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Hi David, I went through first page of the Crouhy text on this. I got all 3 questions wrong on the loan equivalent approach from the QS. I also could not find the excel sheet with table 14.3. but that's ok since i found the table in the actual textbook, however it did not have the details that...

Hello BT team, Reverting back to the discussion on Question sets on Dowd Chapter 16 Model Risk, is the "P2.T7.304. Model Risk" only set of question you have, I don't see any added question sets to the Study Planner for this chapter. Thanks.

Hi Ryan, Ref - Malz Chaper 7 DV01, is the mark-to-market gain on a bond for a one basis point change in interest rates. There is an analogous concept for credit spreads, the “spread01,” sometimes called DVCS, which measures the change in the value of a credit-risky bond for a one basis point...

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Hi, I believe this type of question would have been answered before in the forum. What kind of detail experience does GARP look for when submitting the experience after part 2. The study guide says "two years of risk-related, financial risk management, trading, portfolio management, industry...

Hi Nicole, I believe my question was miss leading. This is not a request for providing dates when you will be publishing the material. I was using this as the required time that I should spend on the reading. I believe it is helpful to know in David's opinion, we should spend time to cover the...

Hi Nicole, The '2014 FRM Publishing Calendar' was a great help last year for planning ahead. Essentially knowing how much time to contribute on topics that you have not read as-yet. Is there a calendar for Part II readings this year (2015). I have this calendar from last year when I gave Part I...

Thanks, Also, How close is GARP book text to the the major reference you mentioned.

I don't think so Ong doesn't seem to be assigned in 2015 reference and Jorion has 4 chapter, 2 in Market risk and 2 in Investment Management

Hi, In the opinion of candidates who attempted Part II, what would you say are the major references. The major references for part 1 would be John Hull and Bruce Tuckman.

Passed the part 1 exam (3,1,2,2)

Hi Aenny, Do GARP books contained all the contents of the original reference as is. If that's the case we don't have to hunt for it at different places (internet, library, rentals etc.)

Suppose the daily returns of a portfolio and a benchmark portfolio it is replicating are as follows: Portfolio Return (bps) Benchmark Portfolio Return (bps) Day 1 34 30 Day 2 -89 -87 Day 3 108 102 Day 4 70 70 What is the tracking error over the four day period? A. 2 bps B. 10 bps C. 2.39 bps D...

Thanks David, When in doubt, trust discount factor.

Q. The price of a 1,000 par value Treasury Bond (T-bond) with a 3% coupon that matures in 1.5 years is closest to: A 1. 1010.02 A 2. 1011.85 A 3. 1013.68 A 4. 1015.51 The price is calculated as $15(0.992556) + $15(0.98224) +$1015(0.967713) = $ 1011.85 BUT using the bond keys N=3, PMT=15...

Hi, I have the following question The table below gives the closing prices and yields of a particular liquid bond over the past few days. Monday's Price - 106.3 and Yield - 4.25% Tuesday's Price - 105.8 and Yield - 4.20% Wednesday's Price - 106.1 and Yield - 4.23% What is...

Hello Rayan, Honestly I have not gone through the the Level 2 exam syllabus. I was going to sit for May 2014 exam, but deferred it to Nov 2014. I will be sticking to only Level 1 syllabus in Nov 2014 exam.

Hi All, I am looking to join a study group in NYC area. I am preparing for Part 1 exam in Nov. Please let me know

Hi David, The formulas for greeks i.e. Theta (of call and put), Vega, Gamma, Rho (of call and put) are covered in Hull book, however they are not given weight-age in the study notes. Is it that these formulas are of low relevance with respect to the Exam. Is there a way to remember single...

Correct Answer : B. Is that correct. d2=d1-sigma*sqrt(t)