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@Abowen: Also, I think GARP only passed only 39% in Level 1 last time... so I guess the cut off was definitely higher.... And this time around, the cut off might have been lowered, because everyone said FRM 1 was darn difficult... However, if one scores Q2 or above in all segments, I think...

Interesting theory there Sathyaan !! I wonder if GARP would allow something that silly... Alan

best of luck everyone... Alan

e^(-2r)=100-2.46-2.41-2.35=92.78 -2r=ln(92.78) which will not yield the answer. So, i guess, you are missing something in the above eqn. Alan

The stochastic process is X(t) which is X (0) * exp(sigma * W(t) + ( mu- 0.5 * sigma^2)* t)) (call it (A)) If you differentiate both sides using Ito, you will have dX(t)=d[X (0) * exp(sigma * W(t)*root(t) + ( mu- 0.5 * sigma^2)* t))] which should reduce to dX(t) = mu* X(t) * dt + sigma...

Hi J, Observation: European options are not path dependent. What I mean is it only depends on the price at time t, not before t. For the first equation, you will have to simulate the path at every small interval of size dt. Instead, the second equation helps you to simulate the price...

Julien, Your method is also correct. The calc. is more. So, you are left with - lambda_21^2.E(U1^2)+lambda_22^2.E(U2^2)+2.lambda_21.lambda_22.E(U1.U2) E(U1^2)=Var(U1)+E(U1)^2=1+0^2=1. Similarly for E(U2^2) If we assume U1 and U2 are independent, then E(U1.U2)=E(U1).E(U2)=0.0=0. Hope...

For (2) Var(X2)=lambda_21^2.Var(U1)+lambda_22^2.Var(U2)+2.lambda_21.lambda_22.cov(U1,U2), Var(U1)=1=Var(U2) and Cov(U1,U2)=0, if I additionally assume they are independent. For (3), try working the Cov(X1,X2) which u need to equate to rho*sigma1*sigma2 Alan

To re-iterate what Jay_z said, small firms are not diversified - geographically as well as operationally.... Thus, a local economic crisis or a decreasing customer group can lead to an easy default... On the other hand, large firms are diversified, thus losses in one of the business lines in one...

@RS, You can do both .... The CFA is more syllabus (however slightly mathematically less challenging than FRM part 1).... Engineering background is a plus... If you are full time student, 4 months may be enough... However, if you are working, it might be less since you do not have any prior...

Totally agree JK !! guess it was pure bad luck that the UL question showed up early in the paper for centers across India and Singapore. @Toofreak, could you please post some L2 questions also, since I might sit for both L1 n L2. thanks. Alan

J, I think the basic difference between CFA and FRM is that, the CFA covers more topics than the FRM does, however the FRM is deeper (conceptually), and others can correct me here if I'm wrong. For CFA, I know people prefer Schweser, because they have been doing it for quite some time and...

GARP should keep these things in mind.... These are make or break when a few number of questions can turn things around... Suppose A and B taking the exm... A knows UL, spent 10 mins trying to reach the ans... and B does not know UL, just skips the problem and marks 3 more questions than A...

@Prashant, Don't worry.... As someone rightly said, relative grading exms are unpredictable.... Anything is possible @asharma, Glad to help. On the problem with 7yr duration bond, I guess the problem said appropriate hedges are in place, so that should take care of parallel/non parallel...

I dun know... I got this ques from someone else.... But even if the approach used is delta normal, the VaR of the underlying security will follow the shape "A"... Delta and the volatilities are only constants. So, the VaRs will be constant*Z(alpha)*volatility and the Z(alphas) will follow...

@alan: in regards to the following question... would you answer change knowing the VaRs were estimated via linear approx ie the delta-normal approach?" Hi asharma, Delta normal VaR is used only when you want to reasonably estimate the VaR of one instrument whose price depends on another...

@JK, I hv posted the questions so that I can refer to the distribution/type of questions when I'll write the exam. Kinda helps. And this will help other BT members also. :) Alan

I'd say 63-68 though.... Given the top 5% avg score is 90 and GARP requires your relative score to be say 70-75%, implies an absolute cut off of 63-68. 75 I think is a bit on the higher side.

More Qns: Qn on DV01 based hedging Long X face value with DV01 a Short Y face value with DV01 b What is an appropriate hedge. Forgot the choices. GARP tricked my friend giving the DV01 per 100 face value. He used DV01 of portfolio = Sum of DV01's (as per Tuckman) without scaling them...

@ JK, Dun worry. If it makes you feel better I sat for Nov 2010 Part 1 and failed (I used only Kaplan materials which are anyday substandard to BT). And personally I feel I have learnt a lot from BT and I have more to learn. On a different note it feels good to think that I know more now...