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Hi there My understanding is that credit derivatives can provide protection against a credit event but does it impact the credit exposure or CVA calculation? Also what impact does correlation have on CVA if any? does it impact the Probability of Default in our CVA calculation? Thanks

Hello In one of GARP's practice exam questions it asks: An Analyst estimates that the harzard rate for a company is 0.1 per year. What is the probability of survival in the first year followed by a default in the second close to? The answer is the marginal probability (or unconditional...

Hi @David Harper CFA FRM CIPM This is probably a trivial question. In the notes to Grinold (and in the reading itself) about Alpha scaling it states: ...the original alphas have a standard deviation of 2.00 percent and the modified alphas have a standard deviation of 0.57 percent. This...

Hi All I've been reading through the GARP books and using David's videos. Soon I'll start practising questions but I am finding it difficult to go through so much text and trying to retain stuff into my memory like a sponge. Having read past exam experiences it seems there are not many...

Hi David & Co In the below question why is the standard dev not SQRT(60*0.15*0.85) as it seems like the binomial distribution applies? and therefore the standard error would be SQRT((60*0.15*0.85)/60) 209.1 Nine (9) companies among a random sample of 60 companies defaulted. The companies were...

Hi there Question 5 on page42 asks: An oil producer has negotiated a contract to sell one million barrels of crude oil in 6 months. Which is the best hedge against changes in the spot price of oil? a) short 1,000 futures b) short 1m futures c) long 1,000 futures d) long 1m futures the...

Hi guys can you kindly explain the relevance of i.i.d and how this relates to the SQRT of time rule? Many thanks 95kaskha

Hi, is non-systemic risk the same as tracking error? also, on slide 8 of Amenc in your lecture slides, can you kindly indicate how you get the denominator in the IR (alpha) from the values in the spreadsheet, say for example the first column where the IR (alpha) is 0.8. I'm guessing the...

Hi David As GARP has now advised us to read the new edition of Hull, have you seen any big differences in the existing topics? Should we wait to use new BT material (assuming BT will publish new material?) or are we pretty safe with the existing material? Thanks Kashif

Hi there, in the question set for the readings on Allen we have the following question: 329.1. A 10-year $1,000 face value bond has a coupon rate of 4.0% that pays an annual coupon. The bond's price is $852.80 due to a yield (YTM) of 6.0% with annual compounding. The daily yield volatility...

Hello Is the Summary Study Notes the same as the individual reading study notes in Valuation & Risk Models section for Part 1? I noticed the summary study notes were for 2013... Thanks Kashif

Hi there is the topic on options very different from last years syllabus given that GARP now uses the 9th edition of Hull? if so do you plan on issuing a new video for this part? thanks Kashif