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You are using key rate shifts to analyze the effect of yield changes on bond prices. Suppose that the 10-year yield has increased by 10 bp and that this shock decreases linearly to 0 for the 20-year yield. What is the effect of this shock on the 14-year yield? a. increase of 0 bp b. increase...

:) omg i get it now! Thanks!

Hi David, I tried to open the excel link but it didn't work. I don't get that for the Market Value column, why the Bond A and B divide the Price by 20, but the Bond C divide the Price by Modified Duration (11). Thanks!

How do we know that if we hedge we get $50,000 future CF? Is is the expected future CF? 50% *($0 + $100,000) Thanks!

Why need to divide the Portfolio duration by the yields (1+6%)? Are we trying to come up with a Modified duration for the 99% VaR? I thought Duration VaR requires only Duration not Modified Duration. Thanks! Sorry this question should be in Mock Exam C!

I don't get why value of debt= PV( 50% * $1B+ 50%* $800M)....? Is it because of the gold selling at $1400 or $800 per oz, each with 50%, min ($1,000M< orig debt, $1,400M) = $1,000M min($1,000M< orig debt, $800M)= $800M Even so I still don't understand this. Thanks!

Please let me know if I should post questions about the mock exam else where. I don't get how we get the modified duration of 750/50=15 years. Thanks!

Do the exams really test the "universal" risk concepts or really ask for specific author's version of risk concepts? For example, should we just understand the general risk category instead of remembering how Jorion defining legal risk as financial risk as most likely a financial risk (instead...

y Thank you, David. Where can I find a list of new topics for the part I? Right now I am attempting the Fabozzi problems. However I found out that some concepts or points tested in these questions are not covered in the video and I was suspecting that these readings were not tested...

Thanks David. What about those topics you didn't create spreadsheets on? I see that a number of videos in Part 4 Valuations where you didn't mention the exam relevance. I would like to make sure the following: Mechanics: concepts and definitions Valuation: calculations Thanks!

Hi David, I haven't had time to look into the excel files yet. So for the T-bond Futures in Hull Ch.6, the "low xls relevance" means that the calculations and/or concepts have not been tested in the past right? So is it okay to skip this topic and focus on topics with higher exam relevance...