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Hi David, Could you take a look this one? I feel Treasury management is more like cash management so should have less trading and so market risk than investment banking which btw I do not think involves a lot of "bad loan"... thanks 23. Which of the following divisions of a large...

Hi David, A related question about the volatility.. I feel for the same security, both long and short position of it should have the same price volatility because they share the same price with just opposite direction. could you advise? Thanks. for example ============================...

Hi David, That is very interesting! Thank you!

Hi David, I also wonder if we need consider tax for RORAC? it looks like the current fomula is pre-tax? thanks.

Hi David, there is another formula to calculate market risk capital charge (when allocating VAR). = F1*VAR + F2*(unused VAR limit) + F3*(excess VAR). How is it related to Basel's methods? Is it just for bank internal use? Thanks.

Hi David, I understand RAROC's formula is pretax return, right? Thanks.

Hi David, If A and B's correlation is 1. P(AB)=P(A|B)*P(B)=P(1)*P(B)=P(B) P(AB)=P(B|A)*P(A)=P(1)*P(A)=P(A)=P(B) So does it mean if A and B's correlation is 1, P(A) must equal to P(B)? Thanks.

sorry David, I think I know what a means now. increase in implied vol means opt value increase with other variables staying constant, right?

Hi David, so if The portfolio “will be profitable if actual (realized) volatility is greater than (initial) implied volatility”, I feel a is more correct than d.. Could you pls clarify? maybe you can explain what "an increase in implied volatility" means? thanks.

Hi David, Could you take a look of this question for me? The answer is d. But CONVERTIBLE has long call opt, so i think (postive) gamma should not create any risk for this position, right? thanks.. ====================== Identify the risks in a convertible arbitrage strategy that takes...

Hi David, So I understand Square root rule cannot be applied to GARCH, right? Given that in GARCH: 1. returns are conditionally normal (maybe SSR can be applied for short time span?) 2. variances have mean reversion Thanks.

Hi David, I have found the greek questions are quite interesting and challenging.. 1. Which of the following statements about option time value is true? a. Deeply out-of-the-money options have more time value than at-themoney options with the same remaining time to expiration. b...

Thanks David,, The more I do those old practice questions, I more I hope GARP has already improved to make their questions more clear (with least assumptions or guessworks). Do you think if it is the case? (I have not done 2009 practice yet..)

Hi David, you are correct. it is -0.6. but what puzzled me is it seems it assumes SD(LN(JPY/USD))=SD(JPY/USD), right? Thanks.

Hi David, I know MBS IO has negative duration. But I wonder if the IO from treasury strip has positive duration as a regular bond? Thanks.

Hi David, Could yuo take a look of this one? Does it mean SD(X)=SD(log(X)) if X is lognormal? Thanks. EXAMPLE 11.1: FRM EXAM 1997–QUESTION 14 What is the implied correlation between JPY/EUR and EUR/USD when given the following volatilities for foreign exchange rates? JPY/USD at 8%...

Hi David, I got some questions after viewing the screencast: 1. How to handle "lack alpha forecast for stocks in benchmark"? 2 "The size of the no-trade region depends on the transactions costs, the risk aversion, and the expected return and risk of stocks and bonds." But I think the...

Thank you David. BTW, it seems FAS 133 is not required either, right?

Hi David, I have found a similar question here. could you clarify? http://forum.bionicturtle.com/viewthread/1414/ BTW, it also seems to have nothing to do with Op VaR, since OpVaR is not part of Basel II, right? Thanks.

Hi David, The handbook has one whole chapter (ch24) talking about credit exposure and its calculations, with many questions from previous exams. But I do not really see any 2009 AIMs specific for it (or do I miss anything?) Could you clarify the requirements here? Thanks.