Recent content by nitin3000

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    Liquidity Adjusted VAR

    A trader observes a quote for stock DUY, and the midpoint of its current best bid and best ask prices is CAD 45. DUY has an estimated daily return volatility of 0.38% and average bid-ask spread of CAD 0.14. Using the constant spread approach on a 20,000 share position and assuming the returns of...
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    Expected Loss and Loss Given Default

    An analyst is reviewing a bond for investment purposes. The bond is expected to have a default probability of 3%, with an expected loss of 75 basis points in the event of default. if the current risk free rate is 2%, what is the minimum coupon spread needed on the bond for its expected return...
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    lognormal VAR

    I had the same doubt as frmqiu above. It looks like the 2016 answer sheet is using a wrong formula for Log normal VAR
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