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Praise the Lord !! Passed Part-2 . Result delayed by a week for me due to an Exam Incident reported which mounted the tension. An Exam incident was raised as I had a very simple ball pen in my Shirt Pocket .Fortunately GARP gave an opportunity to explain that it was unintentional and was...

Hi David For the GARP FRM Part-2 2017 Qstn#60 Asset position Value (USD million) Return Standard Deviation (%) Beta(To Portfolio) HIJ 200 30...

Hi Shakti/All, Can you please help in distinguishing the Steps used in Filtered HS Vs Volatility Weighted HS 1. we need to take a sample of historical returns. 2. calculate the std dev=old volatility 3. estimate the new volatility 4. apply the correction ratio to the sample of returns. 5...

Thanks David. Second case -- I was trying to put 0.04 0.01 -->Should give 0.75 RF +0.25 Portfolio Third Case - As you mentioned no Cash Clear now.

Hi David, Can you please confirm the composition of Adjusted portfolio for calculating M-Squared As I understand Adjusted Portfolio= Combination of (RF portfolio + portion of portfolio whose M-squared to be calculated) Eg- SD=Standard Deviation RF=Risk Free part P=Portfolio Part Portfolio...

Thanks everyone for clarifying this Biju

Hi bpdulog, Thanks.I understand that part of +ve MTM. My question was that whether the EE figure depend on the Grade of a Counter party or not ? Say for example if I have similar IRS (same contract terms) with two counter parties with Grade AA and BB. After one year with same contract terms...

Hi David, Apologies for not having clarity on the question and thanks for detailed response. My question may be a basic understanding/definition of EE In the context of Wrong Way Risk (WWR) I understand that Various factors would have lead to an increase EE (moving in favour of bank and...

Hi David/All, This may be a trivial question..but a bit not clear to me .When going through the Wrong Way risk where Conditional EE is discussed.. Question 1) Expected Exposure in General terms=Avg ( +ve MTM ) counter party owes to the bank If we take an IR Swap example the above Unconditional...

Hi David, In the CVA study note it was mentioned that "increasing recovery rate increases the implied default probability but reduces the resulting loss." Can you clarify why the default probability decreases with Recovery Rate? I thought this should be other way round..Is it because more...

Thanks Shakti. So when we say for Forward Rate Agreements the EE profile is increasing function of time( sqrt(t)) ..The underlying factors that influence final netted payment excluding the time value of money is a function of time. Because when we say EE profile ..we are talking on the term...

Hi David, Can you please clarify the below on credit exposure profiles 1)Credit Exposure Profiles We mean term structure of Credit Exposure. ie.+ve MTM values at various points in future The Variation in Credit Exposure values at different tenors in future is because of the different...

Thanks Nicole.Will wait for the updates.

Hi, Looking through the FRM Part-2 materials . Under Operation Risk Management materials , the below topics doesnt seem available Other Post-Crisis Changes [OR–23] Fundamental Review of the Trading Book [OR–24] Can you please confirm Thanks Biju