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I agree with what was answered so far, I've taken both parts in May this year and had significantly better results for part 1, not to mention that I failed part 2 (with quantiles 2,3,3,3,1 or something like that). I am not saying it is impossible, it's just a huge effort due to the sheer volume...

Hi Roshan, regarding the second point, it means (imo) that if loans offered as collateral for the structured products lose their value in case of a default, they pose a credit risk as at least a part of the liability position built due to the investment in the structured credit products has to...

With regards to the ex-ante / ex-post IR, please refer to the Amenc notes, page 6 "Two definitions of information ratio Currently (at least in the FRM) there are two acceptable definitions of information ratio: IR = Alpha / StdDev (alpha), but also acceptable because it is "ratio...

Hi, have you looked here https://forum.bionicturtle.com/threads/p1-t1-404-tracking-error-information-ratio-and-sortino.7519/ ? The alpha (or intercept) is 0.0171 in both the image and the answer and not 0.171

Hi, with regard to the question 1, part e, I think it should be 12.8% and not 12% as the CML equation is Exp. portfolio return = risk-free rate + (Sharpe ratio * portfolio volatility) and the volatility as per the question is given as 12.8%. @tosuhn, if you wish to understand the derivation of...

Hi @SamuelMartin , please refer to the following thread: https://forum.bionicturtle.com/threads/2013-garp-exam-1-q9-remembering-f-statistics.7435/ There the answer from David: " Hi @Ekin4112 The t-stats are used to test the significance of the individual coefficients; e.g., is B1...

Hi Amit, I am not (yet :) ) a "Basel expert", but I would asume that the "on balance sheet netting mitigation" is relevant only for the standardized approach, as per the Basel reading "International Convergence of Capital Measurement and Capital Standards" http://www.bis.org/publ/bcbs128.pdf...

Hi, I usually like to break down concepts consisting of several words into the single parts. In this case the "expected" part should be clear as it is an "average in the tail" (as David also indicates). Now for the "shortfall" part: I find the quote from Carol Alexander helpful -> "This is...

Passed Level I with 2,3,2,2 and didn't clear Level II (3,4,3,4,2), but I expected the latter one due to my time management. I am bit disappointed as I had the feeling that Quantitative Analysis was one of my strengths, nevertheless now I am motivated to really study harder for Level II, so you...

Hi, I remember that for this question I took the option where the equity tranche lost all its value, but also that the mezzanine tranche lost a part of its value as there was a remaining cash flow to be paid on top of the cash flow from the equity tranche...But reading your comment, I am not...

Ehm, what do you mean by (1-UGD)? The definition of AE = OS + UGD*COM, or so I thought?? :confused:

Related to the "great memory" - well not really, I have just mapped in my mind the fact that predatory lending was a topic from the "Ashcroft" reading and I have just looked up today at which exact spot this was described. :D If I really had that kind of a photographic memory, I think I would...

I tend to agree with what @belle6631 said, it didn't make any sense to me, I mean how would a lender get any advantage (and this would be assumed by the term "predatory") in providing borrowers with better (i.e. lower) interest rates? This would mean they would have to pay less interest on...

Hi @Johnson , I remember struggling a bit with this question but somehow I located the exact page in my mind from the corresponding text (Ashcroft) and I have marked option a. In hindsight I think this is correct, as I looked in the text and found the following (on page 14): Seven signs of...

Hi everybody, first of all thanks for the detailed feedback here, I planned to write some remarks myself but I am honestly still feeling very tired after the exam. I didn't sleep too well before Saturday and I took both parts on the same day which was (in my opinion) very, very exhausting...

Thanks for the info, I wasn't aware that we need this plastic bag for the personal belongings, my feeling is that some organizational parts of the FRM are "a bit" too strict (I am not allowed to have a sip of water or eat a small piece of chocolate for a "sugar shock" at my desk, seriously???)...

I am bit tired now and maybe I haven't read your question well, but I think it highly depends on the compounding convention if indicated in the question text... From which exam was this question? I remember Hull stating that the two methods (the one you used and the one probably used in the...

Just got to this thread via a link. I think in the post above it should state: "N(-1.645) = 5% and N(-2.33) = 1%" instead of "N(-1.645) = 5% and N(-2.33) = 99%" Just for future candidates who stumble upon this. :)

Hi there, I think I have worked through all Practice Exams and Mock Exams (at least I hope so) and additionally to what you have listed above, sometimes questions on Stress Testing, Credit Rating Matrix [Servigny], Expected Shortfall [Dowd] (I believe) and Ong came up, so I would not leave that...

Hi Roshan, I am pretty sure GARP only evaluates if the answers you have ticked (or better said circled) on the answer sheet are correct or not. What you write on your paper with regard to the calculations won't matter with regard to the decision of pass/fail. Regards, Alex