Recent content by monsieuruzairo3

@kevinyuen When you sit for the exam you will be given an exam booklet that contains questions and an answer sheet where you need to mark with HB/Soft lead pencils. Now the weird thing that GARP does with the answer sheet is that there is an identical answer sheet attached to it (which I...

Hello All, As we now approach the "LAST WEEK" of our preparation and gear up for the exam, I would like to take expert opinions from you all in Operational risk topic prioritization. What do you suppose would be a good estimate of ratio ofBasel 2/3 readings to entire Op Risk topic. Considering...

hi @David Harper CFA FRM CIPM Following ais a question from section on Portfolio Analytical methods P2.T8.2. 2.2. A $10 million portfolio is equally invested in two currencies: $5 million in Swiss francs (CHF) and $5 million in Japanese yen (JPY). The volatility of CHF is 10%; the volatility...

Hi @David Harper CFA FRM CIPM Thanks for the explanation On my final review now :) Here's a short doubt on a schweser question Which of the following is the typical way an asset manager employs interest rate swaps in subprime securitized pools? A) Long-term, receive fixed swap. B)...

Hi @David Harper CFA FRM CIPM Following questions are a part of 4 questions from Structured finance BT 130.1 For these first four questions, assume a firm issues only three capital claims: zerocoupon senior debt with face value of $300 million; zero-coupon junior debt with face value of $500...

Brilliant!! Thanks man

Hello @David Harper CFA FRM CIPM I have started revision on the Credit risk part and went through one Bionic T question. Was sort of perplexed . Please help me understand the stuff Reading is Credit default swap Assume a protection seller enters into a senior basket CDS, which in addition to...

Hi @David Harper CFA FRM CIPM I came across the following question Tim Jones is evaluating two mutual funds for an investment of $100,000. Mutual fund A has $20,000,000 in assets, an annual expected return of 14 percent, and an annual standard deviation of 19 percent. Mutual fund B has...

Thanks @David Harper CFA FRM CIPM On another note there is a question from P2.T5.17. Lookback options Are the following statements about lookback options TRUE or FALSE: 1) The payoff of a fixed lookback requires a MAX() function but the payoff of a floating lookback does not need MAX() Your...

Hi @David Harper CFA FRM CIPM Came across the following question from Scheweser The standardized approach to estimating the risk arising from asset securitization: A) requires a reduction of capital for unrated positions. B) is more commonly known as the external Ratings-Based Approach (RBA)...

FRM Level 2 hovering over!!

Helllo @David Harper CFA FRM CIPM I quote your question from the reading P2.T5.40. Replicating callable bond 40.1 Assume the market six-month and one-year spot rates are 2.0% and 2.2%, respectively. Assume, per Tuckman's two-step binomial interest rate tree (i.e., each step is six months)...

Thanks @David Harper CFA FRM CIPM I wish to clarify one thing with you. Does Probability of Type 1/Type 2 error decrease or increase as we increase the confidence level. My reasoning(very shaky, no foundation): Since on increasing the confidence level the no of exceptions permitted under the...

Hello @David Harper CFA FRM CIPM I am really struggling understanding the math behind the folowing BT Backtesting calculation problems. At current, the Basel II IMA green zone refers to four or fewer exceptions, the red zone refers to 10 or more, and the yellow zone refers to five through nine...

Hi @David Harper CFA FRM CIPM There is a question in Scheweser as follows Suppose a credit position has a correlation to the market factor of 0.0625. What is the realized market value used to compute the probability of reaching a default threshold at 99% confidence level? Now the solution as...