Search results

Hi David, I just wanted to thank you again for your incredible FRM preparation material.I have passed this exam. This has been possible with help of your preparation material. Although, without any doubt most of the credit goes to well prepared movies and this forum (here you have supported...

Thanks David !!

Hi David, Practice set has confused once again :) .. Now this is Q26 given in the 2006 Test1. The reason for confusion is that the solution to this questions uses exactly what we were discussing in our last thread above for different Q from practice set ( same concept but different solution)...

Thanks SKCD. David, I get the definition correctly but in the context of the question, I do not understand that why it says that Wallace is shorting CDS and there is my disconnect to it. Pls help Rgrds OM

Hi David, What do we mean by closed form and reduced form as mentioned for many methods. Like BScholes is closed form ... Pls suggest. Rgrds OM

Hi David, I am not clear how C is the hedge, now here we need to create the synthetic returns as good as selling the corporate bond. So Buy government bond and buy CDS (as we pass on the premium for the default risk). In such a way profit is locked for Wallace. But ans C mentions to Short the...

Hi David, Q21 - exam 2008 II - The dividend yield of an asset is 10% per annum. What is the delta of a long forward contract on the asset with 6-month to maturity? I am not clear that why are we using delta for the "forward contract" and if we go by the cost of carry model, dividend...

Hi David, Q36 in the practice exam 2008 Which of the following statements about Extreme Value Theory (EVT) and its application to value at risk are true? It mentions in answer for this that "For empirical stock market data, standard value at risk estimates at the 95 percent...

Hi David, In this Q - I am not able to understand that if default correlation is negative then that will mean that we have perfect hedge ..i.e for every one asset defaulting one will not default ...then how is it increases the investment risk..I am not clear, may be missing some conceptual...

Hi David, This Qustion is frm 2008 practice set and i am not able to understand the question itself..what is it asking us to achieve ..pls help A junior bond with a face value of 200 matures in 5 years. A senior bond on the same firms also matures in 5 years, and has a face value of 100...

Hi David, On slide 21 (ops A), you have classified Scenario analysis as top down approach.Is this correct? as I thought this one is pretty forward looking.. Pls suggest Regrd OM

Hi David, In this Question, why do we reduce 1 from 5.175 while calculating CAR..pls explain. The annual credit volatility of an asset is 15%. What is 1-year credit at risk (CAR) on a 95% confidence level for a notional of $1 million? (Note: when the mean is 0 and the standard deviation...

Hi David, The buyer of a credit-linked note (CLN) assumes what risks? - in the answers you have mentioned that buyer does not assume market risk. But I thought this should be a risk as change in interest rates will actually impact the pv of the value that buyer receives in any of the...

Hi David, In TROR - TROR payer pays any asset appreciation and receiver pays any reduction in the value of the asset - is this correct ? As I can not figure out this concept from the study notes but came across in this question. Pls help. Q Shell Oil has borrowed USD 100 million from BBVA...

Hi David, Great, points noted !!.. make sense !! thanks

Hi David, Do you have some special advice before the exam ? Rgrds, OM

Thanks David for taking time for answering this and other questions, it really helps !! Rgrds OM

Hi David, I came across one concept, that in the rating transition matrix, the credit ratings are more stable over one year horizon whereas the stability declines over the long horizon. How does this happen? I thought that as we have seen the behavior of the assets/rated companies for a...

Hi David, I need your help in understanding that why correlation in the underlying credit (in the swap basket) and the swap pricing are inversely related. I thought highly correlated asset will be a riskier proposition and therefore the spread should be higher whereas in the explanation it is...

Hi David, "The implied volatility decreases as the strike price increase" - I am not able to understand this concept, because as I thought that as strike price increase call option will be deep out of the money and put will be in the money (although this is relative to stock price), in both...