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Don't feel that way. Have a different perspective, it is highly probable that the number of test takers in November were lower than that of May and most of them were better prepared and qualified for the exam. I can safely say that the number of test takers for part I is more than that of Part...

The entire thing here is my line of reasoning, someone with a practical exposure in the options trading can correct me if I am wrong (@David Harper CFA FRM or @ShaktiRathore?). I personally feel that though we may use the Put to have a Bull spread strategy, the pay off structure is slightly...

In the 'current issues', there were lots of material on the intellectual pains behind the concept of clearing all the OTC Derivatives through CCPs and the way the academics fought out on the viability of CCPs. Some feel that the CCPs were granted disproportionate powers a la Dodd-Frank. Here is...

Dear BT Community The OR section has been unusually quiet for a while now;) So let's spruce things up a bit. I found an interesting section on the Top 10 Operational Risks in the near future. That site is great as well, entirely devoted to Risk. Happy Reading:)http://www.risk.net/2441306 Tell...

Dear @David Harper CFA FRM I am just curious to know, Jorion's Backtesting talks about Log Likelihood Ratio with LR = -2*ln[(1-p)^(T-N)*p^N]+2*ln[(1-(N/T)]^(T-N)*(N/T)^N] Meanwhile, the formula for a Logistic Regression is (1/m)*sum(-y*log[h]-(1-y)*log[1-h]) Are they in some manner, interrelated?

Dear @David Harper CFA FRM, I have now carefully looked at your files, I understood the first one but your John Hull's reworking file was not completely comprehensible to me and I will look at it a couple of more times; However, I have come up with a revised excel sheet for modelling the...

Dear BT I don't know how to express my gratitude to everyone of you, the members, the students and all. I have cleared part II! Thanks @David Harper CFA FRM for all the support you have rendered me and of course @Nicole Manley Looking forward to having more enlightening discussions in this...

You are almost spot on! The second is just a mirror image of the first, the same transaction from the viewpoint of the fixed receiver, as the receiver swap receives the Net rate(Fixed) initially and is expected to pay the Net(Floating) in the future, the exposure is the opposite of the expected...

Well, I thought about that one too, since, the stock isn't in the benchmark, it shouldn't affect the Risk/Return of the Benchmark, I think that's the point in attaching a weight of zero to that stock in the Benchmark. However, we are also forecasting alphas on those stocks wrt. to the benchmark...

Thank you so much @David Harper CFA FRM CIPM! I had always wanted to create that copula correlation and that multivariate standard normal distribution ever since I encountered that in part I,some gaps were always making me unable to create a complete multivariate normal distribution, your excel...

I think I have a hunch, as no-one has answered, I am hazarding the following, We ignore the probability that the firm itself can default, that is we ignore the Debt Value Adjustment, so despite the fact that the credit derivatives have cash flows in either directions, we only take the...

Sorry I assumed that your post above meant the number of std. dev of returns. I didn't know that you were implying the weighted average of a number of std. dev of returns at various CLs which is of course correct if returns include losses. Yes you are right, in Normal Distribution, the Z value...

Dear Vijay I am not sure that I get your question correctly, but I will endeavour to explain based on my understanding, A spectral risk measure is a type of measure of VAR, that satisfies all the properties of a coherent risk measure ( I assume the VAR to be the quantile ). So taking this...

Dear David Did you go through the above spreadsheet? Were you able to check the calculations and the graph? Its been a month since I posted that file and this thread is silent I would be extremely grateful if you could confirm the accuracy of the spreadsheet as it would help me in...

Its a bit rusty but it does the job well!:)

To find the implied volatility, you may also use the DerivaGem software from the Rotman School website that has been provided by Hull in his book

Dear David I have attached a spreadsheet in which I have calculated copula correlations for a Bi Variate Normal distribution and have inserted a chart on the same. I would be extremely happy if you could have a look at the same and tell me if my understanding is correct. I have used the same...

Dear Ms. Sankaran Thanks for your reply, can you tell us the question that is on pg. 68? I seem to get 0.3068 as d1 based on your data and not 0.3608 and when that is input into d1-sigma*SQRT(T), I get 0.16246 which is the same as the original d2 formula. I took the following based on your...