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Are there any bt study notes( with 2010 AIM statements) on Valuation and Risk Models.

Hi David, This question is from GARP Practice Exam 2, 2006 (Question 61) How do they find the Duration input of the 6% coupon bond?, in the following question: What is the best estimate of the market value of a portfolio of USD 100 Million invested in recently issued...

Hi David, What is the significance of Options being deep in the money or at the money? For both Call and Put. Because I have done a number of option questions from 2006-2007 practice exams and I have noticed that GARP likes to through this concept into the mix a lot. It...

Hi David, When Pricing an American Option on a Future we use: P= 1-d/u-d If "investing in a future is riskless hence the 1/ there is no cost of carry"How do we calculate U? Is U still equal to = e^r{sqrt(delta-T)} Thanks! David.

Hi David, Do we have to memorize the Usage Given Default rates? Rating UGD AAA 69% AA 73% A 71% BBB 65% BB 52% B 48% CCC 44%...

lol, hahaha, Figured it out,SORRY guess I was just tired earlier!!!!!

Oh and thanks for the initial answer that really has helped me!

D=F*EXP(-(r+s)*T) divide both sides by F: D/F=EXP(-(r+s)*T) take the log of both sides: LN(D/F)=(-(r+s)*T) divide both sides by T: LN(D/F)/T= -(r+s) NOT TOO SURE ABOUT THAT NEGATIVE BEOFORE (r +s) Subtract r from both sides r: {LN(D/F)/T}-r=s is that correct?

How do you solve for risk free rate/or other variables in the superscript? i.e. F=Se^(rf)T F=Se^(rf-c)T What is rf? What is c=convineince yield? How do you algebraically solve for anything that is in power form? I think I saw this question in the practice exam...

Hi David, On one of the forums someone named Amit had asked what VAR areas were important for level 1 candidates he had made a long list of all the various types of VAR. decimal VAR delta normal VAR portfolio VAR Component VAR Marginal VAR Incremental VAR Liquidity VAR...

Hi David, these are the Formula’s in FRM Handbook 2009(pg11): %change in Price= -D(dy)+0.5xC(dy)^2 $change in Price=-DD(dy) +1/2xDC(dy)^2 *where DD = Dollar Duration= D*x Initial Price *where DC= Dollar Convexity=C x Initial Price Duration & Convexity estimate of New Price=...

Hi David, Could you please explain what the testable concepts are on negative duration as they relate to callable bond issues? I apologise for such an open/vague question but I can't seem to find a clear question on that....I know there are some key issues we need to know...

Is RAROC relevant to Level 1 candidates?

David, How do you calculate portfolio VAR for a two asset portfolio if the assets are partially correlated but are not perfectly correlated? On the investment risk questions from 2008-online multiple choice questions it asks this question: QUESTION: Assume a...