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Hi David, I did also pass the exam and to be honest I was so afraid to open the mail! I worked hard for it with your help as well. To listen to your videos was not always such a pleasure but it helped me a lot in the Dutch traffic jams! Bionic turtle is so useful to learn risk...

HI David, Fine that you see our feedback remarks as useful. The early birds were indeed useful (I discovered an answer of one of the questions Riskmetrics and Garch(1,1) difference for example but I watched it to long ago on the exam). The problem with the questions and the spreadsheets and...

Some other things I do remember: * Regarding the Fed question mentioned above one possible answer was also system risk. I taught system risk was the risk of total failure effects of banking system as a whole. * Indeed no F or Chi test restricting constraints questions on multi...

LDA was indirectly tested in some sub questions (severity and frequency questions) John

What was in the exam and what was not. * The Qualifying SPE was in!!! * Transation matrices were in The one were you must calculate the PD when jumping from state to state. * A lot of credit model questions. Not about risktracker. * A lot of VAR (especially scaling from 99%...

38. Company EFG is a large derivative market-maker that has many contracts with counterparty JKL, some transacted in the same legal jurisdiction and others across different legal jurisdictions. As a result, EFG has some contracts with JKL covered under legally enforceable netting agreement...

Indeed Tuckman page 129, thx for help!

DV01 is price value of a basis point given by formula - delta P / (10000 * delta y). A zeo coupon with have the highest duration. We can express it also like (Duration Macaulay * Price ) / 10000. So price can be offset by duration. Maybe zero is cheaper than par bond but this doesn't mean D *...

Hi, I was looking at: 15. Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 Face Value. Their DV01 per USD 100 Face Value will be in the following sequence of Highest Value to Lowest Value: a. Zero Coupon Bonds, Par Bonds, Premium...

It is 2004 FRM question, RAPM method and maybe you are right since there is no holding period in the question it can be that the EL is 0. If you have VAR with a confidence level you must have a mean loss too isn't it. Since it is based on a distribution. John

Inv A and B have: A 5 Million return both trades have 100000 face amount volatility 14 B 6 Million retun volatility 16 Based on 99% confidence level RAROC who is better? Again here return / var in stead of Economic capital in denominator was this switched because of readings? If we...

The answer I got is: VaR = V*0.5 (mu-1.96sigma), I think it must be + 1.96 to get 344000 since the answer was 444000 for total VAR. so based on the 1.96 I deduct a two tailed spread around the mean spread (in stead of 1.65).

Indeed two tailed spread test I mean. Thanks for your help.

Asset worth 1 million whose 95th VaR is 100.000. (normal assumption) bid ask spread on the asset has a mean of USD 0.1 and a standard deviation of USD 0.3. What is the 95th percentile LVAR (VaR and liq risk are uncorrelated). What is the liq var. 444000 is answere but I think it must be...

Returns are nomally distributed. Bond Trader with an After-tax profit of 8, Net book Market Value of 120, Weekly volatility 1.1%, Tax Rate. What is RAROC for the bond trader. In the answer they divide 8 by VAR. In the question there was no confidence interval but it must be 99 (z 2.33)...

Hi, If the return distribution differs because of skewness than the Expected loss (a) will also shift based on quant. John

The sentence is correctly typed the last 1000 million was a typo and must be 100 million. Source is exam 2003 FRM In the answer I can read The duration of the newly issued 6% bond is 7.802 assuming the price of the bond is par. Given a duratinon of 7.802 the change of the bond equals 7.802...

Can you explain the duration used with the non zero coupon bond? What is the best estimate of the market value of a portfolio of USD 100 million invested in recently issued 6% 10 year bonds and USD 1000 million of long 10 year zero coupon bond if interest rates decline by 0.5 %. Ansere is...

Why is a p-value of 0.04 means we can reject H0 at 6%. p-value is prob of obtaining a critical value that would lead to a rejection of H0. But why 6%?

I checked this morning but I could find it (CET) and now it is available, accessible and already downloaded it.