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Whatsapp group for FRM part 2 Oct/Nov 2020
19145067734- nitin3000
- Post #173
- Forum: Part 2 FRM® Study Groups
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Liquidity Adjusted VAR
A trader observes a quote for stock DUY, and the midpoint of its current best bid and best ask prices is CAD 45. DUY has an estimated daily return volatility of 0.38% and average bid-ask spread of CAD 0.14. Using the constant spread approach on a 20,000 share position and assuming the returns of...- nitin3000
- Thread
- garp16-p2-19 liquidity-adjusted-var
- Replies: 1
- Forum: P2.T8. Liquidity and Treasury Risk (15%)
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Expected Loss and Loss Given Default
An analyst is reviewing a bond for investment purposes. The bond is expected to have a default probability of 3%, with an expected loss of 75 basis points in the event of default. if the current risk free rate is 2%, what is the minimum coupon spread needed on the bond for its expected return...- nitin3000
- Thread
- garp16-p2-15
- Replies: 1
- Forum: P2.T6. Credit Risk (25%)
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lognormal VAR
I had the same doubt as frmqiu above. It looks like the 2016 answer sheet is using a wrong formula for Log normal VAR- nitin3000
- Post #16
- Forum: P2.T7. Operational Risk & ERM (25%)