Search results

hi, FRM forum is really good, I just wonder do u guys have any CFA forum or books or notes I can reference? thx

Yeah, I passed, i am happy, this forum is good, cost me nothing but passed

this is BaselIII, T2 decrease..... T3 canceled, I really sure at this point

no, this is not my memory, I did not choose this one,

so how could you explain Tier1 6% but Tier2 2% ?

n*p = 252*0.02 (since it is 98%VaR) and the variance is sqrt(n*p*(1-p)) = sqrt(252*0.02*0.98) for this one, I think you are right..... dam I did not think this deep, how suck these questions are......

These stuff wrote by @RiskNoob really amazing memory Market Risk -Implied volatility: Given the skewed (equity) curve, which option is undervalued? -Implied volatility: Similar to above, describe fatness of the right and left tails. -Exotic option: which option has the large negative...

Oh, buddy you really remember a lot! I think for Weakness of ES: the only difference between spectul and ES is diff weighting, so which mean spec take into account people's risk aversion VaR Backtest: what is the max. number of exceeds of 1day 98%VaR model suit for 1yr 95% VaR 252days, my...

the answer is Core Equity 4.5%, I think CCB is just buffer, but Tier1's core common equity is alwasy 4.5% Tier 2 capital decrease from 4% to 2% to 2% Total 8% 8% 10.5% Tier1 4% 6% 8.5% core 2% 4.5% 7% when T1>=T2 at 8% level T1=4% T2=4% but now T1=6% so T2=2% (decrease) this just my guess...

Currency is abs right, I clearly remember currency swap pic, but it said cross currency swap so I am not sure, for IRS the picture is really wired,

I clearly remember 2 of pic is wrong, only IRS(seems correct) and Currency was correct, so I read question again, said largest exposure right(no sure)? but I think IRS pic is not correct should be like Reverse curve so I choose currency

no, I don't like this exam, there is generally no too much calculate questions (I really like calculate question I hate reading), I spend a lot of time on calculating stuff, but like Merton model, CLN, CDS spread, Key rate, etc. didn't even mention

yeah 2bps I choose first time, then I change to 7bps b/c i think GARP want to screw me up, so I change to bps, hope we both right

I choose cross currency, I think for currency, the exposure is largest at the end of day, B/C they will switch total value

for CVA I just want to say hell, who knows which is 250 which is 200, it just said Trader's CDS 200 who knows is short or long spread

oh,,,,, really tired, i just want to say fk up...... a lot of stuff they didn't cover,,,, the exam didn't have too much about calculate, but a lot of reading and operational, current issue, etc. there is no Merton model, no CLN, no Key rate. generally, the question was not really hard, but they...

how's the overview of this test, hard or not too hard? all stuff based on notes?

why the protection buyer = CLN issuer ? are they same entity? I thought CLN issuer was protection seller sell CDS to protection buyer, then give protection buyers' CDS premium to CLN investor + riskless coupon = enchanced coupon, is this right? or I have to understand another way, that CLN...

b a c

my confusion is that where is the 1/1-confidence ? suppose 1/5% * (x*f(x) + .....)