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Thank you @lushukai for taking the time to observe that the context is hedging. This is a point (for example) articulated by FRM author Crouhy, see https://forum.bionicturtle.com/threads/economic-earning-accounting-earning.10625 i.e., .... and notice in the thread where contemporaneously I...

Unknown as of yet (nor is the score required to pass----aka, minimum passing score, MPS--even remotely knowable ex ante, as has been much discussed, and this MPS can only be approximately inferred ex post). Historical averages are ~46% for P1 and ~56% for P2; will update chart when GARP...

@ArnaudD I like your thinking, but I agree the problem is these are not risk-neutral probabilities. Building from your idea, below is a plot of the four outcomes (without probabilities). That's a payoff graph, and delta is the slope of a line (aka, rise/run) ... but which line? In a...

Hi @bass really, an interview question? Fascinating. Never seen this pattern. My first reflex is to calculate the variance per E(X^2) - E(X) = 10% - 30%^2 = 1.0% such that σ=sqrt(2%) = 10%. (Minor issue: this assumes positive returns +10%, +20%, +5% which is not exactly what's assumed!). Then we...

HI @bass what's the question's source (we sometimes like to know just so time isn't wasted, in case it's not a good question)?

@nc27 yep, I personally reached out to every single one of them when I wrote my Memo (https://forum.bionicturtle.com/threads/how-to-fix-the-frm-davids-2018-memo-to-the-frm-committee-and-garps-board-of-trustees.22758/) in the hopes of addressing a >30% error rate on the (large!) sample of...

to whom exactly do you refer; i.e., who are the quants/Phds who are active in exam development? Any names? Our members routinely identify mistakes ... I wouldn't care except to judge by the output. I don't care about formal qualifications, I care about quality, accuracy, depth, etc.

to add to the reply to your same question here ... i.e., ... I suppose the ostensible reason is that it takes time to calibrate the raw scores into pass/fail which is a function of the total set. But I would add: It shouldn't take that long GARP has a track record of writing inaccurate or...

@thanhtam92 see https://forum.bionicturtle.com/threads/work-experience-verifying-time-2020.23672/

Thank you @lushukai for your generosity. @AbhishekJha please look at the forum before you post. In this case, you'd notice that a highly- related question was asked very recently here at https://forum.bionicturtle.com/threads/credit-risk-replacement-value.23917/ i.e.,

HI @reiss1 Good question. This really borrows in advance from greater detail in FRM P1.T6 Counterparty credit risk (where Jon Gregory's text is authoritative). The relationship is that replacement value (aka, replacement cost) quantifies the credit risk. The most fundamental counterparty credit...

Hi @reiss1 Not sure exactly what you are asking, but you should not need to work the optional questions (is why they are designated optional). At the same time, some of our questions do not have direct references to our notes, or even the current topic; e.g., I'm proud of the fact that some of...

Hi @wahahahaha Please see my recent post at https://forum.bionicturtle.com/threads/week-in-financial-education-2021-05-24.23840/ including the second bullet .... ... where I explain exactly why DV01 =P*D/10,000. Duration is not divided by 10,000. Dollar duration is divided by 10,000 because 1.0...

@Meta They should be able to, but they don't have a good track record of writing high-quality questions, so they seem to focus on revisions/corrections to the existing limited sample. if they wrote entirely new questions each year, their 30+% error rate would be more manifestly obvious. Instead...

Hi @AbhishekJha please see my video T3-05: Basis risk is about an unexpected weakening or strengthening at https://forum.bionicturtle.com/threads/t3-05-basis-risk-is-about-an-unexpected-weakening-or-strengthening.22365/

Hi @AbhishekJha As you suggest (via context), the term "tracking error" is has occasionally different definitions. In the FRM, tracking error should be active risk: the standard deviation (aka, volatility) difference in returns between the portfolio and the benchmark. As explained in my video...

Hi @lushukai not yet. FYI, I'm on vacation https://forum.bionicturtle.com/threads/david-is-on-vacation-july-1st-through-12th.23903/

Hi @Akriti1 The KR01 is analogous to the DV01: it is the price change associated with a plus one-basis point (0.01%) shift in the key rate. In this question, the 5-year shift shows a price of $92,007 which is $7.00 above the initial price, so that is the key rate. Two points: 1. if you refer to...

@Eustice_Langham please don't suggest to GARP that they make it a 3-part course; GARP would love the additional revenue. It's just the worst possible suggestion. You want more topics to cover? Howabout updating current topics ... about reducing the LOs, yes, I've only been saying that for 10 or...

Hi @sgrgpt It's a good question. The observations to which you refer (i.e., "claims by people who have taken the Part 1 exam that exam questions were not as expected") are a common feature of the FRM, and arguably, related to the problem cited very accurately by @nc27 namely ... ... many of...