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Question: In replicating a call option through a Long 1 year Bond and a short 6 months bond, how is Face value of Bonds calculated. The logic is that cost of replicating portfolio should be equal to value of the derivative, however the formula used in the spreadsheet (attached) is not clear...

Hi, This is Vishal. I am attempting FRM-II in November and would like to join interested people who are also preparing for same. I am working in Credit risk VAR estimation and currently in India. I am reachable on mail id [email protected] Regards, Vishal

Hi, I am preparing for FRM-II , May-2018. Please suggest which are the critical topics that need more conceptual understanding and should be focused first. The topics which are theoritical can be dealt later. I cleared FRM - I in Nov-2017. Vishl

Please suggest. To be more specific, currently I am working in an outsourcing setup and I am looking for opportunities in captive setups (Investment Banks / Financial institutions). So how much will FRM-I be of advantage towards getting challenging opportunities.

Hi All, This is Vishal and I have an experience of 4 years in Credit risk and have worked on developing statistical model for estimating PD , EAD and LGD , Regulatory capital estimation and related areas . I have a good knowledge in applied statistics and I am a SAS certified base & advanced...