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For sure, every single line is of help! Thanks, @David Harper CFA FRM ! Will not be the last here...

Hi @Nicole Seaman, Thanks for being awarded with the trophy again this week! As always, I would like to go for the Amazon gift card please. Thank you!

Are you purely taking the FRM 'for exam sake' or to enrich your skillset in the long run? The question has always to be 'YES'. An eager FRM candidate must strive for the best knowledge and not speculate on sth. what might show up on the exam. Anthony Saunders 'Credit Risk Management In and Out...

First of all I do not (and suppose my peers neither) remember (I am not counting questions during the exam) how the split was between qual. vs. quant questions (I took level II but this assumption holds for Level I as well). A rough guess is 50/50. Even if one question seems to be qualit in...

Honestly speaking the diversified VaR question is not clear. contribution of KLM: VaR(portfolio) = 300*1.645*0.137 = 67.6095 Component VaR(KLM) = marginal VaR(KLM) *Wealth(KLM) Marginal VaR(KLM) = 1.645*0.8*0.137 = 0.180292 Component VaR(KLM) = 0.180292*160 = 28.84672 >> in percent out...

Hi, weight(HIJ): (140/300) = 0.466 which means Wealth(HIJ): 140 weight (KLM) (160/300) = 0.533 which means Wealth(KLM): 160 weight (portfolio) = 0.466 + 0.533 which means Wealth(portfolio): 140 + 160 = 300 std. dev. (HIJ): 20% std. dev. (KLM): 12% std. dev. (portfolio): 13.7% beta (HIJ): 1.6...

Hi @David Harper CFA FRM, Coincidentally I came across the following two interesting contributions at MarketWatch and CNBC about VIX and correlations; it is worth to have a glance at them: 'Jeffrey Saut, chief investment strategist at Raymond James, comes to that conclusion using a little...

Would you be so kind and attach the spreadsheet if possible?

Your assumption about ES is wrong! You can calculcate the ES either in two ways: 1.) Take the average of the worst % of losses (e.g. the average of the worst 10 losses when we assume a 95% confidence level: 200*0.05 = 10) which means getting the sum of the worst 10 losses summed up and divide...

You are mixing things up here: For a 95% confidence level the VaR is the 11th highest loss (200*0.05) + 1 = 11. Unlike VaR which is a quantile, ES is an average of the tail losses which means at 95% confidence we have (200*0.05) the average of the worst 10 losses.

Can you please be a bit more precise with your question? The ES is average of the worst losses 100*(1-confidence)% in the tail. In case of the formula sheet (Part II, page 21) you are referring to you have 200 observations (there must be an Excel around for this screenshot, @David Harper CFA...

Hi @Nicole Seaman, many thanks! Was a big pleasure again this week to help here and there in the forum. I would like to go for the Amazon gift card. Thanks!

Honestly speaking this is a very difficult topic and should be treated with highest caution. I just came across a paper by Richard Roll called 'Mean/Variance Analysis of Tracking Error.'...

Actually M2 is covered in many books and I do think that in order to hammer home the message it is best to watch Leah's video. From an exam perspective I would not worry to much about it as it is sort of an advanced performance measure which is very unlikely to be tested in great depth. And it...

Irrespective of the above figures, if you manage to understand the core mandatory FRM reading 'Portfolio Theory and Performance Analysis' by Noel Amenc (page 121 onwards) where M^2 is explained, you will be fine. In addition, far better is Leah's explanation (please see the link for the video...

The video about RAPM should be accesible, Leah Modigliani exaplains the M^2-Measure in great detail. http://www.iijournals.com/doi/pdfplus/10.3905/jpm.23.2.45

ok, thanks for sharing!

no, not yet. It takes ages apparently. They shipped it (or said so) on 30 March and I can't imagine why a casual letter from the States takes more than 3 weeks to be delivered to Europe?

Ok, brilliant, David. As the exam is approaching and the forum will be very busy I will try to manage it myself!

Again, my recommendation for Francis' book was totally independent from your upload to the forum. Did not even know that you have attached it. Excellent stuff! By the way, even if this is quite a bold question: have you modelled/replicated Chapter 17 (Portfolio Construction & Selection) of...