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Hello I have a question about 404.3. Why do we use the t-statistic here. I was using the z-statistic as we know the population standard deviation, which I thought is the tracking error (5%). Thanks in advance for your help.

Thanks for your answer @David Harper CFA FRM CIPM. It explains it very well. When I first solved the question, I found it difficult to think about the accrued premium, if there is a default after half the year. How is that in practice, does the CDS seller really get the accrued premium after...

Ok thanks for the answer. My fault was to take continous discounting to come from Face and yield to the Market value: FV*exp(-y)=MV. If you just use FV/(1+y)=MV you get to the yield of 0.25, which would be the same type of calculation that the financial calculator does.

Here is the question incl. answer and explanation: 8. Consider a 1-year maturity zero-coupon bond with a face value of USD 1,000,000 and a 0% recovery rate issued by Company A. The bond is currently trading at 80% of face value. Assuming the excess spread only captures credit risk and that the...

Hi everyone, In this question I do not get to the term (1+r) = (1-PD)*(1+y) - (1-PD)*(FV/MV) Could you explain why you use the term behind the minus and how you get to the term? I would have solved it with the following term: (1+y)*(1-PD)+PD*RR = 1+r , where PD*RR is canceled out as RR is zero...

Hi @David Harper CFA FRM CIPM, I am still not sure about the premium leg term: s*[0.5d(0.5)*PD+d(1)(1-PD)] Does the part with 0.5d(0.5)*PD mean that, if in half a year there is a default you still get the accrued premium, which is half ot the premium (Therefore *0.5 at the beginning of the...

Wow, This is an awesome spreadsheet. Thanks so much for that, @Nicole Manley !

Thank you for your answer ami44. I was unsure which test to use and confused about the information with the two-tailed test.

Hello everyone, does someone have the GARP FRM exam study guide changes for 2013-2014 and 2012-2013. As I would like to practice with the older practice exams it would be useful to know what changed during the years. As I cannot find them anymore on the GARP webside it would be great, if someone...

Hi, I am currently practicing with the FRM 2014 Practice Exam Part II and I just did the question 4. regarding Backtesting VaR. My question is the following: How do they get to the statistic lookup value of 1.96? I get to the 1.96 as well, if we this is a t-test and we are looking at the...

Thanks @ckat . Great help !

@ckat.. Thanks for the links, but I unfortunately have the same problems as td, above. You might be so kind to post the links here?

From my GARP account I only get the 2015 Practice Exam. Can I ask you, where you have the older GARP Practice exams (2013,2012 etc) from ?

I have done the practice exam 2015 from GARP recently and I am feeling very unconfident right now: 8/25, considering only those questions that I finished in 60 min. What is your experience? Is the GARP pratice exam, regarding time pressure and level of difficulty, possibly harder than the actual...

Thanks a lot !

I have a question to 302.2.: How do we know to use the t-statistic here for the lookup value instead of the z-statistic in order to create the C.I.? Thanks in advance!