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Hi, David, I get it with Z spread = 80 bps, does it mean the option cost is equal to 30? That is : Company spot rate = Treasury spot rate + Z spread or Company spot rate = Treasury spot rate + (credit spread + liquidity spread + option cost) Company spot rate = Treasury spot rate + (OAS spread...

Hi, Mr. Harper, the following question is about OAS and I am confused with the OAS from the question provided. I know the company spot rate = Treasury spot rate + OAS, however, the question provides that the OAS is -30 below company spot rate and +50 above the Treasury spot rate, is there any...

Hello, Mr. Harper, the link is very very useful, thx a lot. I conclude the following, can you help me to check whether my concept is right? 1. Component VaR is linear approximation of Incremental VaR; 2. If there is 3 assets and the question DOES NOT PROVIDE the portfolio VaR after deducting...

Hello, Deepak Chitnis, I understand what the question asks, by logic , it is easy to choose the correct answer, but refer to component VaR definition, it seems that there is a contradiction because reduction in portfolio VaR is the same as the definition of component VaR - "the amount a...

Hi, Mr. Harper, for this question, I choose the correct answer A. But I still have a question on component VaR. By definition on the notes, "Component VaR for position i, denoted CVaRi, is the amount a portfolio VaR would change from deleting that position in a portfolio." In this...

Hi, Mr. Harper , the question i find is in internet and they say this is past question of FRM~

Hi, David, I cannot find the answer D referred to book 4 of notes although i select the correct answer. Can you help me?^^

Mr. Harper, i get the point that the increase in price is simply caused by a change of pricing model and its a technical issue rather than change of position of CDS. Is that right? Moreover, I have a question on HQLA, should account receivables; gold & inventory be classified as high quality...

Hi, Mr. Harper, In another words, the position changed from bid price to mid point price is similar to the increase in the number of CDS issued by the protection seller in this case, so protection seller is required to post additional collateral~it that right?

Hello, Mr. Harper, thanks for your help. The question asks that the trader of bank is forced to change the pricing from bid price to mid point price in order to generate more income. But from my points of view, changing pricing from bid price to mid point price does not mean that the credit...

Hi, all , I see there is a question in 2014 which is about the pricing of CDS. The question asks that the pricing of CDS changed from bid price to bid-ask mid point price and how s the consequences. The answer is the CDS issuer is required to post more collateral related to CDS. Does...