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Dear David, I'm so glad that the issue with my ticket has been resolved! :lol: Thank you sooooooo much for your help! Cheers Liming 12/11/09

Dear David, Excuse me for the stupidity of this question but I really feel compelled to find out before the exam whether we can take notes, do calculation etc inside the exam booklet. Because as I have noticed from the entire printed copy of 2009 FRM practice...

Dear David, Appreciate your helpful insight on the early retirement of zero-coupon bond. I'm wondering whether zero-coupon bond shall NEVER be possible to be called before its maturity but it can be put before its maturity day. And if this is correct, do we, in reality...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 14) On SPV (FRM exam 2002, question 115) Finally, you are the risk manager for a pension fund considering the purchase of notes issued by the...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 13) On CVAR (FRM exam 2002, question 62) Credit value-at-risk (CVaR) is the 95% 1-day VaR of all positions with a single counterparty...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 12) On Credit Exposure (FRM exam 2002, question 22) At present market levels, which yield curve shift is most dangerous to holders of...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 11) On Portfolio VAR (FRM exam 2000 question 36) A portfolio consists of two (long) assets £100 million each. The probability of default over...

Dear David, I think I spotted another mistake by FRM handbook: 10) Another Mistake of FRM handbook 5th edition Example 20.10 on page 496 The answer provided is b but should be d, I think. Thanks Liming 10/11/09

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 9) On Credit Exposure (FRM handbook 5th edition, Example 21.11 page 515) Which one of the following deals would have the greatest credit...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 8) On Margining and Credit Exposure (FRM handbook 5th edition, Example 21.19 page 525) You have purchased 10,000 barrels of oil for delivery in...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 7) On CLN valuation(FRM handbook 5th edition, Example 22.15 page 550) A three-year, credit-linked note (CLN) with underlying company Z has a...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 6) On Spread in a CDO structure Is it correct to say that for a CDO structure The spread on reference pools = spread on all tranches...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 5) On Correlation of default (FRM Exam 2001, question 25) What can be said about default correlations in Creditmetrics? Answer provided...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 4) On Implied probability of default (FRM Exam 2002, question 87) A 1-year government bond yields 10% per annum while a 1-year corporate bond...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 3) On Credit Exposure and Netting (FRM Exam 2000, question 56) A diversified portfolio of OTC derivatives with a single counterparty has a net...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 2) On Portfolio VAR (FRM handbook 5th edition, Example 17.3, page 407) A relative value hedge fund manager holds a long position in Asset A...

Dear David, I’ve have struggling with the following question from FRM practice and past exams. Appreciate your kind help on this! 1) On Portfolio VAR (FRM 2002 exam question No. 3) Portfolio A has a 1-day , 95% VAR of $5 million, portfolio B has a...

Dear David, There are a few concepts on Procyclicality I need to clarify with you: 1) Does Procyclicality refers to the reinforcing effect of credit rating (whether through the cycle or point in time)? 2) Do both through the cycle and point in time create such...

Dear David, I have two questions regarding Net Excess Spread in Securitization. Thank you for helping me out. 1) why Libor was substracted to get the net excess spread? because substracting Libor makes it looks like credit spread but in here we are concerned with...

Dear David, Can I check with you if Ong's unexpected loss (Unexpected loss (UL) = SQRT[(EDF)(variance of LGD) + (LGD^2)(variance of EDF)]*(Adjusted exposure) ) can be traced back to the formula for calculating the variance of the product of two independent variables (V(x*y) =...