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Hi David, I am planning to take level 2 in November 2010 and was wondering the preparation time required for level 2. I know it varies from one individual to another but is there a benchmark number of hours one should be looking at? Best, Candid

I am looking at basis risk as sqrt(1-R^2), where R^2 is the regression coffecient of a fund w.r.t. its benchmark...This is as per the FRM handbook. I am finding it hard to conceptualize but is there a way to figure out the dollar value of the basis risk as we do in VaR. For e.g. if I regress a...

Hi, I am a Level 1 Candidate and haven't received an email as yet. I had not updated my email in my GARP profile even though GARP had my email and would send my notification emails from time to time..So, update your profile email...that would be my suggestion to all those who haven't received...

David, Thanks for the quick reply. That was easy. Is there an easy way to remember when to use continuous v/s discreet? Sometimes it is clear but other times I miss it completely.

Hi David, I am trying to understand the valuation of currency swap based on FRAs and struggling with how you have calculated Forward rate using IRP. The formula that you have used is =spot_dollar_yen*EXP((US Rate - Japanese rate)*Time). I am familiar with the following formula - Forward Rate...

David, Thanks for the quick reply. I understand the cash and carry trade but I am thinking from a 'zone of convergence' perspective i.e, if S0 (Current Spot) = 10 and F1= 14 then shouldn't S1 = 14 as spot converges to the forward price at the time of delivery. If not, then this will make the...

David, Please see the Q&A given below. I have a basic doubt - If we are saying that F1 and S (at time 1) are different, then doesn't that imply arbitrage opportunity? So, if F1 = S (at time 1, then the payoff should be zero. Ditto for the F2 contract. Am I missing something? Thanks...

David, Great explanation. Can you please expand this example to the rollover hedge that you mentioned in your last line? Thanks, Hanu