Recent content by notjusttp

Hi David, Can you kindly respond on this query. This concept is quite a testable one and i am still grappling with the answer. Rgds Amit

Hi David, I have a practical difficulty while calculating Unexpected Loss of Portfolio as suggested by you in BT Presentation 6.f and Excel 6.f.4 When i take square of UL of Exposure 1 ($ 178,511) in an excel sheet i get the answer as 31,866,177,121 while in texas calculator i get it as...

David, Thanks a lot for all your assistance. I cleared FRM Level 1 in first attempt and I am in the First quartile in all the 4 subjects. Without you and your assistance this would not have been possible...Cheers..Amit

Hi David, Thanks for the brilliant explanation in layman's terms..Now the concept is crystal clear to me. I missed the point that Spot was also moving and the contango or backwardation is not a static concept but it is a dynamic situation which keeps on happening on a month on month basis...

Hi David, I went thru this case and also your and Jacks discussion on the same but i could not get 1 simple concept clear. can you pls help me with a simple example 1) MG had Long position in short term futures. 2) Markets went into Contango. 3) Now if MG is in a long position he is...

Hi David, thanks for the prompt reply..even i was not arriving at the ans due to the same confusiion..Cheers.Amit

Hi David, i seemed 2 b 2 stressed out and am not able to reach to solution to this simple problem. Can you pls help Bank has a cash position of 1M Euro. The Euro exchange rate is 0.95 USD/EUR. The one-day Euro exchange rate is normally distributed with mean 0.95 and standard deviation...

Hi David, you are just 2 good...Fast and furious..Thks for this..and yaa i m happy its not in FRm..cheers..amit

David, I carry the same confusion as in your excel sheet 4.a.1 you have specifically mentioned the undermentioned words in your comments to scaling factor. " don't worry about this formula, the point is that autocorrelation increases the VaR " Pls clarify Thanks & Best Rgds Amit

Hi David, How do we calculate the undermentioned in Scientific calculator ?( More specificaly BAII PLUS) What is the Net Present Value of a yearly payment starting at 100 and increasing 2% yearly for 15 years, when the discount rate is 4%? Round to the nearest tenth. Ans is 1260...

Thanks david for the prompt reply..I tend to agree with you once i saw your detailed explanation..Amit

Hi David, I have some confusion in the way this question has been answered. It states that "Expected decline in supply should increase further term commodity price" Though i can see that the reason is due to the escalated storage cost taking cost of carry higher and hence in Contango, i...

Hi David, thanks a lot for the detailed explanation...cheers..Amit

10. Suppose X follows an AR(1) model: X(t) = 0.1 + 0.8*X(t-1) + e(t), where, E(e(t)) = 0. What is the long term mean of X? B is correct. For a AR(1) model of the form: X(t) = alpha + beta X(t-1) + e(t), where E[e(t)] = 0, the long term mean of X is alpha / (1-beta). For this problem, the...

Hi David, Thanks for the clarification, I did not have any explanation. The source had only given answer directly. So sorry i dont have anything additional which i can share. Thanks and warm rgds..Amit