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    FRM results released!!

    Hi David, I must be honest to you, your materials (the video, excel spreadsheet, and blog) were of tremendous help in my passing the 2009 FRM full exam. You are simply the best. I am wondering will you offering preparatory program for the ERP exam? It might be next venture after CFA...
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    Any Feedback on FRM 2009 Exam ?

    Hi David, Reporting from Toronto Ontario for the Full exam The morning session was really crazy! But the afternoon was definitely better, not much calculate this, calculate that! But there are some interesting question that stuck to my mind. We were given all the inputs necessary...
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    How did they solve for duration in this question? GARP paractice Exam

    Hi NRafanan, May be either you did not understand my question or GARP question. The question did not give any coupon rate! You used 6% coupon rate in your calculation, you cannot assume a rate in the exam. What my question / concern is that GARP should be more precise in writing questions...
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    How did they solve for duration in this question? GARP paractice Exam

    Hi David, Here is another exam of such question from FRM 2007 question 74 practice exam: Hong Kong Shanghi Bank has entered into a repurchase agreement with a client where the client will sell a 10-year US treasury bond to the bank and repurchase it in 10 days. The bond has a notional...
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    Surplus at Risk (SaR)

    Hi David, I believe this question is the original source of Question 48 in the FRM full exam sample question. It i from Jorion Chapter 17 end of the chapter questions This is the question: A pension fund has $100 billon in asset and $90 billon in liabilities .Assets are fully...
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    BT CRAM SESSION

    Hi David, I absolutely believe that cram session would be of great help. If you think about it, there are so many AIMS to lean and so many formulae to know ( at times more than one for a particular concepts example RAROC) so a cram session wil be definitely of geat help But...
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    Diversified VAR on Learning spread sheet: 5.c.2 Jorion Mapping FI

    Hi David in the movie tutorial 5.C page 28, you got diversified VAR as $2.49Millon while Jorion (page 286) got $2.57Millon I think the reason why is that the transposed indiv.VAR (xV) where not transposed properly! When I did the transpose myself and used MMULT function in excel, , I was...
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    Volatility Smile

    This question is from J. Hall on Vol. Smile. A European call and put option have the same strike and time to maturity. The call has an implied volatility (IV) of 30% and put has an IV of 25%. What trades would you do? My answer is: based on the fact the put- call parity requires that...
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