Recent content by Priyanka_Chandak23

Thanks, however you mean to say that with negative correlation the contract 2 would go down by 5,right ? Also, starting with Initial +ve MtM will be more beneficial , could you explain that part too?

Why will the netting benefit be the greatest when a party enters into a trade with positive initial MtM and negative correlation? Can someone please explain the link between the two? Thanks a lot in advance.

Thank you so much, David. Although, I am still not being able to comprehend their strategy but I shall refer to the resource link shared by you. Thanks for your time.

I am sorry, I couldnot track it earlier. Thanks a lot, David. Makes it clear now.

Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value: a. Zero coupon bonds, par bonds, premium bonds b. premium bonds, par bonds, zero...

Thanks a lot, David.

Thanks a lot, David. Appreciate your effort. In your opinion,is this one of the tricky questions of GARP or is it the regular standard based?

Hello, my doubt is with regard to MG's much widely discussed hedging strategy failure. Although I am aware of their hedging strategy but I would like to ask the meaning of a particular explanation I came across,' MGRM offered the customers contracts to buy fixed amounts of heating oil and...

In 2006, UBS reported no exceedences on its daily 99% VaR. In 2007, UBS reported 29 exceedances. To test whether the VaR was biased, you consider using a binomial test. Assuming no serial correlation, 250 trading days, and an accurate VaR measure, you calculate the probability of observing n...

Thanks a lot, Shakti. This is very helpful. Thank you for your time. Thanks, David. However, I am unable to view the same due to lack of appropriate permission.

Thanks a lot, your explanation makes it very clear. However, when faced with such questions in the exam we'd need quick thinking and I hope you could shed some light on the second part of my question . I understood the first one given by you.

Thank you so much David. This is very helpful.

Could someone please provide me with the formula of covariance calculation for GARCH and EWMA model when estimating the changed correlation? There are two assets A and B with change in their prices and previous day's volatities and correlation. I have calculated the changed volatities but...

Thanks a lot, Nicole.

Thanks David and Dr.Jayanthi . I think the main reason for my confusion was the flaw in the question with respect to the no parity of the discount factors across the bonds. But I think its solved now.