Search results

  1. I

    dS/S = d Log(S) ?

    Hi, in 06 practice exam set I , number 40. about Geometric Brown Motion. I know S is lognormally distributed and then ln(S) is normally distributed how come is dS/S normally distributed? it says dS/S equals to d ln(S) is it mathmatically equal?
  2. I

    Gamma and Theta

    Hi David, if i short call option of a stock, which is ATM and its maturity is very short what kinds of greeks pose the highest risk to my position? Gamma, of course. is it because i am in short position? if i long this option, i got plus gamma, then it's not risk, is it? How...
  3. I

    What is Liquidity Put?

    hi David, i tried to find out what it is, but still wondering money back guarantee anytime on MBS ? could you explain it please? suk
  4. I

    positive gamma lowers risk?

    98 frm exam question 43 question is if risk is defined as a potential for unexpected loss, which factors contribute to the risk of a long put option position? answer is a. delta vega and rho. it says positive gamma should not be chosen because it lowers risk but why are hedgers...
  5. I

    using garch model to forecast volatility

    hi David, i got a question about Garch, no.82 on 07 practice exam, it's about forecast annualized volatility for a five days option starting from day n i couldn't solve this because `u` is not given, but in garp's explanation there is new formula that is, expected volatility at...
  6. I

    underlying originator / asset originator??

    what's the difference between them? while i'm trying to figure out question no.34 of 07 practice exam part I the answer is a because the liability concentration levels of the asset originator is more significant for underlying originator, not for investor. This is what garp says...
  7. I

    simple question about credit metrics

    Hi David, no.27 in 07 practice exam I d is that "credit metrics handles full defaults but not partial defaults or recoveries" i dont know what full default and partial defaults are d is the answer of this question, which is not a feature of creditmetrics having a look at what...
  8. I

    question of set 3 of practice exam 08, no.40

    Hi, i asked so many question,, i'm nearly frustrated after i scored practice exam anyway no.40 looks quite simple but i can not understand what attached answer says what percentage of this distribution (uniform) will be less than 1.96*SD above the mean which is zero did i...
  9. I

    question about greeks

    hi david, i'm confused of long expiry long call and something like that those are mentioned in question no. 36 on page 129 in 08' practice exam. long expiry means a option with long maturity?? then why are gamma risk and vega risk equal to short expiry, long expiry respectively...
  10. I

    question about hedge with credit derivative

    Hi David, thank you for quick answer! it is really helpful! another question on 08 exam page127, no.31 could you explain the answer, how it is hedged against holding corporate bond ? i think it's strange, because the correct answer c says short CDS long position of corporate bond...
  11. I

    TBDS risk and default correlation

    what is it becoming risky as default correlation is more negative? if it is positive 1, then every tranches are regarded same? i mean, when one of them is default, then all of them is default, due to the default correlation is 1 so in my opinion, this case would be riskier than negative...
  12. I

    question on 08 practice exam

    Hi David! i'm frustrated after i scored my practice exam.. i have to push myself for 10 days! anyway, i got a question, page 71, No.29 answer says the yield of the bond is calculated by 1/maturity * ln(D/F) D must be face value or future value and what is F? is it present value...
  13. I

    question in 08 practice exam about hedging

    second part of 08 practice exam, page 63 number 7 i dont get it why put delta should be used is it because change in put delta is plus? as stock price decreases moreover, why option delta is used even though hedging strategy is index futures? thanks suk
  14. I

    Jarque-Bera Test

    hi! in slide of Jarque-Bera test, why is the degree of freedom of 2 ? and how can it be concluded whether the null be rejected or not ? I looked at the study note, but i didn't get it thanks suk
  15. I

    question about mean reversion

    hi david, can square root rule be used in mean reverting condition?? rather than random walk?? and in autocorrelation condition, square root rule can not be applied to calculate multi-period var am i right?? thanks David Suk
  16. I

    several questions, in market risk part A

    Hi David! i have several question regarding to market risk part A slides 1) could you explain about short squeez roughly ? 2) the relationship between forward and futures prices, i want to know the reason why both of them are affected by strong correlation and contract life, could...
  17. I

    risk budgeting spreadsheet

    thanks for quick answer! could you upload the spreadsheet which i can only access with editgrid? i mean, excel files. suk
  18. I

    risk budgeting spreadsheet

    i have just a simple question about information ratio in the spread sheet the IR of MGR1 and MGR2 are 0.6 and 0.4, respectively how are they calculated?? the IR of portfolio at the bottom is 0.72 which is from 2.9%/4% isnt it excess return devided by TEV?? but i can not get it of...
  19. I

    Investment B, part 2 question about pair trading

    slide 74, it says long overvalued , short undervalued i dont get it, intuitively i think overvalued stock is expensive, that is, it's over-priced isn't it? am i misunderstanding?? cheers suk
  20. I

    the cost of unsystematic risk creates value?

    according to operational risk B , slide 32 it says, Trasnferring the cost of unsystematic risks creates value because its cost in capital mkt is zero i dont get it, how does it create value even though its cost is zero?
Top