Search results

Hi david, This look too big, but beleive me this are the real FRM question. This kind of lenght is normal of FRM Question. The answer for the same are II & III. cud you plz explain why. Thanks Rahul

Hi David, This one is another gud one, need to understand better for exam purpose. Wud highly appreciate for your help. You are being interviewed for the position of CRO for a large fund-of-funds. You are asked to comment on the risk management approach of the CRO you would replace, James...

Hi David, This is a tough one & need test on many concepts when inter-related with one other. Cud you plz help with this one. On a due diligence visit, the manager of an arbitrage fixed-income fund claims that his fund has very lowrisk. He tells you that the fund invests in...

Hi David, This look easy one, but need strong justification. Plz help with this one. The option adjusted spread (OAS) is used to analyze risk by adjusting for the embedded options. Which of the following risks does the OAS reflect? A)Prepayment risk. B)Inflation risk. C)Credit risk...

Hi David, Can you plz explain this one. A bond with a 10 percent annual coupon will mature in two years at par value. The current one-year spot rate is 8.5 percent. For the second year, the yield volatility model forecasts that the one-year rate will be either eight or nine percent. Using...

Hi David, what is the right answer, why Extreme value theory (EVT) can assist with value at risk (VAR) calculations by providing better probability estimates of observing extreme losses than that indicated by a standard normal distribution because empirical distributions exhibit fat tails...

Hi David, Can you plz explain why B is correct. Which of the following statements regarding CMOs is FALSE? The: A)early maturing tranches offer relatively greater protection against extension risk. B)early maturing tranches offer relatively greater protection against contraction risk...

Hi David, Cud you brief on this one. Which of the following statements regarding the structured Monte Carlo approach is CORRECT? I.The general equation assumes the underlying asset has normally distributed returns with a mean of μ and a standard deviation of σ. II.The security market...

Hi David, The answer for the above is A, the question asked about An explanation that has not been used for the smirk pattern. I think that is the catch in the question, so accordingly Heteroskedasticity is probable option. Rest all 3 option are correct & have been observed in market, I...

Hi David, Could you plz explain this one. The Peyton Formika Fund is a global macro asset allocation hedge fund designed to provide low correlations with U.S. assets. Dominic James is a fund of hedge funds manager that is analyzing the Peyton Formika Fund for signs of style drift. James...

Hi David, Coud you plz explain this one. Which of the following statements is CORRECT? I.Implementation risk differs from tactical asset allocation risk in that implementation risk refers to the risk arising from implementation costs to the portfolio and tactical asset allocation risk...

Hi David, How to go about this one. Quantcept Investment Management decided to test the VAR model for its Treasury Income Portfolio over 10 trading days in September. Trading on the portfolio ceased during the ten days of the test. The backtest provided the following predicted daily...

Hi David, Could you plz advice on the below. why B is the right choice. Computing component VAR for a position using the position’s beta with respect to the entire portfolio is appropriate for returns that follow: A) an elliptical distribution but not a normal distribution. B)...

Hi david, The VaR techniques means WCL - EL = UL, then how the WCL is calculated for Ops Risk. Plz advice if am getting this one correctly. Operational risk type losses range from high frequency low severity(HFLS) to low frequency high severity (LFHS) often seen as a lognormal...

Hi David, Could you plz explain I & II. Which of the following are not the characteristics of catastrophe options? I.They have payoffs linked to an index of underwriting losses written on a large pool of insurance policies II.They trade like a catastrophe call spread, combining a long...

Hi David, Could you explain why the answer for this is A. I know this wud be stupid Question, but need to understand this better. A portfolio manager has a $50 million investment in a high-tech stock with a volatility of 50% and a CAPM beta of 1. The volatility of 50% and the CAPM beta are...

Hi David, Could you plz explain why D is the Answer. I just have answers without any explanation. Where does Gamma comes into picture when calculating Ops Risk. Which of the following best reflects the Committee on Banking Supervision's approach to calculating regulatory capital for...

Hi David, Do you see anything wrong with this question, somehow am not able to relate this to A. Question 51 - #67486 Which of the following is not a practical consideration in modeling severity distributions in the loss distribution approach (LDA)? A) Placing too much emphasis on...

Hi David, The Question is from Scheweser CD #71539 The Answer is (A), so all the 4 are correct according to Scheweser CD Q banks. The Question test about the Economic capital for MR, CR, OR. Even I got the same intution about I & III to be debatable, however I am just accepting it for exam...

Hi FOQ, The Sell Index futures doesn't mean (Call or Put), they mean to say sell S&P 500 Futures of Equivalent Amount to the change in the Put Delta. So if you are long 100 share of MS put delta is say negative (0.60) Then simply sell 100*-0.60/250 * Index value (i.e 5) -60/1250 -...