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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

Hi David, I have 2 questions 1) How did we get this answer? If X(t) follows a lognormal process then the correlation between X(t) and 1/X(t) is: Choose one answer. a. -1 b. 1 c. ½ d. -½ The correct answer is -1 2) What, according to your...

Hi David, Thanks for the update. I appreciate the kind of stress you are into and honestly i did not intend to boggle you more. I know only this FORUM as a means to communicate with you so posted my thought out here. Pls continue doing what you are doing as its the best available stuff...

Hi David, Noting the fact that there is hardly 5 weeks left for the FRM 2009 exam, are you planning to set any simulated Level 1 question paper for us to solve. Though i agree that there are various questions which are available on BT site, however 2 full length queestion papers for level 1...

Hi Options, I will try answering your questions and i m sure there is David to correct any wrong explanations given 1) You arrive at the conversion factor depending upon the term left to maturity for a particular bond. All the bonds which are above 15 yrs of maturity become eligible to be...

David, thats a cool explanation..so we have to always take the residual and not active return as alpha..For alpha to unveil beta should be given....cheers..Amit