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Great explanation, thanks a lot! :)

So can we say that for the HS approach the 5% VaR is -2.35% and for the Hybrid approach the 5% VaR is somewhere at -2.65%?

Hi @JoeriG , my take-away from swap valuation was that one should start "backwards" when determining the payment periods. I.e. for 175.1 we have semi-annual cash flows being exchanged and a remaining life of 9 months (additionally the text indicates 3- and 9-month LIBOR (!)). So you would start...

Thanks, yes at the moment I am also trying to convince myself of how much fun I am having while going through PQs, practice exams, notes, videos and switching back and forth between P1 and P2. :D

Hi David, I think in your answer above it should be "(0.70 - 0.30) * (100 * 1% * 1.645) = $0.6579" and one of the possible answers should also reflect this number (i.e. 0.6579). But then again this is nit-picking from my part. :) Thanks.

Hi all, I am slightly confused (had a pretty bad learning day with lots of calculation errors and stuff like this), is the correct answer for question 4 c) or d)? Thanks!

Hi guys, @irenab thanks for the hint, I didn't realize that and I have almost read all the paper on JPMorgan some weeks ago... Anyway attached is my "work-in-progress" document which I actually wanted to post next week, but since some of you requested to see the current version I am uploading...

Hi all, I tend to agree with @cdbsmith . I don't know if this is of any help, but I have started weeks ago reading through some of the readings for P2.T9 (the so-called "Current Issues"), some seemed interesting to me, some not quite, anyhow, I tried to pick out the points/ideas which seemed to...

Hi, 1 - b 2 - c 3 - b 4 - c 5 - b

Hi @David Harper CFA FRM CIPM , this would be an absolute great idea! I'm currently starting to panick a bit, I have gone through basically almost all the topics for part 1 and now started to revise topics from T1 and T2 and boy do I have a lot of gaps... I think a "quick-and-dirty" recap of...

1. D 2. D 3. B 4. D Best regards.

Hi @LMFRM , there are Study Notes for the other chapters, but not under the actual names, rather under this link: https://learn.bionicturtle.com/frm-study-planner/study-materials/study-notes-2013.p1.t4.-valuation Thanks.

Hi, please refer to the following post by David: https://forum.bionicturtle.com/threads/p1-t2-206-variance-of-sample-average.5271/#post-25262 Summarized: 206.2 includes the wording "exceeds which level", which implies a similarity to the VaR concept and therefore a one-sided tail event 206.3...

Hi Abhishek, I am normally not a huge fan of referencing Wikipedia, but in this case I found there a helpful pdf document: http://rowdy.msudenver.edu/~talmanl/PDFs/APCalculus/OnAsymptotes.pdf from which I post an interesting quote: <<an asymptote is “A line such that a point, tracing a...

Hi @sagr, the difference is explained by David in the following post: https://forum.bionicturtle.com/threads/p1-t2-300-probability-functions-miller.6728/#post-24058 Basically, for 300.2 you set p = 0.05 because it is stated "that 5.0% of the distribution is less than or equal to (x), what is...

1. C 2. A 3. B 4. B 5. D

Hi, you have in this question p = F(x) = (3/125)*(1/3)*x^3 = x^3/125 and you need to solve for x. The inverse of the third power (x^3) is the cube root or "^(1/3)". So from p = x^3/125, you have 125*p = x^3 and from there you apply the cube root to both sides of the equation resulting in...

1. A 2. C 3. B

But they are already there? https://learn.bionicturtle.com/frm-study-planner/study-materials/question-set-futures-and-options-chapters-1-2-7 Thanks.

1. B 2. A 3. C 4. D 5. B