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Can someone remind me how CS01 is derived from the traded spread of CDS? I am blanking on this. The context is in terms of looking at potential shocks (i.e. 50%, or 60%) of the current spread, and what upfront margin to charge in a CDS trade. The upfront margin will mitigate the potential...

Agreed, highly qualitative. Feel like I went overboard on my prep with the quant, but I had to. It paid off for those questions. As someone has pointed out, the first few questions were quite intimidating, but I was more prepared for that mentally (I recall the same thing from part 1) and...

David, I struggle to see the difference between the yield curve and interest rate trees / models. I am pretty sure the interest rate tree impacts the yield curve. Or perhaps the yield curve is built on top of the interest rate tree, but I'm not sure if that's an accurate statement. I have...

Where in part 2 do we need to be more familiar with convexity? This is admittedly a weak point for me (I don't know why) and I'd like to drill down into it further, if necessary. Thanks, Ryan

In P2.T5.67 Mapping Options, question 67.1 notes being "short cash (e.g., USD Bill)" in the question and answer. I recall reviewing this for part 1 but I'm now confusing myself on what exactly being "short cash" means economically. Can anyone please explain this to me? Is being short...

Hi - I was just curious if BT's study planner for 2015 has removed any videos and notes that are no longer relevant from 2014. I'm sure there is some overlap and it's not so "black and white" as my question may seem. Hopefully this question makes sense. Thanks, Ryan

David et al, This may be a very broad question, but I'm finding myself struggling in some key areas for fixed income. I'd like to get much more comfortable with the following over the next 4 weeks prior to exam date. The general theme for me is relationships between different variables...

It's unclear to me when to use a FV of 1000 or 100 when calculating the value of a bond. I feel I've come across different examples where the question requires you to use one or the other, but it's not given up front. Is there a way to know which to use? Hopefully my question is clear...

I'm going crazy trying to understand what I'm not doing right here, and I think it's my unfamiliarity with using or understanding Black Scholes model. But anyway, would appreciate if anyone can help. In the first paragraph under the subsection "Nonlinear Derivatives" Allen gives an example...

5. A random variable X has a density function that is a normal mixture with two independent components: the first normal component has an expectation (mean) of 4.0 with variance of 16.0; the second normal component has an expectation (mean) of 6.0 with variance of 9.0. The probability weight on...

Hi David, I wanted to ask your advice. I'm finding myself spending an insane amount of time reading through and trying to understand each and every detail of Modern Portfolio Theory by Gruber. For instance, I can't seem to wrap my head around the shape of the graph for when correlation is...

Hi All, I want to purchase a tablet that will allow me to utilize all of the resources in BT, such as read PDF's, watch the videos, and anything else I might want to use in prepping for FRM part I. This may also include browsing Youtube videos and the internet but not as important as using all...