Search results

Hi David, I miss the old site.. Kind of lost..when I am browsing BT to update my risk knowledge. Daniel

Hi David, Got a good book about it. thks. Daniel

Hi David, I passed the FRM 2010 May Level I and Level II exams ! It is a surprise to me! I thought I have to come back again. Thank you for your movie tutorials and your forum. I recommend to take the practice questions from BT, which are particular tough but you can really learn the...

Hi David, I personally think the ex post result will be on high cut off for I and II. Since this is graded on a relative bases, I don't have confident to pass. It is a must to go through all BT video/study notes and truly understands the concept and doing practice questions. BT's practice...

I remembered there is a choice of 29.4% there. This is to apply the formula nCr*p^r(1-p)^(n-r)... and n = 15 r =1. Plug in the formula it will be there.

Hi David, This question is difficult. I have a hard time on it. A firm has a porfolio of traded assets worth $100 million with a VaR of $15 million. The standard derivation of the return on the portfolio is 0.5. The firm is considering the sale of a position worth $1 million in an asset...

Hi David, I got some questions on EVT which I don't know if my understanding is correct or not. EVT application to VaR on stock market data is not useful. The reason is stock price is lognormal distributed and for empirical stock market data, standard VaR estimates at the 95% confidence...

Hi David, Here is a past year question : A trade sell $80 million worth of gold short for six weeks and buys $80 million worth of gold for six weeks delivery. This exposes the trader to a: A. Rise in the price of gold B. Fall in the gold borrowing rate C.Fall in short-term interest rates...

Hi David, I have some confusion about OAS . Quoted “The implied cost of the option [i.e., the prepayment option] embedded in any mortgage-backed security" The implied option cost also refers to the prepayment option. I understand (IMO, not sure) 1. OAS is the compensation for...

Hi David, If I invested in the senior tranches asset, I am protected due to the subordination of credit enhancement for the senior claim. I will receive less coupon income compared with equity trench. If the assets have higher default correlation, it means senior tranches become more risky...

Hi David, The question is about the Stress VAR measure. The capital requirement is calculated according to the formula of c = Max (var(t-1), mc* var(avg)) + max (sVar(t+1), ms*sVar(average)). My understanding is to observe the historical 12 months data, select the period of stress's risk...

Hi David, I refer to the screencast page. 6 and page.13 for operational risk 7a. How will the market risk capital charge fall on the graph of x-axis as shown in page 6? Regards, Daniel

Hi David, Agree that there is no right or wrong in using the continuous or discrete discounting functions. If the question has made it clear that the LIBOR are at continuous rate. I think it should be stick to continuous discount rate to be consistent. In terms of MTM in market practice on...

Hi David, Not able to locate the file by pointing to the follow link. Is the link still valid ? http://www.bionicturtle.com/premium/spreadsheet/3.a.11_hull_swaps/ Regards, Daniel

Hi David, Credit default swaps written on multiple names, the first-of-basket to default swap give the protection buyer to deliver one and only one defaulted security out of a baset of selected securites, ie the trigger event.What is the pay off to the protection buyer ? Does it cover the...

Hi David, I have found the topic scenario analysis (Toic 4 Valuation & Risk Model)covered different approaches. There are Prospective , Historical scenarios, Conditional Scenario Method, event driven, portfolio-driven and Stress testing scenarios, Multidimensional scenarios and...

Hi David, I refer to your webinar or the study note page 94(Fin mkt & prod) about the McDonald Commodity Forwards. The Cash and carry arbitrage table, where long commodity at Time 0 is calculated as -9.9 (10e^-1%), why it is not simply the spot (So) ie, $10? Also when borrowing at riskless...

Thanks for your detail reply. It helps.I find studying FRM is not easy if you go to drill it down to understand each AIM indepth. Daniel

Hi David, I do not understand on your reply to Sudeep's question item 1. The equity risk premium ERP is the market excess return of the return of market less risk free rate. The Beta of security (say stock A) is defined as the cov (market, security A)/variance (market.) What does the market...

Hi David, Your excel file once again prove that it is very helpful to illustrate concept by numbers and graph. It is very nice to visualize it. I find it so unique in BT that no other souce of training can be compared with. Daniel