Tuckman, Chapter 5&6?

[EK]

Hi David,

Shall we expect practice questions for Tuckman Chapters 5 and 6?

 

[David Harper CFA FRM]

Hi EK - Yes, you'll notice I am currently writing Tuckman Chapter 5 in Today's Quiz at http://forum.bionicturtle.com/forums/todays-quiz.53/
... our planner has us finishing Chapter 5 on May 1st (publish soon thereafter) and Chapter 6 before the exam, thanks

 

[Amit24]

Hi David

For the same chapter ie tuckman 5 & 6 - Are there videos too associated with the AIMS in them ? I can see till 4 only please.
thanks
Amit

 

[David Harper CFA FRM]

Hi Amit - Not before the May exam (just not possible) but certainly before the November exam. Thanks,

 

[Amit24]

ok thanks.

 

[Amit24]

Hi David

From your experience in terms of studying for T4 ie Valuation & Risk Models , this is a helpful synopsis for which topics to concentrate on in your video link ( thanks for that)
http://www.bionicturtle.com/how-to/video/p1.valuation-focus-review-2/

So are there any topics you could suggest in the tuckman chapters 1-6 strictly in terms of sums/ formulas where calculation could be required as dont see anything from tuckman aims in your list above? Or are they all purely non quantitative.
Appreciate your help

thanks
Amit

 

[EK]

David, one more question on Tuckman.. What chapters from the previous edition correspond to the scope of 5&6?

 

[David Harper CFA FRM]

Hi Amit,

Please see this focus review (FR): http://www.bionicturtle.com/how-to/video/p1.valuation-focus-review-1/
(forum version of the same is here @ http://forum.bionicturtle.com/threads/p1-focus-review-6th-of-8-valuation.6430/ )

Tuckman 1 to 6 definitely does include quantitative concepts (your link is to option component of T4, only).

While my FR list is not comprehensive, it continues to be (imo) a good list of the bare-minimum essentials:

• Pricing a bond given a yield or spot rate curve (high testability!)
• Extracting an implied forward rate given two spot rates or two bond prices (the most common question in this sub-topic, almost guaranteed!)
• Compute a yield-to-maturity
• Modified duration and Macalauy duration (guaranteed to be tested)
• Dollar value of ‘01 (DV01)
• Using the DV01 to hedge a bond’s price (market) risk
• Multi-factor risk: It's hard to say about Chapters 5 & 6: we just don't know what, if much, will be important here

 

[David Harper CFA FRM]

Hi EK,

• Chapter 5 (key rate exposures) was previously an FRM Part 2 (Market Risk) Topic (Chapter 7 in 2nd Edition). In 2013, it has been moved to Part 1, with unclear implications: it has never seen high testability, it has historically been (grossly) over-assigned but maybe (hopefully) this reflects an intent to give multi-factor a little more attention.
• Chapter 6 (regression hedges) is entirely new to the FRM (old Chapter 8, but never assigned). If history is a guide, I'd expect low testability in May, increasing maybe in November (but maybe even not).

I will say I am grateful GARP responded to feedback requesting for some consolidation of Tuckman, previously single-factor material (duration & DV01) were all over the place, but the 2013 represents a cleaner organization:

• Duration (single-factor) and multi-factor are squarely in P1.T4, and
• Tuckman's term structure is squarely in P2.T5

 

[EK]

Hi David, thank you so much for clearing things up on Tuckman 5-6!

 

[Amit24]

thanks for that David