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    Short Equity T + long Mezzannine T (correlation impact?)

    Hi David, As per the article in economists if there was a short squeeze for non investment grade/equity tranches shouldn't the price of these instruments/bonds increase thus decreasing the spread? This is exactly opposite to the fact that as correlation decreases the spread of equity tranches...
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    Backtesting Exceptions

    Thanks a lot. Yes it really helped.
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    Backtesting Exceptions

    Hi David, To convert a z of 0.69 when number of VaR exceptions is 15, why is the formula in excel like NORM.S.DIST(0.69,TRUE)*2-1. Could you please let me know the significance of multiplying by 2 and subtracting by 1?
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    P1.T2.699. Linear and nonlinear trends (Diebold)

    Hi David, Regarding the question: 699.2. You work for the International Monetary Fund in Washington DC, monitoring Singapore’s real consumption expenditures. Using a sample of real consumption data (measured in billions of 2005 Singapore dollars), y(t), t=1990:Q1, 1990:Q2, ... , 2006:Q3...
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    FRM EXAM 2007—Q 28: expected annual return

    In retrospect, apologies I should have given a reference to the chapter from where i picked this formula from. I was referring to John Hull's 'Correlation and Copulas'. Hull gives an example: If marginal distributions of V1 and V2 are normal, it is safe to assume joint probability of V1 & V2...
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    FRM EXAM 2007—Q 28: expected annual return

    Hi David, Understand the solution can provided using the formula for bivariate normal distribution, wherein E[A|B]=E[A]+Beta(A,B)*(B-E(B)) Please let me know if im wrong. Vaishnevi
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