Search results

Thank you Niket! Can I derive the CS01 from the traded spread of a Credit Default Swap (CDS)? This part I'm still not clear on.

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...

https://forum.bionicturtle.com/threads/ryans-study-method-part-2-and-part-1.8693/

Why were passing %'s not put out this year? Or did I miss them. They usually come out same day as exam scores, or the day after I thought.

Wow. Passed part 2. 1-1-2-3-1. Happy man right here. Once again Thank You @David Harper CFA FRM CIPM and Bionic Turtle team.

Default correlation is an increasing function with UL, it does not impact EL. Therefore CVaR should increase, I believe.

I recall this but did it specifically ask for the severity or frequency distribution? I may have chosen lognormal of the choices, if it was for severity.

Some others coming to mind, apologies for the vagueness but maybe others can extend more detail: CHF/EUR de-peg from January event and a complimentary graph I think I chose the answer where one currency will be more volatile going forward. Something regarding an OAS spread above the treasury...

Agreed, this one baffled me. I could not find rationale in choosing the bank with longer duration Assets, or the one with shorter duration Liabilities, as these should be flipped for a better credit counterparty, unless of course I am thinking of this all wrong. I hesitantly chose the one...

Some general questions I remember that may not have been mentioned yet here: Asking question regarding payment vs close-out netting and the difference 3 question set on XYZ's SPE of mortgage bonds, one question was the most pressing concerns regarding the consulting companies proposals for the...

It was very similar, but the line was off center and shifted to the left of the "zero,zero" axis, which to me meant a negative mean. I very well may be wrong.

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...

I contacted GARP about this. They forwarded me the 2013 through 2015 practice exams. "All other practice exams are no longer available". I am still not sure how you can download these on the website. I'm not a big fan of the new website design (Salesforce?). FYI: You can contact...

Brian - are the P2 2010 to 2014 exams available for free download from GARP? I'm seeing these as only available for purchase on their website. 2015 is free for download. I didn't think this was the case for registered test-takers. I'm thinking I must be missing something here. Thanks...

@David Harper CFA FRM CIPM Thank you, but sorry this doesn't really make it much clearer to me. For instance on the Bloomberg terminal there are multiple yield curves one can select from. That part confuses me a bit. I should probably revisit the basics on this one.

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

This is great. Thank you both. Ryan