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Dear David, Just glanced through the FRM 2009 Study Guidelines. The good thing is that major basic and fundamental readings have been added in FRM 2009 curriculum (basics on VaR etc). In Quant they have added 2 readings on continuous distributions & discrete distributions. Considering one or...

Hi David, I had a small doubt.I have about 22 months of experience as Financial Analyst along with 2 years of Accounting experience in a Professional Accounting firm. Of the 22 months.I have 9 months experience as an equity research analyst and 13 months experience as Credit Analyst in a...

Dear David, I would like to say that I have passed FRM 2008 exams. The detailed analysis page will open shortly.I would like to thank you for your splendid support and help.Your forum is one of its kind as anyone can have access to everyone's doubts. I would like to thank you for your...

Hi David, I have to say that FRM 2008 exam was one tough exam.But the experience was unparalleled.What surprises me the most is most of the the new readings in 2008 FRM's were not tested. Some questions outside AIMS were tested. As most of them have said, the questions were very lengthy...

Hi David, In Stulz reading of Credit Risks and Derivatives . He mentions there is ambiguity in subordinate debt value as firm value increases. Could you please explain what exactly happens when firm value is in distress to senior debt,subordinated debt and equity and similarly when firm value...

Hi David, Is there any difference between backwardation and normal backwardation.Is there difference between contango and normal contango. Regards, Sunil

Hi David, In Regulations chapter of De Servigny, it is mentioned under IRB approaches Probability of default(PD) is concave in shape i.e concave PD function.What does it mean?The LGD increases linearly with capital requirement(k).Does this apply in both IRB foundation and IRB advanced...

Hi David, I went through through your excel sheet.The formulae in excel sheet is different from that given in Culp's chapter. The formulae given in Culp's chapter is different. In the second case LVaR=V{(Mean-(confidence level*std dev)+{0.5[(mean of spread)+(confidence level#*std dev of...

Hi David, In Culp's chapter (Identifying,Measuring &Monitoring;liquidity risk page 427). LVaR=V(Mean-(confidence level*std dev)+0.5Spread) LVaR(confidence level,confidence level#)=V{(Mean-(confidence level*std dev)+{0.5[(mean of spread)+(confidence level#*std dev of spread)]}. In the...

Hi David, I have a small doubt. Holding yield constant , the bond with lower coupon would have higher duration and greater convexity. But I read somewhere that by keeping both yield and duration constant, the bond with lower coupon has lower convexity.Convexity is a measure of dispersion of...

Hi David, Holding yield constant , the bond with lower coupon would have higher duration and greater convexity. But I read somewhere that by keeping both yield and duration constant, the bond with lower coupon has lower convexity.Convexity is a measure of dispersion of cash flows.Could you...

Hi David, You have mentioned more importantly, UGD is something of a random (stochastic) variable ("hard to parameterize") despite best efforts. I think it should be UGM as per Ong. What does he exactly mean when he says that tha UGD is a indeterministic variable and not stochastic in nature...

Hi David, Chapter 5 (Page 113) of Ong the formulae for UL=AE*(EDF*Std(LGD)^2+LGD*Std(EDF)^2)^0.5 but in page 115 UL=AE*(EDF*Std(LGD)^2+(LGD)^2*Std(EDF)^2)^0.5. On page 100 Chapter 4 of Ong it is mentioned UGD follows some indeterministic process, but it is difficult to treat the UGD as a...

Hi David, Could you please put up the link for 2007 AIMS in this forum. Regards, Sunil

Hi David, Under Basel-II readings mainly mentioned are: 1) Arnaud de Servigny and Olivier Renault, Measuring and Managing Credit Risk, (New York: McGraw Hill, 2004) Chapter 10 – Regulation Candidates, after completing this reading on legal issues, should be able to • Identify the primary...

Hi David, I have a small doubt about correlation in Nth default swap.In chapter 22 of Jorion (page 504) he mentions that type of protection depends upon correlation between credit events(is he referring credit events to default).Lower the correlation more expensive the swap(higher cost of...

Hi David, In Stulz it is mentioned that as time to maturity increases the credit spread for a debt with higher credit rating would widen and for a debt with lower rating the credit spread would be narrow. I thought it was the other way round. How does credit spread narrow as interest rates...

thanks David for your reply Regards, Sunil

Hi David, In FRM Handbook Ch-13, Phillipe Jorion has mentioned that bonds always have positive convexity.In options the convexity(Gamma) can be both positive and negative. Long position in an option has positive Gamma, while short position in an option has negative gamma. I wanted to know...

Hi David, This means that prob of default as per Merton & KMV are both N(-d2) , is it. But in KMV you arrive at some default threshold(DP) and then at DTD. So then DTD is same as N(-d2).Under Servigny Ch-3 DTD is arrived by some equation. It is not very clear. Does Merton & KMV models apply...