2010 Live Webinar Review (Level I): Saturday August 7th at 9 AM US

[Suzanne Evans]

David is going to conduct our 2010 FRM Level I review webinar on Saturday August 7th at 9 AM U.S. EST.

Agenda:

• CAPM/RAPM
• Statistical (coefficient) significance
• Value at risk (VaR) is a CDF quantile
• Volatility (EMWA & GARCH)

Logistics

When: Saturday August 7th at 9 AM U.S. EST. What time is that for you? Click here for your local time.

You MUST be a paid member in order to access the live webinar. If you are not , please do not register as your registration will be denied. For those of you who are unable to attend, don’t worry! The webinar will be recorded and published to the premium section ASAP.

Go here to register.

Please be sure to register for the webinar with the same email that you use for bionicturtle.com!

We are allocating 2+ hours (similar to the webinars that were conducted in early 2010). Because the FRM has so much material, of course everything cannot be covered. Rather, David is going to share his view of the most critical ideas. So this webinar is merely a supplement to your regular plan. Please do not defer/delay your study plan in favor of this review; it can only give you a small “boost.” His goal is to keep you on track.

Finally, perhaps you have identified a difficult question? If you have a particular issue or question that you’d like us to cover, please let us know in the forum thread or email .(JavaScript must be enabled to view this email address).

 

[David Harper CFA FRM]

In regard to Saturday's webinar, please note I uploaded a draft of the presentation deck that I will use (as usual, the file is on the member page). If you would like to do any preparation, the best thing you can do (in my opinion) ahead of the webinar is to work the four practice questions in advance. By doing that, you can focus on interpretation and thinking. Here are the questions (they are in the slides, too):

1 (CAPM). Portfolio Q has beta of 0.7, expected return of 12.8%. Market risk premium is 5.25%, risk-free rate is 4.85%. Calculate Jensen’s Alpha measure for Portfolio Q.

2.i (significance). Bob tests null hypothesis that population mean is less than or equal to 45. From a population size of 3,000,000 people, 81 observations are randomly sampled. The corresponding sample mean is 46.3 and sample standard deviation is 4.5.What is the value of the appropriate test statistic for the test of the population mean, and what is the correct decision at the 1% significance level?
a. z = 0.29, and fail to reject the null hypothesis
b. z = 2.60, and reject the null hypothesis
c. t = 0.29, and accept the null hypothesis
d. t = 2.60, and neither reject nor fail to reject the null hypothesis

2.ii (significance). In Hull 3.4, an airline's jet fuel purchase is hedged with heating oil futures contracts. The regression line (n=15 months) is given by: S = 0.00087 + 0.78*F, where S is the change in spot price and F is the change in futures price. The standard errors for, respectively, the intercept and slope are 0.00262 and 0.086.
S = 0.00087 + 0.78*F
(0.00262) (0.086)
Is the slope significant?

3 (VaR). $20 MM portfolio, two equally-weighted assets
Asset A ($10 MM): annual return = 12%, volatility = 12%
Asset B ($10 MM): annual return = 20%, volatility = 20%
Correlation = 0.15
What is 30-day 99% VaR?

4.i. (EWMA)
Most recent daily volatility = 2.0%
Stock price, Yesterday = $20.00 and Today = $22.10.
If lambda = 0.94, EWMA volatility = ?

4.ii. (GARCH)
Most recent daily volatility = 2.0%
Stock price, Yesterday = $20.00 and Today = $22.10
If alpha = 0.03, beta = 0.94 and long-run volatility = 2.0%, what is GARCH(1,1) volatility?

 

[David Harper CFA FRM]

Thank you for attending today’s webinar, we had some impressive participation!

If you missed the webinar

No worries, please go to this page. You will find:

* Recording of the two hour meeting (native .wmv file; do not try to stream, must be downloaded)
* PDF of the presentation
* If you are so inclined, the spreadsheet David used for the practice questions that we worked

 

[David Harper CFA FRM]

This is just a test of the new forum

The quick brown fox jumped over the lazy dog. I am not sure why he was so inclined.

The quick brown fox jumped over the lazy dog. I am not sure why he was so inclined.