Recent content by David Harper CFA FRM

Hi @xZhan3765 Welcome! I don't think you are alone, this is a question that bugs me because I think it's possible that it might possibly be a harder puzzle to those who are better prepared. The problem, to me, is the first sentence "A financial firm has sold default protection on the most senior...

HI @enjofaes Glad you found that! FYI, I moved it to here https://dh-data.org/ because I found a much easier way to host it (per https://dh-data.org/posts/2022-01-11-new-distill-site-in-15-minutes/). Thanks!

HI @LeonardoFRMPart1 Agreed, when I last looked, I believed they did get the variance correct for AR(1) but incorrect for AR(p), see https://forum.bionicturtle.com/threads/p1-t2-20-22-stationary-time-series-autoregressive-ar-and-moving-average-ma-processes.23527/post-91654

Hi @enjofaes My apologies for such a delay, especially given that I shared your post internally (!) because I get really enthusiastic about the application of data science to our field. I have a data science blog here at https://dh-data.org/ So, yes, we are discussing exactly how to do what you...

Hi Brian (@BCott8744 ) Yes, I agree, it's a mistake. In our study notes, when I replicated the 2020 version of the default probability tables, I noticed a couple of similar errors, but the updated version appears to contain more mistakes. I agree with you about the mistaken 2.45%, but it's also...

HI @PAnto2185 This post is < 13 years old. those spreadsheets are now distributed into their respective chapters in the SP. If you see an old one that you really want, I have a full dropbox (database) of all history, and I can get it for you ... but over the weekend or something, thanks! David

Thank you truly Camille (@bollengc ). @Randy Moon I think that thread explains exactly the reconciliation you seek ....

Learning objectives: Identify and describe Type I and Type II errors in the context of a backtesting process. Explain the need to consider conditional coverage in the backtesting framework. Describe the Basel rules for backtesting. Questions: 22.8.1. Bertha is analyzing the application of the...

HI @aarora89 No excel on the FRM. Sorry. Not yet, anyway. There should be, right? It would be 10x more realistic!

Learning objectives: Explain how dividends and stock splits can impact the terms of a stock option. Describe the application of commissions, margin requirements, and exercise procedures to exchange-traded options and explain the trading characteristics of these options. Define and describe...

I agree with you @Torsleno and that's helpful! @carloscm Here is the page 4 snippet (new emphasis mine): And I think maybe this is the other reference: The sentence of ours, "economic capital is a fully loaded measure of risk that includes both expected loss (EL) and unexpected loss (UL)"...

Hi Sahil (@Sahil1999 ) Glad it helped! I think you are close but I would rephrase as follows: "because we are measuring the dispersion of a sample mean (i.e., a sample of 40 funds), we look at the standard error which is a standard deviation but rather than for a single fund, it's a standard...

Hi @Sahil1999 Because it's asking about a sample mean, so central limit theorem (CLT) applies. Each fund has μ = 8.0% with σ =10.0%. For a single fund, the Pr(R > 10%) = 1 - Pr[R < (10% - 8.0%)/10%)] = 1 - Pr (Z ≤ 0.20) = 1 - 57.93% = 42.07%. But if we ask about the mean of a sample of 40 such...

HI @littleberries Per Jorion 7.5.2. (and in particular formula 7.38 and its surrounding discussion), we can identify the optimal portfolio (aka, portfolio with the highest Sharpe ratio) by finding the mix (aka, allocation between components, in this case the allocation between Energy and...

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