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Yes that's it then. Relatively straightforward answer. Futures are traded on exchanges.

Hey everyone, want to clarify two things here: 1) Were there one or two prepayment-related calculation questions in the FRM Part 1 2018 paper? 2) For the prepayment question that was relating to CPR & SMM, was the question similar to the one I have posted below? How similar was it? Exactly the...

Yes I did the same but there seems to be a confusion whether was this the same question with the SMM CPR type question. Someone else please weigh in

Yes, so you confirm there were two prepayment related calculation questions, correct? Cause I thought my mind was playing tricks on me. For the SMM CPR type question I use a shortcut with the NPV formula. Not exact answer but very close and this worked with the past year questions.

Was it possible to solve this question without looking at the SMM and CPR formula? Cause I know there was a question relating to prepayment, and I got a matching answer using the NPV inputs on the calculator. Or were there two calculation questions relating to prepayment?

Was there a question on stack and roll? Does anyone remember the exact nature of it? Also, for the portfolio duration and complexity calculation, anyone remember the answer for convexity? Was it 14 point something or 16 point something?

1. I know the answer was in a 2x2 table form. On the left side I chose investor. Can’t remember what was on the right. Was it cheaper/expensive? If so I’d have put cheaper. 2. I don’t think I chose that as the answer for this question.

It seems like I cannot find any definitive word on this online. What would the expected passing cutoff point be usually? 60? 65? 70? Also, how is the curve grading done? Does GARP pick the percentage of people to pass before or after they’ve scored everyone? Would appreciate some thoughts on...

6. Yes the largest -ve value had a higher absolute value than the largest +ve value. Are you absolutely certain it's the highest positive that's the answer, and not the largest negative value? Wasn't the question asking about the risk to the CCP? Meaning, if it is a net negative exposure, that's...

Was it as follows? t Discount Spot 0.5 0.99xxxx 1.xxx 1.0 0.94xxxx 1.xxx 1.5 0.88xxxx ????? Is that the one? If yes, I just took it as such: 1/0.88xxxxx = (1 + x/2)^3 Solve for x as the spot rate PS: Numbers are just an illustration

How was the question? Was it with three question marks in a table format?

In KL we had a digital projector Showtime the time

Pretty sure that the std dev of LGD was given, not the variance. Also you need to multiply the whole thing with the EA.

I've been thinking about the margin question again. I recall the question asked what was the account balance on Day 2. The only possible answer could have been $32,000. For it to have a balance of $0...it won't make sense. Yes, there was $0 movement on Day 2, but the question wasn't asking about...

Was the "line management" thing the actual answer though?

Final few questions I can recall that have not yet been discussed: 1) Impact of Beta (or was it std dev?) on Jensen/Sharpe/Sortino/Treynor ratios. 2) One question about CAPM theory 3) One question to find volatility of the fund with more volatile returns. To find volatility i.e. std dev, use...

I would disagree. In any case, a 95% VAR looks for the 96th value, not 95th, and there was no such answer.

5) The question said hedge against a rise in jet fuel prices using crude oil, correct? If so, it had to be long. I know I answered short, so I'm wrong in this instance. 7) Yes!

That was on expected shortfall, no? You have to take the average of the 96th to 100th values. I incorrectly took the 100th value only.

Some more questions I've not seen discussed here: 1) Delta of a put option N(d1) and N(d2) were given in the question alongside some other data. For this, is it simply N(d1) - 1? There were no similar answers for the put delta so the second part didn't need to be computed (as for the number of...