation that uses the (n-1)...
  18. David Harper CFA FRM

    FAQ Exam Which calculator do you recommend?

    Hi @lporfiris Yes, that is a safe assumption (GARP should "battery-test" all exam question) however please note that, in the case of the binomial pmf, the binomial coefficient can typically be simplified, and you would be expected to know how to do that. For example, the binomial probability of...
  19. David Harper CFA FRM

    Tuckman's three step binomial

    Hi @[email protected] Yes, great observation: my XLS does not actually perform the ultimate calculation (it is a feature I'd love to add at some point, but time has not permitted). Tuckman explains this in Chapter 7 but basically, if you look at the tree below, and we use the node[state, row]...
  20. David Harper CFA FRM

    Binomial Options Pricing Model and Futures

    Hi @nikogeorgiev No worries, it's not basic, the risk-neutral probability concept is difficult. But can you illustrate with an example? Only because I'm not sure exactly what you mean, sorry :( The reason I say that is that, at least in the context of the binomial option pricing model (per your...
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