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I'd say above 60 is an easy pass, given the level of difficulty of the exam I'm hearing about.

Hi everyone, How was the FRM L1 exam. A friend of mine sat for the paper and she said it was brutal. AG

Hi, I recently came across this model... I dont know if you still require clarification on this or got it resolved by yourself... First of all L automatically defines the bands... If L is 5 million, the bands will be of width 5 million. you have two exposures in this case. v[1]=50/5=10...

I don't know if this is the right forum to write a testimonial for BT, but I'm gonna do it anyway.... "What makes BT so different from other commercial training providers is the fact that David's heart is totally into it.... With other training providers one can never find the personal touch...

Passed L2... Market/Credit/Ops/Investment/Current Issues - Q1/Q1/Q1/Q1/Q3 Thanks David, Suzanne & fellow BT members..

Gabe, for retail portfolios, logistic modelling/scorecard building is a good technique to estimate the PD.... However, if you are working on developed market mortgage portfolios, I'd suggest you use the FICO score as a proxy for PD.... The alignment is: at a score of 660 the odds is 15:1 and it...

Vangerok, Good observation.. But basically it's like any other measure of concentration... You can think of exposure of a given obligor as market share of a given firm.... So it can be used for exposure conc. as well... However what I'm not sure abt is if Basel allows other metrics to be used as...

It is... However, you will have to sell your story properly. Will be better if you focus on how your work impacts operational risk in details...

Personally I've found that atleast 80% of market and credit risk is retained next year(2010 vs 2011). You can start there. Basel and current issues part may be ignored for the time being until the AIMS are released.

@Zript, @Q45, I dun rem the exact ans. however I first found the individual active returns by multiplying IR with tracking error, benchmark was ignore since active risk and tracking error are both 0. I then found the wtd. avg. active return and the T.E. which is nothing but a diversified...

ok ok... yeah i guess the material was correct.... whereas my logic was very simple.... since the question did not tell about increase/decrease in rates, I assumed the only way prepayments could affect is both tranches will realize cash flows earlier and hence both prices would increase... but i...

mcarthur, not this one.... the one on MBS tranches with prepmt speed....

@mcarthur, can you please explain why the tranches will behave in an opposite fashion. since i marked both increase i'm a bit scared. 1) Barbell and Bullet portfolio...equal duration, higher convexity. Correct option barbell 2) Marginal PDs given for 1 yr, 2 yr, 3 yr, 4 yr, so on.. What is the...

Guys, I was consolidating all the UNIQUE questions discussed in this thread so far and guess what the number is: 59

If we include Shaktisira's questions we will touch 60.

Copula Question ans: Marginal distros combine to form a multi dimensional joint distro (I'm pretty sure it's correct) For the mortgage question I also considered a 25 yrs mortgage where pricipal pmt in the first month had to be calculated. Think I got an exact answer.

I know Shaktisira, it's relative... However, since VDS asked in terms of absolute scores, I shared my views accordingly... Definitely, it's a range based on relative grading, however, based on talking to various ppl who took the exam, you can come up with an absolute guess. Though you have come...

For L1 last Nov, I scored approx 55/100 correct and my quartiles were Q2, Q2, Q3, Q4 - I failed...I think If I scored 60 I'd have just made it... Based on the same scaling, 48/80 questions is just above the edge. However, L2 pass rate is quite higher than L1, so I'd revise 48 questions to...

@Quest4FRM, your post on TRS made complete sense. Now I realize, CLN might not be the best answer.

@Emeka's post... I guess it all depends on the alignment of the axes. We had normal quantiles in the x-axis. That's why it was fat tailed. If we had normal quantiles on the y-axis, it would have been thin tailed.