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Hi David, It was not tough but too much time pressure. Could not finish. 100 questions is overwhelming, especially toward the end of the exam had to guess a lot though could have solved. Lot of questions on CPAM concepts. Portfolio performance ( IR / Sharpe), bond duration, GAARCH etc...

Thanks David, For everything. I indeed was in need of the blessings of the 'Guru'! -D

Hi David, Sorry for the last minute question: Q14: Your calculations show: (10,000,000/95,062.50) x (78/84). If the face value of the bond is 100,000 then shouldn't it be 9,506,250.00 in the denominator? In short, I am not getting how you got 95,062.50. Thanks. -D...

Hi David, Thanks for checking it and for your comments. Counting down...hope GARP does not mess up Level 1 this time! Wish us Luck. -D

HI David, Q31.5 (worth doing). I found the implied convenience yield using simple eqation. Is there any bug? 0.762926 ( Forward price from solution 31.2) * e^-x = 0.7415 say x is the convenience yield e^-x = 0.7415 / 0.762926 -x = LN (0.7415/0.762926) x = 0.02848...

Hi David, Fortunaltey I just got it after trying for some time. The Numerator, as you mentioned , the calculations are similar for varinace except we have to cube it. Here is what I did: skew: Numerator = 9% (120-92)^3 + 42% (100-92)^3 + 49% (80-92)^3...

Hi David, One more (silly) question: I tried using skew = E(X-AverageX) cube / cube of standar dev formula Is average X = 92 that is Mean, then what should be the value of X. With reverse engg I get value of X = 103. Same I tried with Kurtosis and I get value of X = 108. Sorry...

Hi David, Thanks you so much for replying the queries so quickly. Your adds to the questions are so thoughtful. You have taken some extraordinary efforts..going thru those questions seems like a going through..thorough churning or crystallization process!! Thanks a ton David. -D.

Hi David, I have some queries. Hope you /some expert on the Forum could check: Q5. For solving the DV01, I used your solution for 5.2. Got two CPT PV one as shown by you and the other simply changing (shocking) the yield to 2.49%. Q6 There is a typo error in the Variance calculations...

Hi David, I also liked this problem and your approach. I was trying to find out the corrspnding yieds for two bonds and then find out yield for zero coupon but with different coupons it may not work. *** I have difficulty understanding how the zero rate corresponds to the discount rate...

Hi David, With the assupmtion of bond is at par, that is yield is 6 %, I tried to calculate the duration with: change in bond price / change in the yield. = 100-103.8 / 6-5.5 ( Bond price from calculater with FV= 100 / PMT = 6 (same coupon) / I/YR= 2.75 (semi annual) , N 2= 20)...

Hi David, I thought in fact mathematically it was true becasue we got the same answer when S = K. Sorry that I did not check with different strike values. Thanks for your clarification. Also it is tempting to solve for N(d1) N(d2)..I think they provide the z table in the exam. I found...

Hi David, This is wrt the problem from Live Webinar (Page 59) to calculate price of put option and probability of exercising the option. I tried calculating the probability using p = (a-d) /(u-d) formula a = e^rt , u = e^std dev * t, d = 1/u where r = 4 % and std dev = 30% I...

Hi David, No problem at all. I will check with Suzanne and see if she approves. I already have enough material though for the study though from your notes and tutorials. You are doing a great job a great service in providing highest education at a very reasonable cost. It is mainly...

Hi David, Sorry for this post. You may remove it. I tried sending you few personal emails but did not get any reply. I understand you are busy with helping the students. I signed up last year this time and my membership will be ending within couple of days. As I had explained earlier...

Hi, I was kind of patient and trying to be patient to see the result. I almost know my result hence am not very excited. However I do agree that GARP was highly un-professional conducting exam at UCLA, Los Angeles. I have suggested to conduct online exam so that we get the result on the...

Hi David, I felt the same. The morning session was tough and time consuming. I was writing till the last minute. I finished one second after the proctor made announcement to stop and he almost was ready to file a report !! The exam was totally misorganized..a total mess in UCLA. They did not...

Hi David, I thought the Schweser mechanics was easier especially when solving problem in the exam for MVAR / CVAR. Optimization is possible only thru increasing the weight in the portfolio having higher excess / marginal VAR ratio that is a trial and error method. Thanks for your review...

Hi David, I found the menthod used in Schweser notes much easir to calculate Marginal VAR / component VAR. I tried solving the same example of currencies and the answer matches perfectly. A B C...

Hi David, Thanks for the detailed reply and for directing me to the discussion on the Forum regarding the Capital Requirement. So the Haircut of 6 % (add in the liability and reduce from the securitization: cuts at both ends) is a standard percentage? Is there any reason that it is 6 %...