Search results

Hi, I still have some questions about the VaR backtesting, and hope you have time to answer some of my questions. 1) Based on the word document you posted on the forum, when you are deciding whether to reject or accept the binomial distrbution, did you base you decision on two-tailed test? or...

Hi vt2012, sorry, your argument makes me even more confused. So under your example #2, the two different results from using binomial and normal distributions contradict to each other, so which one should we use? and why ? Hopefully you can explain again, thank you so much!!!

Hi,David, I got a question about the graph above. I though we are supposed to reject the model when x is 10? So in sum,we should reject the model when x is 0, 10, 11 and 12, am I right?? ( in the graph,you only color the red bars when x is 0,11 and 12) Thank you so much!!!

Hi David, thank you so much, the concept is more clear to me now! :)

I hope anyone here or David can help me with understanding this fundemental concept: why both asset and liability decreases when interest rate increases? What's the fundemental reason that causes both asset and liability on bank's book to decrease when interest rate increases? Thank you so...

okay, I see. Thank you so much, David! sorry that I got another question to bug you. I know that under independent, P(AB) = P(A) * P(B), but what if they are not under indpendent? what's P(AB) ? Thank you!!!

David, Thanks for the reply. One more question, I can't recognize where did the following formula come from: Prob[both bonds default] = E(BC) = E(B)*E(C) + covariance(B,C) ? E here is denoted as expectation ? I am a bit confused here. Did you simply derive this formula from the independent of...

Hi, David, I was doing a typical question of calculating probability of default of a bond based on the transition matrix from the Handbook. I just though about the following possible scenario: If I am given a transition matrix, and I am asked to calculate two bonds' probability of default at the...

Hi, David, I was reading Hull's chapter in Monte Carlo methods, and I was confused by how the CI is obtained under monte carlo simulation. I don't have the exact page number with me now, but the example is about: The 95% CI at the end of 100 days for the stock price that's simulated by monte...

Hi, David, I got another question. I notice that under the "practice questions," there are two files: 1) T2.Hull Chapter 21, 15 Jan 2010 and 2) T2.Hull Chapter 21,16 Jan 2011. Is it beneficial to do both, or is it sufficient to do the newer version (2011) ?? Also, I notice that all...

thxs for your detailed explanation!

David, thanks for the reply. But now I got another question. Since what you said is only true if we draw from discrete uniform distribution. If the population we draw from is not uniform, then p[D(i) = 1] = 1/6, and p[D(i) = 2] will not necessary be 1/6, right? Then under this case, mean...

Hi, David, I got a question about the derivation of mean and variance of the sample average. In order to derive them, we need to obtain two I.I.D random variables, such as X1 and X2 from a population. However, why the mean and variance of X1 and X2 are the same ? The text said because they are...

Hi, everyone, I notice that some practice exams, such as T2.b.Gujarati Chapters 1- 8, are from the old topics. Does it still apply to the 2011 FRM exam? and does it still help to go through those practice exams? Thank you.

Hi, Everyone, I have a quick question. I am studying for FRM Part 1, and I am just wondering that what chapters in Financial Risk Manager Handbook are covered for FRM Part 1? Thank you so much for your help!!!