I don't know either, and I appreciate everyone's contributions to the thread, but after some reflection I tend to agree with timchimpski. He/she seems to have done a more thorough job of reading the base materials than I came close to, and knowing how GARP expects us to be on top of recent...
Wojtek,
Greetings. I share your impressions of FRM Part II. I've been a CPA for years, I did well on FRM Part I last Nov, and I was successful on CFA Level II this Jun. So, I've had some practice in taking these sorts of tests. I suffered in my preparation for FRM II. So much of the...
Yeah, i considered that and you may well both be right. I didn't go that route because I recalled reading that the higher rated C/P usually charges the lower rated party. Also, as matter of practice, dealer/banks typically charge and there is not much of a precedent for an end user to charge...
Very helpful...thx everyone. Another q I recall - two counterparties to an OTC swap have a CVA agreement. Both C/Ps have their ratings downgraded. We were asked to pick which C/P would be able to charge more/pay more following the downgrades. I think the bank/dealer rather than the end user...
Greetings to one and all. Just getting started w/ Part II prep, so please excuse the elementary nature of my question. :)
Can someone kindly explain the calculations of the "Perturbed Spot" rates and "Discount Factor" in the table at bottom of page 144 in Tuckman's assigned reading?
Many...
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