Search results

Has anyone received the certificate? Seems like the deliveries are quite late

Hi, I haven't seen any recent posts discussing pursuing CQF after the FRM, hence this new thread. Has anyone tried the CQF after completing the FRM? What would be your feedback on your experience? For those who haven't tried it, would you consider it or what would be your opinion about doing...

Just a general thought, not sure who will agree: BT questions are easier than the questions on the actual exams, because they are better formulated and are more closely aligned with the FRM study material. Though I passed, the exam questions felt a bit random, not necessarily very consistent...

Cleared as well! Thanks to the BT community and David and Nicole for the amazing work!

The exam was mostly qualitative (75-80%). The questions, apart from ~6 questions, were quite different from the practice exams, especially in how they were presented and phrased - they were also more complex (I don't think I will score anywhere near my mock exams scores). In no specific order...

I am not aware of any empirical research. Happy to follow that one!

From what I know, the formula is actually a decomposition of the Information Ratio (IR is itself linked to active returns, which is loosely speaking the returns from the active manager), decomposition which is optimized under several constraints to give the IR = IC *sqrt (breadth). The full...

Hi, If anybody can shed any light on this thought I was having: I can see how Diversified VaR can be equal to the Undiversified VaR if the underlying positions are perfectly correlated (- no diversification benefit). I was then wondering if Diversified VaR could become higher than the...

As always, a much more accurate and detailed answer from @David Harper CFA FRM !

Hello, My understanding when studying this part was the following: Expected Loss (EL) is predictable, but doesn't capture the part of risk arising from uncertainty. Unexpected Loss (UL) tries to address that and can be defined as the volatility of the Expected Loss (hence why you need EL to get...

If you wrote the put, you might need to inverse the sign of the delta in the right box (short put = long delta). It seems that it is just the delta of the option, you then need to take into account whether you are short or long. You can see in the bullet point that the delta doesn't have a...

Hello, Anybody know id the chapter Malz, Chapter 12: Liquidity and Leverage have study notes? Seems there are only the videos, question set and a learning spreadsheet. Thanks!

Hello, Little typo in Study Notes: Schroeck, Chapter 5: Capital Structure in Banks Define and calculate unexpected loss (UL). Page 7 the sigma^2 should be variance of LR/PD (not standard deviation)

Hello, Regarding Jorion's Chapter 11 on VaR Mapping, I was wondering where the use of the word 'vector' came from? Page 21 of the study notes, at the bottom of the page: Are vectors used to represent the PnL of instruments weighted by their mapped Risk Factor? (such as length of the vector...

Passed with 1,1,1,1 66% ! Thanks to BT mostly I agree that BT might be an overkill if the goal is just to pass the exam, however it does make one a better risk professional. It forces to understand the material. Does anyone know what are the 2022 sessions? May or is there earlier? (but after...

In limited time, I would just have thought: what is the chance that this call expires in the money? I would have taken moves ups and down and assumed 50% chance for each. I also correct my previous answer, I think the ATM shouldn't be included in this case (ATM our payoff is 0). -10% chance...

Would this simplified way of thinking work? let's take a long call N(d1) * e-qt = Delta computing the different values of delta at expiry, assuming only moves up (with moves down all the deltas would be 0) Move up 5%/stays the same: delta = 0 Up 10%: S=K: delta = 0.5 Move up 20%: ITM call...

Hello, In the CAPM/MPT chapter, I was trying to get an intuitive understanding of how Beta is computed, without using maths (just like CAPM can be expressed as price of time + price of risk * Quantity of risk). Covariance upon variance can be understood, but I was wondering what an intuitive...