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Yes, both parts. Thanks for your thoughts. I know what you are saying about a 50% pass rate and preparing, and having some related experience in some of the topics. I just wish I started one month earlier. If all I had was this I would be in better shape, it's the rest of my life...

I am studying so much that when I go to sleep I keep seeing formulas. Sometimes they are correct, but other times they have nothing to do with anything. It makes it hard to get a good night's rest. Burning the candle at both ends here.

At the risk of embarrassing myself, here are my answers. (Attached so I don't spoil it for anyone.)

Hi David, It's been a week or so. Can we discuss answers? I am coming up with some strange risk-neutral probabilities. Everything else looks normal.

Thanks for this David. Definitely helps. This one seems to have a couple of new twists. ;) (I think.)

I think it is a balance between being able to function as a business, and protect whoever is guaranteeing the losses. IIRC- LTCM was not charged initial margins (I am not talking about listed products.) because of their reputation and track record.

@David Harper CFA FRM or @Nicole Seaman, Schroeck, Chapter 5 has no video. Hull, Chapter 23 has no practice questions. Is that correct or am I missing video for Schroeck and PQ's for Hull 23? Thank you, Sixcarbs

Thank you Nicole, David, and BT. It's great to be here. I learn something new every day, I hope people can sometimes pick up something from me. Since you still don't offer any BT Schwag as we discussed I will take the $15 off my next purchase.

Hi David, I hope this is the right place for this. There is an error in the video on Hull Chapter 15. You say things correctly but the slide you are pointing at is incorrect. It is in Hull's example 15.3 Slide says: .17-(.2/2) = .15 .2 is the volatility, should be variance (.2)^2...

Hi David, I know one of the PQ's referred to the best way to measure the risk of a straddle, but your post above made me think. Could you use a 2-sided z number to measure the VaR of a short straddle? (Or maybe other negative gamma positions?)

Good morning @David Harper CFA FRM So, the real issue is "Mass centering." Would we need to apply this for simple HS too? I'm fine with interpolating, as I am sure anyone who got this far is too. It's just a matter of setting up the table now. We need to add midpoints between all of the...

Sorry, we're going to need another dead horse here since this one is about done. But, using their inserted midpoint, the .0533 and .0494 are correct. Remember we are looking for .05 between the two. It is the percentages that need to be changed. We want a number between 2.35% and 2.40%. I...

For the initial, they insert a false entry between 2 and 3: -2.80% Return and Hybrid Cumulative Weight 0.0479 It then interpolates between that entry and row 3 and comes up with 2.73%, same thing I got. But the second they insert the false entry: -2.35% Return and Hybrid Cumulative Weight...

Thanks for the forumlas. I will see if I can make it work now. With resepct to the interpolation. As far as I know I am looking for the value of the return where the Hybrid Cumulative Weight=.05. For the initial case I interpolate between row 2 and 3 and come up with 2.73%. For the 25...

I am trying to interpolate the VaR using the hybrid method. Below is Table 1-3 from Allen. For the initial, (top half), for 5% I interpolate between .0447 and .0511 and -2.90% and -2.70%. I get 2.73%. .0500 is roughly 17% less than .0511 so 17% of the difference is roughly .03% which gives...

Thank you @David Harper CFA FRM and @Detective, David's aVaR description helps along with Detective's explanation. I accept it, although I am not thrilled with it as a concept. It is what it is. I am glad that it is the sub-additivity property and the contrast between VaR and ES that is the...

Hi, this is not about specific question but about the concept of Monotonicity. It did not seem intuitive to me when I read it and I was hoping it was an error, but I just watched the video and it is the same. IF Y>=X then rho(Y) <= rho (X) If Y returns more than X, than the risk of Y must be...

You are correct. Thanks for the lesson and Review.

But keeping them in the portfolio, and setting their durations to 0, actually lowers the duration of the part of the portfolio that is actually composed of bonds and performs like bonds. Are defaulted bonds a function of yields? No, they are a function of recoverable assets. They need to be...

My gut tells me exclude them, but I am just a Part I student here. They are no longer functioning like bonds, they are in default. How can you (Why would you) model them like bonds?