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Hi David, Would you kindly answer my following question? Which of the following option strategies can give the buyer an unlimited profit? a. An American digital option b. A European lookback call option c. A European butterfly spread d. An up-and-out with rebate barrier option The answer is B...

Thank you David!

Thanks! As always, appreciate your help.

Question: Silo Bank begins its risk measurement process by calculating VaR for market, credit, and operational risk individually, and then aggregates the three measures to produce a firm-wide VaR. Correlation between risk types is a key input for calculating firm-wide VaR. Which of the following...

Got it. Thanks.

Hi David, Not sure if you've seen this post.... Hope you would help me with this problem. Thanks!!

I see. I got your point. Here is the actual question: (It is an actual exam question but I am not sure which year it is. ) Large banks typically allocate risk capital for credit, operational and market/ALM risks. Which of the following statements ranks the typical amount of risk capital...

Hi David, First, I'd like to say thank you soooooooo much for your time and effort on answering our questions! Really really appreciate your help! I have a question asking how to rank the amount of risk capital allocated to credit, operational and market risks. I have no clue about this and...

I had the same question for this problem. Very clear explanation above. Thank you a lot!

Hi David, Could you please help me with the following question? Two comparable (same credit rating, maturity, liquidity, rate) U.S. callable corporate bonds are being analyzed by you. The following data is available for the nominal spread over the U.S. Treasury yield curve...

Hi David, kindly see the below question: Trader A purchases a down-and-out call with a strike price of USD 100 and a barrier at USD 96 from trader b. Both traders need to unwind their delta hedge at the barrier. Which trader is more at risk if there is a price gap (discontinuity) that...

Thanks a lot for your quick reply!

Hi David, This example is on page 33 of the sixth edition handbook. It's also the FRM exam 2009 question 2-3. The question: The portfolio A's kurtosis is 1.9 and the analyst states it's more peaked than a normal dist. The answer is b which says this statement is correct. I think this...

Thanks for the quick replies. I just want to take a quick look at some concepts in the study notes. I found the link above but seems it's broken. Please let me know when this issue is solved. Thanks again.

Hi David, I am trying to download the free study notes. It seems they are broken? and I cant open them with Acrobat. such as this one below, http://www.bionicturtle.com/how-to/note/operational_risk_2008_sec_4/ Thanks.