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According to GARP: To complete the FRM Certification process, you will need to demonstrate two years of professional work experience. This can be done by submitting a brief description (at least four sentences) of how you use financial risk in your day-to-day job responsibilities under “My...

I feel like there was a ton of variance with those case studies, but ended up sweeping with 9x Q1 :D Now just need to wait til May for work experience...

The second half of this focus review is not in the study material (unexpected loss/ UL contribution) https://learn.bionicturtle.com/topic/credit-risk-focus-review-video-2-of-2/

Hi All, P2.T6.R43 I am trying to conceptually understand how the DD value is calculated statistically. The numerator is the expected value of the price, and the denominator is the standard deviation. My question relates to the numerator. Assume T-t=1 ln(Vo/K) is the current log "return" at...

Passed 1 1 1 1 Didn't see that one coming!

What is the solution to the key rates question? I couldn't figure out how to solve that one.

The question specified - 'using the delta normal method, what is the var', so they are looking for the approximated value which is zero. It wouldn't be very valid for the answer to be anything else, as depending on the distribution any of the answers could be the true VaR. There are many ways...

Felt somewhat easy although that makes me nervous... no BSM at all, only one binomial pricing question (just wanted the probability of up move). A very large part was qualitative. There was one question about copulas and another where the two possible answers were two measures that I've never...

Thanks ami, That explains it. I was getting confused due to the discrete dividends.

P1.T4.5.3 5.3. A European call option has a time to maturity of six months on a stock with ex-dividend dates in two and five months. Each dividend pay $1 per share. The current stock and strike prices are both $50. The volatility of the stock is 18% per annum. The risk free rate is 4%. What is...

Hi All, When I look at the BSM with dividends formulas in the study notes, I find something that is inconsistent with when I do the problems. Specifically the part that trips me up is in the calculation of d1, we take ln(So/K), which when I was studying seemed to be specifically the current...

But lets forget about scaling of parameters for a second, square root rule for scaling VaR has an entire section in the study notes are there a lot of questions regarding this concept. If I run up against a question in the exam such as "The 1 year absolute VaR is $782,000. What is the 20 day...

Hi Jayanthi, I understand that the difference between the two methods is that in effect the second method is using the same scalar for return and volatility. However, if we ignore the inputs for a moment, imagine the question was: The 1 year absolute VaR is $782,000. What is the 20 day...

Hi All, 27.1. Dowd defines an arithmetic, absolute value at risk (VaR) given by VaR(%) = -drift + volatility*deviate. For a portfolio with current value of $1.0 million, expected return of 15.0% and volatility of 40% per annum, which of the following is nearest to the 99.0% confident 20-day...

Ah I see, my error is that I forgot the final cashflow is actually $101 in my set up, not $100. So formula would be 95.03e^(1.5*r)=101 e = 4.062% Thanks!

Hi All, The following is the question: 203.2. The cash prices of six-month and one-year Treasury bills are $99.00 and $98.00, respectively. An eighteen month (1.5 year) bond that will pay $1.00 coupon every six months (i.e., coupon rate of 2.0% per annum payable semi-annually) currently sells...

Hi David, I was able to solve this issue by downloading the video and playing it using VLC Media Player, which can accomplish what I am looking for. Thanks for taking the time to reply!

Hi all, Is there any way to speed up the video to 1.5x or 2x speed? This is usually how I like to watch training videos but I don't see any option for that on the videos.