Search results

got the email with a link and also the results are back up. all good (for now)! back to sleep.

Am not going to worry about it too much - just going to sleep it off!

said i passed earlier and now its gone. bizarre! I did however download and keep a copy of the GARP letter just in case!

Hi there My understanding is that credit derivatives can provide protection against a credit event but does it impact the credit exposure or CVA calculation? Also what impact does correlation have on CVA if any? does it impact the Probability of Default in our CVA calculation? Thanks

Hello In one of GARP's practice exam questions it asks: An Analyst estimates that the harzard rate for a company is 0.1 per year. What is the probability of survival in the first year followed by a default in the second close to? The answer is the marginal probability (or unconditional...

Thanks

Hi @David Harper CFA FRM CIPM This is probably a trivial question. In the notes to Grinold (and in the reading itself) about Alpha scaling it states: ...the original alphas have a standard deviation of 2.00 percent and the modified alphas have a standard deviation of 0.57 percent. This...

Hi All I've been reading through the GARP books and using David's videos. Soon I'll start practising questions but I am finding it difficult to go through so much text and trying to retain stuff into my memory like a sponge. Having read past exam experiences it seems there are not many...

Hi David & Co In the below question why is the standard dev not SQRT(60*0.15*0.85) as it seems like the binomial distribution applies? and therefore the standard error would be SQRT((60*0.15*0.85)/60) 209.1 Nine (9) companies among a random sample of 60 companies defaulted. The companies were...

Hi there Question 5 on page42 asks: An oil producer has negotiated a contract to sell one million barrels of crude oil in 6 months. Which is the best hedge against changes in the spot price of oil? a) short 1,000 futures b) short 1m futures c) long 1,000 futures d) long 1m futures the...

Hi guys can you kindly explain the relevance of i.i.d and how this relates to the SQRT of time rule? Many thanks 95kaskha

Thanks Shakhti. I agree I can re-arrange the equation but there is no indication of the TE it uses on that specific slide. do you have access to the slide?

Thanks Shakti How about slide 8 in the slide deck. how do we calculate IR (alpha/residual) based on the data of that slide? for example in the first column the IR (alpha) is 0.8 and in the third it's 0.48. basically how do you calc the std deviation of alpha when we don't have timeseries...

Hi, is non-systemic risk the same as tracking error? also, on slide 8 of Amenc in your lecture slides, can you kindly indicate how you get the denominator in the IR (alpha) from the values in the spreadsheet, say for example the first column where the IR (alpha) is 0.8. I'm guessing the...

Hi David As GARP has now advised us to read the new edition of Hull, have you seen any big differences in the existing topics? Should we wait to use new BT material (assuming BT will publish new material?) or are we pretty safe with the existing material? Thanks Kashif

Thanks, why is mod duration measured in year when it tells me the price change given a change in yield? its the 7.81 "years" in the question that made me think it was Mac dur...

Hi there, in the question set for the readings on Allen we have the following question: 329.1. A 10-year $1,000 face value bond has a coupon rate of 4.0% that pays an annual coupon. The bond's price is $852.80 due to a yield (YTM) of 6.0% with annual compounding. The daily yield volatility...

Hello Is the Summary Study Notes the same as the individual reading study notes in Valuation & Risk Models section for Part 1? I noticed the summary study notes were for 2013... Thanks Kashif

Hi there is the topic on options very different from last years syllabus given that GARP now uses the 9th edition of Hull? if so do you plan on issuing a new video for this part? thanks Kashif