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David & Suzanne, Thanks for your help. I passed part 2. Quartiles 2,1,1,2,2. EIA

Hi Robert & Troubleshooter, Below is from BT note on T8.d R&I note pg 31. Explain the common arbitrage strategies of hedge funds, including: Convertible arbitrage 2012 FRM Risk & Investment Management 8.c Stowell, Hedge Fund Invest Strategies: Ch. 12 Returns: The returns in a convertible...

Its like I made a mistake to have selected D which overstating Sharpe Ratio? Any take on this. I have seen answers that seems to be Overstatement of Hedge Fund Performance (A).

Hi, This is from Andrew Lo Any quantitative approach to risk management makes use of historical data to some extent. Risk management for hedge funds is no exception, but there is one aspect of hedge-fund data that make this endeavor particularly challenging: survivorship bias. Few hedge-fund...

Hi, On question 3 above, I think if there is a survivor-ship bias according to Andrew Lo The Sharpe ratio will be overstated. IMO performance overstated don't have any meaning. Please check Andrew Lo on Hedge Fund Risk Management. EIA

Hi, On question 28, I am of the opinion that D is the right choice. The question asked of Funds and not managers. So I think Sharpe Ratio is better placed to assess Funds while IR is for individual managers. Check Andrew Lo on Hedge funds. EIA

Hi All, Dave is a great instructor no doubt about that. But for this question the answer is 20%. There is a prototype in Schweser. If you check Cannabaro and Duffie, there is a difference between Risk neutral mean loss rate and mean loss rate. See this from note 6a of credit risk Define...

Hi Shanlane, I did not choose bond payment. Like you said, it is an increase and not normal cash flow. So I selected Decrease in Stock Price. If you check the BT notes it was stated that the Fund can make more money if the price of the stock decreases. In convertible arbitrage you long the bond...

Hi David, Explain how past regulatory and legal problems with hedge fund reporting relates to expected future operational events. 2012 FRM Risk & Investment Management 8.e Brown, Trust & Delegation •We find that funds with legal and regulatory problems have poor operational controls. –Problem...

Hi David, I am going through BT Veronesi questions. I came across this question on pg 10 105.3. Barry the analyst calculated the effective duration of a pass-through MBS as 5.3 years. His effective duration is based on re-pricing the MBS with a yield shock of 50 basis points; i.e., current...

Hi David, Is the CPR 6.9% or 4.6% and why? Because 6.9% was used in calculating SMM while the answer for CPR is 4.6%. From your answer is there a difference between CPR at 150% PSA and CPR @ 23 month? Please clarify. BR EIA

Hi David, Thanks for your quick response. Even me I can find it in any Aim but this is where it is found below. CREDIT RISK MEASUREMENT AND MANAGEMENT—Part II Exam Weight | 25% • Subprime mortgages and securitization • Counterparty risk and OTC derivatives • Credit risk concentration • Credit...

Hi David, I believe this will meet you well. Please I need to know, in which of the videos did you treat CVaR? Because I can see it as part of the learning outcome under CRM. BR EIA

Hi Shanlane, I trust you are doing well. I have seen some post from you to David. How is your studies going? Are there other materials you are using aside from BT? I from Nigeria, where are you located? Can we link on linkedlin? BR EIA

Hi David, I trust you doing great.Please I need clarification and more insight. In Hull pg 530, the formula used in calculating d1 is d1 = (Ln(Vo/D) + (r + Sigma^2/2)T) Sigma * Sqr T and Stulz calculated d1 thus d1 = (Ln(Vo/D) + 1 * Sigma * Sqr T...

I think so but the GARP guys say B. Anyway thanks for sharing your idea. BR EIA

Hi David, Kindly look through this question and confirm if option B is correct. 39. Which of the following statements is/are true? I. In an add-up basket credit default swap, the pay-off occurs only when all reference entities default. II. In a binary credit default swap, the payoff in...

Hi David, I trust you are doing well. I have a suggestion to make and it has to do with the Level two video release. I want to suggest that you release Current Issues first followed by IM, Operational Risk, Market Risk and then Credit Risk. Reasons for this suggestions are Current Issues has the...

Hi David, I trust your judgement and I also believe that you have so far done well in your judgement. But like you will always say, you cannot know in certainty where GARP will set their question from. Having said that, I believe strongly that what you cover is enough to pass and pass very...