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Hi David, If there will be a question like... compute the duration... which one we should compute? I mean the modified or the macaulay... Thanks, FS

John Simpson, FRM, is debating whether or not the capital asset pricing model (CAPM) is an appropriate technique for estimating the equity required rate of return for a publicly traded company. The CAPM in practice is subject to which of the following limiting assumptions? a. Only large stock...

Hi David, There is a question in the GARP exam, asking if we are short or long FRA (question 18, 2012 practice exam). What does it mean being long or short FRA? One of the two sides is paying fixed - floating (or floating - fixed). Thanks as usual for your support, FS

Hi David, In the example 170.3, you use PMT = 20 even if the coupon is computed with a basis ACT/ACT so I think that the coupon payment should not be always 20. Is this an approximation or am I missing something? Thanks, FS

Hi David, What is the formula to compute the "true yield" of a treasury bill? I'm not able to understand the formula of the exercise 169.4. Thanks, FS

Hi David, In the question 153.4, I see following formula to compute R^2: R^2 = h*^2 * var(F)/var(S) Where does this formula mean? Thanks, Fabiano

Hi David, I see that in your questions (e.g. 151.1, 151.2) it is required to know the size of futures contracts (e.g. crude oil, copper...). Should I remember all these values? Thanks, Fabiano

Hi David, In the FRM handbook there is the following question: "Assume that a random variable follows a normal distribution with a mean of 80 and standard deviation of 24. What is the probability that this random variable is not between 32 and 116?" I think that it is required the z-table in...

Hi David, In your "Estimating Volatilites and Correlations" practice questions, there is following question: "If w is a column vector of portfolio weights, w(T) is the transposed row vector of the same weights and Z is a covariance matrix, which of the following is LEAST likely to suggest a...

Hi David, I found this question in your practice on Estimating Volatilities and Correlations (Hull): "Assume an exponentially weighted moving average (EWMA) model with a lambda parameter of 0.94 (as per RiskMetrics). Yesterday’s DAILY volatility was 1.90%. The price of the stock closed at...

Hi David, Why Monte Carlo simulation is considered a non-parametric approach to VaR calculation (T2 page 114)? I thought that the distribution assumption is needed for Monte Carlo simulation (in Jorion, it should be needed for the simulation of price path). Thanks, FS

Hi David, On page 110 of T2, there is an example where the volatility (per year) is 12.4% and the time horizon h is 10 days. How can I compute the standard deviation iid for h days (in the example it is 2.48%)? Thanks, FS

Hi David, I'm not able to understand the solution of the archived question that you can find here: http://forum.bionicturtle.com/threads/l1-1-6-factor-models-and-arbitrage-pricing-theory-foundations.4104/ First, I do not understand why R(A) and R(B) are defined as you have written...

I have just subscribed for L1 (Tier 3). I would ask if you have the exact dates in which different items will be published in the website (for instance Study Note on Foundations of Risk Management will be released on February 10). It would be very useful for planning our activities. Thanks...

Dear, I'm new FRM student and I would like to subscribe for the FRM Part I (Tier 3) I see that I could fall into one of the categories for the discount code of Part I product (international purchase). However when I submit the request I receive the following message: "We were unable to process...