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Sunil, I have completed both my PRM & FRM (the latter was in great part due to BT, and David) and I am a die-hard BT/David admirer. I think there is enough materials on BT itself/the web which compares both these exams so obviously you can do some bit of homework. Also if you are a credit...

David As always many thanks. My curiosity was aroused because of an additional reason: the understated power of Excel. What you have tried to do is fit a non linear (defined as when the dependent variable has a power more than 1, like t^2, t^3, etc) using the OLS method. Does that work...

David Greetings after a long time. As I had mentioned, I continue to visit BT regularly and find your chalk talk most useful. You had recently screencast twp movies on the above (with respect to the Treasury yield curve) would be really be grateful if you could also provide the editgrid...

Just to complete the train of thoughts that I had initiated almost 2 months back........ I have been collecting statistics to cross check my historical simulation results which could probably be extended to a one year trading period (meaning the FRM 2008) To summarise the above...

Hello David At last the good news, yes I have passed the FRM 2007 exam in addition to the PRM exams and that gives me a unique position vis-a-vis others. My scores were Market and Ops Risk - 1st quartile, Credit Risk and Quant - 2st Quartile, Investment Risk - 3rd quartile. In a certain...

David sent you the Basel 2 IRB worksheets as I had promised. Hope this is useful. As I mentioned, the risk weights tally with the B II document and therefore are correct. Please let me know if you need clarifications I wrote to Kamkura's CEO to obtain the full study after reading your...

David On your request to give an opinion on an early start - I had sent a longish private message but it seems that it is not reached you. Just to confirm once again that I would be most happy to give any feedback that you wanted. J

David The attached paper is good as you say, but perhaps dated? (March 2003) ....The Basel IRB mentions that the Third consultative paper (first issued in 2003) had a different regression output then what was finally decided upon in the final accord (which was June 2004). So I guess the...

David First of all welcome back from your much deserved vaccation...I think your really deserved a much longer one, but the way BT is attracting members.....I guess you had to come back..... Well FRM or no FRM the committment to learn has to continue...... hope the opportunity to interact...

In order to get some idea of pass rates for 2007, I went to the GARP website. You can get the following information easily: No of students registered for FRM 2006 - 8007 (as on last day for Exam registration) No of students who passed - FRM 2006 - 2283 (by counting the number of IDs -...

David before these thoughts get out of mind, I have penned down something which I hope will be useful to all members. As expected. FRM 2007 was a toughie - it seems that GARP is getting tougher - very few questions were straightforward. there were a couple of black swans too. But the...

David I wrote directly to Herr Gunter Messiner, on the above issue asking him to clarify his method. Clearly it is an internal method used in Deutshe Bank and I would anyday go with the Jorion method. Also the PRM handboook specifies only the Jorion method. So I guess this is one kink...

David The FRM 2007 practice exam is full of "fantastic and insightful" questions designed to knock the confidence out of you (Phew! today was a bad day!!) by a combination of wrong questions, wrong answers, and questions which you cant find reference to in the assigned readings even if you...

David Thanks as ever for your prompt and detailed replies. My generic way of doing this is (given the numerous ways Prof Voldemort ("You Know Who"!!!) can confuse us): The no arbitrage can be stated as: 1. Borrow in currency A and convert into currency B at spot 2. Invest in...

David Always had this confusion on interpreting the BC and FC. The current exchange rate between Japanese yen and US dollar is 134 yen/dollar. The one-year interest rate in USA is 1.95 percent and the one-year interest rate in Japan is 0.65 percent. According to interest rate parity the...

A trader executes a $300 million 5-year receive fixed swap with one client and a $180 million 10-year pay fixed swap with another client shortly afterwards. Assuming that the 5-year rate is 3.25 percent and 10-year rate is 6.05 percent and that all contracts are transacted at par, how can the...

David The solution (which struck me when I was casually browsing through Messiner) is as follows: The no arbitrage condition for a CDS pricing is: Return on Risk free bond = Return on Risky bond - Default swap premium or default swap premium = Return on Risky bond - Return on Risk...

David I picked this one up from the PRM set of questions: A firm has two outstanding bond issues: a 6 percent coupon bond with one year to maturity trading at a spread of 88 bps over Treasuries and a 9 percent coupon bond with ten years to maturity trading at a spread of 340 bps over...

David Thanks a lot. We often tend to assume that GARP/FRM questions are "great"while the problem lies with "us" (lack of understanding). If these kind of questions are frequent, they can have an adverse impact on our confidence during the exam. Hopefully, GARP has improved. J

David, Hope you don't mind if If ask some specific questions (from previous FRM exams) (As you mentioned, some of the questions are quite weird to say the least). The yield on a zero-coupon Treasury bond with a one-year maturity is currently 6% per annum. The Treasury zero-coupon yield...