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Hi mizzougrad, From O'Hara: Quote danglers enter and instantaneously cancel limit orders, with the goal of obfuscating the quote process Spoofing from http://www.investorwords.com/4658/spoofing.html Stock market manipulation in which a trader with a position in a stock places an anonymous buy...

Upon further reading, I think I got it. A normal Fond only looks at it's assets and if there is profit it will be payed out to the investors. This fond has no Liabilities to its investors and will base it's VaR calculation on the Value of it's assets. A pension fund has Liabilities (i.e. it has...

I just read the paragraph in the study notes about the surplus at risk (SaR). Am I missing something, or is the SaR the same as the VaR of the portfolio? I mean Surplus = Assets - Liabilities sounds like the Value of the Portfolio to me. Consequently is the SaR the same as the VaR of the...

Yes exactly, that's the three fields i filled in, but they were empty for me before. But I guess, if you get your current information displayed, everything is alright.

For me it looks like this: After I signed in to the Garp website, I go to My Programs on the top (next to Dashboard). Then in the middle of the page appears this blue bar, that offers Add ID Card Info as the leftmost option. Actually it's now View ID Card Info, since I entered the info already...

Shakti, thank you for your answer. So I understand you, that the standardized approach for market risk does not exist anymore under Basel III, but the Specific Risk charge might. Thanks

Hallo, I just read about the Incremental Risk Charge and Comprehensive Risk Measure in Basel III. Both charges are aimed toward the credit risk in the trading book. It was my impression, that the Specific Risk Charge (SRC) in Basel II covered that risk before. Do I assume correct, that a SRC...

Hi dawnperiwinkle, on the new website after login you have to click on My Programs at the top of the page (next to Dashboard). Then you find the option to defer the exam in the blue horizontal bar in the middle of the screen. At least that's how it looks for me.

I'm not so sure what this means. Maybe I'm not seeing it, but where is the matrix in your formula? The formula is wᵀ · C · w ≥ 0 with C being the variance-covariance matrix.

I'm not sure what the connection to the Factor model is (what Factor model?), but a variance-covariance matrix is always positive semi-definite by construction. Sometimes if you try to estimate the matrix, dependent of your method and model, you run in danger that your estimate is not positive...

Ops I messsed it up. The problem is, if R is the loss or the profit of the portfolio. The two only differ in the sign. If R is the loss than adding to that loss increases the risk, if R is profit, than adding to the profit, decreases risk. For P(c+R) = P(R) - c to be true, R must be the...

Hi ps_ricky_son, if d(t) is your discount factor at time t (in years) then the spot rate is 1/d(t)^(1/t) - 1

hi ps_ricky_son, let me try to answer two of your questions I assume you talk about coherent risk measures. R is a random variable representing the loss of a Portfolio. ρ(.) is a risk measure assigning a number to each possible portfolio. That means the higher ρ(R) is the higher is the risk...

I'm sorry to hear that. Good luck in November.

Hi 95kashka. Can you provide some context?

Shakti, Thank you, you're answer made me understand the basic idea of Gregory. The are still a lot of his remarks, that are mysterious to me, but understanding his basic ideas makes me happy for now. Maybe its me, but i found Gegory confusing in a lot of chapters. I wasted a lot of time trying...

Hi Shakti, What I understood now is, that Gregory wanted to say, that issuing a CDO is like buying credit protection, because you go short credit risk. With an issued synthetic CDO you can hedge some credit risk on your balance sheet or non-synthetic you're selling the risky assets directly to...

Hi Shakti, Thank you for your answer. Sorry for my stupidity, what does b/s stand for in this context?

Hallo, Gregory says, that for a downward sloping credit spread curve the CVA will have a higher amount than for a upward sloping curve. This effect should be even more pronounced for products with monotonical increasing EE like forwards or cross-currency swaps. I don't understand why that is...

I would like to revive Pfliks question above, because I completly failed to understand the part about Collaterialized Debt Obligations in Gregory Chapter 10 (chapter 13 of GARP core readings). First Gregory divides CDOs in synthetic CDOs and structured finance securities. Intuitivly I thougth...