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Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 14) On SPV (FRM exam 2002, question 115) Finally, you are the risk manager for a pension fund considering the purchase of notes issued by the...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 13) On CVAR (FRM exam 2002, question 62) Credit value-at-risk (CVaR) is the 95% 1-day VaR of all positions with a single counterparty...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 12) On Credit Exposure (FRM exam 2002, question 22) At present market levels, which yield curve shift is most dangerous to holders of...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 11) On Portfolio VAR (FRM exam 2000 question 36) A portfolio consists of two (long) assets £100 million each. The probability of default over...

Dear David, I think I spotted another mistake by FRM handbook: 10) Another Mistake of FRM handbook 5th edition Example 20.10 on page 496 The answer provided is b but should be d, I think. Thanks Liming 10/11/09

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 9) On Credit Exposure (FRM handbook 5th edition, Example 21.11 page 515) Which one of the following deals would have the greatest credit...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 8) On Margining and Credit Exposure (FRM handbook 5th edition, Example 21.19 page 525) You have purchased 10,000 barrels of oil for delivery in...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 7) On CLN valuation(FRM handbook 5th edition, Example 22.15 page 550) A three-year, credit-linked note (CLN) with underlying company Z has a...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 6) On Spread in a CDO structure Is it correct to say that for a CDO structure The spread on reference pools = spread on all tranches...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 5) On Correlation of default (FRM Exam 2001, question 25) What can be said about default correlations in Creditmetrics? Answer provided...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 4) On Implied probability of default (FRM Exam 2002, question 87) A 1-year government bond yields 10% per annum while a 1-year corporate bond...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 3) On Credit Exposure and Netting (FRM Exam 2000, question 56) A diversified portfolio of OTC derivatives with a single counterparty has a net...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 2) On Portfolio VAR (FRM handbook 5th edition, Example 17.3, page 407) A relative value hedge fund manager holds a long position in Asset A...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 1) On Portfolio VAR (FRM 2002 exam question No. 3) Portfolio A has a 1-day , 95% VAR of $5 million, portfolio B has a...

Dear David, There are a few concepts on Procyclicality I need to clarify with you: 1) Does Procyclicality refers to the reinforcing effect of credit rating (whether through the cycle or point in time)? 2) Do both through the cycle and point in time create such...

Dear David, I have two questions regarding Net Excess Spread in Securitization. Thank you for helping me out. 1) why Libor was substracted to get the net excess spread? because substracting Libor makes it looks like credit spread but in here we are concerned with...

Dear David, Can I check with you if Ong's unexpected loss (Unexpected loss (UL) = SQRT[(EDF)(variance of LGD) + (LGD^2)(variance of EDF)]*(Adjusted exposure) ) can be traced back to the formula for calculating the variance of the product of two independent variables (V(x*y) =...

Dear David, Following you patient explanation for my previous post (http://forum.bionicturtle.com/viewthread/2148/), I'm just wondering: 1) when you said that "let me remind you something Hull says: the BSM does not depend on the expected return of the...

Dear David, I have been struggling with understanding of the Black-Scholes-Merton model and I have a few confusions that I hope you can kindly enlighten. 1) for d1: after studying your video, I seem to understand that d1 means "future...

Dear David, Can you kindly help me with the following questions? 1) How can we interpret d1 in Black-Scholes Model and Merton model? According to Hull in his book, d1 is such that SoN(d1)exp(rT) equals to St when St > k, I don't quite catch what he means...