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1,1,1,1,4 many thanks @David Harper CFA FRM and @Nicole Seaman

I cannot remember what answer I chose however the fact that they mentioned a 'one tailed' back test was incorrect am I wrong? shouldn't back testing be two tailed !

Does anyone else remember a question which mentioned back testing with a one tailed test?

@David Harper CFA FRM what is your opinion on the answer to this question please?

Hi David, Somewhere along the forum I had read that you would be providing us with more notes (or PQs.. I can't remember) of VaR mapping since it featured quite a bit in the 2017 May Exam. Have these been uploaded? and if so where could I find them? thanks a lot!

Hi David In the notes of Jorion, Chapter 7 - Portfolio Risk: Analytical Methods we are given a table with the risk and return - optimising positions where we are given the Final position weight w(i). Are we expected to be able to calculate this in the exam? and if so, how is it calculated...

Hi David, I have a problem with the following explanation of mean reversion (extracted from Part 2 Meissner, Chapter 2 : Empirical properties of correlation : how do correlations behave in the real world) If S(t-1) increases by a very small amount, (St-St-1) will decrease by a certain amount...

Hi David, In our notes (Correlation Risk Modeling and Management), we are told that another way of buying correlation is to buy call options on an index and sell call options on individual stocks of the index. I haven't quite understood this concept - i.e why it should result in a positive...

Hi David, Page 5 of Chapter 14: Portfolio Construction (Grinold) states the following Consider for instance, an Information Coefficient (IC) of 0.05 and a typical residual risk (volatility) of 30 percent would lead to an alpha scale of 1.5 percent (0.05 x 0.3 = 1.5%). In this case, the mean...

Thanks David! Would I be correct to assume that a question on the number of defaults would not be asked during the exam since we need computer software? Or could we be asked to compute it by trial and error?

Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine

Thank you David

Hi David, Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk) On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...

Hi David, Could you kindly explain 309.3 (d) in more detail please?

Well done!! (We met during the exam in Wembley, if you remember me) I passed too :D

Thanks for your reply @Siqueue . That's not good! As I too use a lot of paper for workings. I do hope that we will be given some kind of eraser at least!

Hi, I would like to take a spare calculator battery to the exam but the only problem is that screw drivers are not allowed in the exam room. Can anyone suggest how I could change the battery of the TA BA II plus professional using an item that is not prohibited? The problem is to remove the...

Hi David, P1.T1.Reading 5 page 5 states that the AAA rated tranche in the ABS CDO will be expected to default if losses greater than 10 million are experienced on the mortgage portfolio backing the original ABS. With my reasoning this should be equal to 5 million. Could you kindly let me know...

00356 79527463. Thanks!

Thank you for all your useful feedback :) I have decided on the TI BA II + Could someone kindly confirm that both calculators in the link below will be approved for the FRM Exam...