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EduPristine>Blog>FRM Success: Xcel Series Day 3

FRM Success: Xcel Series Day 3

November 15, 2012

Dear FRM Candidate,

Just a few days to to go! Hope you are making the best out of your study time by revising and solving plenty of practice questions.

Last week, we took a look at several trading strategies. I hope it helped cement your concepts. This time, we will look at more excel sheets on Financial Markets and Products and Valuation and Risk Models.

Financial Markets and Products:

1. Cheapest to Deliver – You can learn how to identify the cheapest to deliver in a T.Bond contract

2. Duration Hedging – Understand how to calculate the number of T.Bond contracts needed to hedge a bond portfolio.

3. Forex Futures Arbitrage – Discover arbitrage situations when interest rate parity does not hold.

4. Interest Rate Swap – Check out the mechanics of a plain vanilla interest rate swap

Valuation and Risk Models:

1. Option Pricing – Find the value of an option by both Black Scholes and Monte Carlo Simulation

2. VaR – Find the Historical VaR, Parametric VaR, EWMA Volatility, Margin Requirement based on VaR, and forecast the stock price using Geometric Brownian Motion.

I hope these models help you attain a deeper understanding of these topics.

Wishing you luck for your exams!

Team Pristine

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EduPristine is a member of Adtalem Global Education (NYSE: ATGE), a global education provider headquartered in the United States. Adtalem is a 3 billion dollars (20,000 crores) company that has about 9 institutions and companies with more than 16,000 employees spread across 145 locations. Adtalem takes pride in training 142,000 degree-seeking students all over the world.The organization's purpose is to empower students to achieve their goals, find success and make inspiring contributions to our global community. EduPristine is one of India's leading training providers in Analytics, Accounting, Finance, Healthcare, and Marketing. Founded in 2008, EduPristine has a strong online platform and network of classrooms across India and caters to self-paced learning and online learning, in addition to classroom learning

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