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  1. C

    Consistency condition for covariances

    Thanks Shakti!
  2. C

    Consistency condition for covariances

    What is the consistency condition of covariances? Can somebody please explain or point me to the link, if it has been detailed somewhere? Thanks for your help!
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    P1.T2.504. Copulas (Hull)

    Do we have study notes posted for correlations and copulas yet? Thx
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    Drysdale Case

    Ya..looked at NY times then edition and couple of other sites with no luck...the numbers are different to what's listed in the case ..for example a $30m number for capital vs $20m etc...I agree with you that from exam perspective, I'm good..but was just curious to what exactly happened...
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    Drysdale Case

    I just read it. Nowhere they mentioned the actual loss. All I see/hear is that Drysdale were able to obtain loan from Chase showing them the artibitrage opportunity with a flawed accursed interest calculations and then Bond prices went down and Chase had to bear it due to flaw in the contract...
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    Tracking error.

    That makes sense. The only concern that I have with this ratio is around false positives and negatives. Just because IR is more, it doesn't necessarily mean that the manager have actively/effectively leveraged the information. But I get the concept. Thanks!!
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    Tracking error.

    Thanks. But what if if IR is negative? Does that imply that manager didn't actively seek/leverage information (passively managed) or completely misinterpreted/misjudged/information overloaded? Also this implies that unless the portfolios are actively managed, it won't beat the benchmark...
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    Tracking error.

    Let me try to answer my own question! I hope others benefit as well. Please jump in, if I state any of this incorrectly. If we are comparing two or more portfolios against benchmark portfolio to figure out which portfolio did better, information ration helps. The higher the ratio, the better it...
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    Drysdale Case

    I read the case many times, but still not able to understand, how did Drysdale managed to obtain $300 million of unsecured loan from Chase? How many parties are involved in the deal? Confusing phrases to me are 1) unsecured, but mentioning of collateral with out accrued interest 2) Loan from...
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    Tracking error.

    What's the significance of the tracking error? How do we interpret it and use it in real life? Thanks
  11. C

    P1.T1.503. Corporate risk management, a primer (Crouhy, Galai & Mark)

    I tried to, but for some reason it didn't allow me to post. Looks like it was related to permission issue. Thx
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    P1.T1.503. Corporate risk management, a primer (Crouhy, Galai & Mark)

    Typo in the answer section for question number 503.3 Below - C should have been D In regard to (A), (B) and (C), each is TRUE.
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    P1.T1.501. What is risk? (Crouhy, Galai & Mark)

    It's a minor typo. In the second paragraph below, (C) below should have been (D) like " In regard to (A), (B), and (D), each is TRUE" 501.3. C. False, "the VaR measure works well as a risk measure only for markets operating under normal conditions and only over a short period, such as one...
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    P1.T1.501. What is risk? (Crouhy, Galai & Mark)

    Nicole - there is a typo in the second paragraph of answer to question 501.3. Thx
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    Study Groups (Older thread for reference)

    Looking for study group in Charlotte for FRM-1 2015!
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    Sequence of Study Material 2015 FRM Part-1

    Is there a specific sequence within the study material that we will have to follow to prepare for the exam?
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    Anybody in Charlotte for combined study for 2015 FRM Part-1 exam? Thx

    Anybody in Charlotte for combined study for 2015 FRM Part-1 exam? Thx
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