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The chapter is about vulnerability of commercial paper to financial institution. I think FRM is from perspective of financial institution but not retail like me and you right? The buyer of commercial paper is very sensitive to credit quality of the issuer and they are mainly institutional buyer...

I recommend you start with Valudation then Financial product. You will come across them soon in these two chapters ( at least for roll cost).

first part about expecting security to go down - I agree second part about contango - I disagree contango is upward sloping over time i.e. higher price for farer contract. For a contract with 3 years of maturity it may be selling at 105. A year later it is a contract with 2 years of maturity...

Hello if you are in doubt here are GARP's words. For my last FRM exam I would say it is a MUST to know the answer to the question ' if I want to hedge some credit risk I should long / short a TRS'

when we are talking about funding cost/benefit think about a hedging position with your current contract e.g. when you are long something you are also hedging with another short position at the same time. This seems to be how GARP / Gregory write about funding. When you have positive exposure...

Lets break your doubts into pieces: So Today is 23rd June and exam window closes in 30th. Get BT basic package now, and you have 1 week to decide after considering following: 1) skim through those questions & answers and see if you can finish them all before Aug Exams For BT questions that...

Take it again in Aug. now you know what the exam is like. Better to KO it with some residual memory. But to be honest, the actual exams resembled mock exams a lot, and you said you tried hundreds of them. What did you find most difficult in the actual exam? How did you feel when ur out the exam...

dm me if you have any question ;)

dont know how to translate the numbers but all 75-100% quantiles. Passed. Thank you!

dont know how to translate the numbers but all 75-100% quantiles. Passed. Thank you!

Surprising lots of questions related to Mortgage and securitisation just to list a few that tested: - CreditMetrics - OIS - MBS, Tranche PD - PIT rating - BCBS239 adaptability - Dodd Frank Volcker Rule - Hedge FX with option - Key rate hedge - Termed life insurance premium - America option...

Seems right to me. Could you please rephrase your question? I dont understand what you are asking. Sorry mate.

It is an correlation matrix as input. it is more like an assumption. No calculation behind them. They use it as input to derive the diversified VaR.

I saw somewhere in the notes or here trying to model the mean version using AR(1). The result states that the scaled variance is equal to sort of ( 1-b^2), where b is the coefficient for the AR(1) lagged variables. Hard to recall where it is..been searching through notes and here but in vain..

Dear David, do we have an intuition of why beta of individual asset would all equal 1 in optimal portfolio ? Thank you

Hello Nicole, Page 56 question 325 - the link at the end directs us to question 410 instead. Thank you! best regards, Casey

amazing.. to anyone seeing this this also works with portfolio with non zero correlation and more than 2 funds as long as they are equally funded.

in case someone still confuse why we divide 10000 here or what does linear approximation mean: the nominator is change in value per 1 basis point e.g. $1 divide it by 1 basis point again would yield change per 10000 basis point = 1=100% i.e. $1 / 0.0001 = $1*10000 =$10000 If we divide the...