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Hi David, Thanks a ton for your reply..this helped a lot..Cheers..Amit

Hi David, I was going thru slide 71 in presentation 1.a.ii and could not very well grasp the concept of qualified model of APT and its properties. Also i could not understand from where the Portfolio Q has come into picture and what it signifies.Can you kindly elaborate a bit on this as it is...

Hi David, I was going thru the BT presentation 1.a.ii on Information ratio and had a doubt on reviewing slides 62 and 63. 1) In Slide 62 the numerator for Information ratio is taken as E(Rp)- E(Rb) 2) In Slide 63 the numerator for Information ratio is taken straightaway as Jenson alpha...

Hi David, thats too good an explanation..U r too impressive..Cheers..Amit

Hi David, Thanks for this so it means positive mat gap means assets have a higher mat period than liab and hence higher duration..Tks for this..Amit

Hi david, thanks a ton for sharing this thread with me..I was not aware these questions were raised in investment section and i had browsed thru the entire foundations section of the forum...now i would review tomorrow the investment section also.... Believe me David of all the sections in...

Hi David, thanks for this too..i like the promptness with which my doubts gets answered...Rgds..Amit

Hi David, thanks for the prompt reply. the source of this question is the questions which accompany in the CD given alongwith the Jorion handbook in the Investment section...Rgds...Amit

Hi David, I need your assistance in the following question Q) If interest rates rise, a bank with a positive maturity gap will experience: Choose one answer. a. Either a gain or a loss of equity capital. b. A loss of equity capital. c. A gain in equity capital. d...

Hi David, Can you kindly clarify on these points 1)Do all the candidates get the same question paper or there are different sets of questions papers and to avoid cheating different students get different sets of question paper. 2) Do we have to use pencil only while attempting the...

Hi David, Can beta of a portfolio be negative? As beta happens to be the slope of the line my guess is that it can be negative. However to my mind the following case does not intuit the actual practical position Rf =4% Rm= 9% Beta = - 1.5 As per CAPM E(Rp) = Rf + beta(Rm-Rf) = 4% +...

Hi Full of Questions, 1) Corporate management costs comprises entire gamut of costs + losses incurred by top management while running their busineses. So any effective hedge which would reduce the probability of loss of positions would necessarily go to reduce the cost of corporate...

Assume a two-asset portfolio with a portfolio value of $20 million. Each asset weighs 50% of the portfolio. Asset A has a volatility of 10% and asset B has a volatility of 20%. If the desired confidence is 99%, what is the portfolio VaR if (i) the assets are uncorrelated [i.e.., correlation = 0]...

Hi David, I have a doubt in the way this question has been solved in Jorion Handbook. Request your help on this 6. Company XYZ's pension fund has liabilities of USD 100 million and assets of USD 120 million. The annual growth of the liabilities has an expected value of 5% with 3%...

Hi David, This definitely helped me..Tks a ton..cheers..Amit

Hi David, Can you kindly Clarify on this. rgds Amit

Hi Eveline, You are welcome. Pls note that this is an option where the intention is to hold till maturity. If you keenly observe the question it speaks about profitable value "over the life" of the call option. Also delta hedging could be achieved by shorting an underlying hence one ways...

Hi Eveline, A long position in call option always has a positive gamma and when gamma is positive a hedger gains from large changes in the underlying price hence the answer 4 is correct. Trust this clarifies...Amit

David, Phenomenal explanation..Model Risk is the right term to answer my question...You are just too good..Wish i had the vision, understanding and knowledge you possess...then FRM would have been a cake walk..Tks Once Again...Cheers..Amit

Hi David, Can you kindly clarify if these r testable concepts in Level 1 as the distinction is quite hazy and there is a lot of coverage on VAR. Calculating VaR of options Var Impact of a small project Delta normal Var/Stulz Var impact VAR Mapping Sub-Additive Mapping Options LVAR...