Search results

Sweet! Congrats!

Yay! Thanks Nicole! I'll have an Amazon gift card. Thank you!

One way to understand them better is by reading the notes and the assigned readings that cover this material, if you haven't already.

If the QQ plot is linear, then this suggests that the actual data and the specified distribution are in line....meaning the the specified distribution is a good candidate for the data. At the lower left and upper right ends of the QQ plot, you need to pay attention to the slope of the line. If...

This is a good question! Let's assume that none of the market value is attributable to identified risk factors, then we should allocate all of it to cash? This is what he is saying no? Doesn't make sense to me either.

Yes! There is the @ami44 confirmation! Thank you!

f(x) is a probability density function. The integral of pdf from -infinity to +infinity must equal 1. Capital F represents the Cumulative Density Function of CDF which is also represented by the integral of the pdf from -infinity to a and is interpreted as the probability that X <= a. As a...

It seems to me that we should be able to choose portfolio returns from row 7 at random rather than selecting return vectors at random......my point is that they should be equivalent but the lecture doesn't specifically say this....essentially, we are collapsing a portfolio of 10 assets into a...

The whole point of bootstrapping is to create a larger "sample" with which to work.....so yes, larger sample size.

Great! Thank you!

It is interesting to me that the SOA and CAS seem to focus on binomial trees based on forwards, i.e., forward trees and they only mention (Cox, Ross, Rubenstein) CRR and log normal trees briefly whereas Hull only really presents CRR. Which would you say is most common @David Harper CFA FRM?

As a convention, U.S. Treasury bonds are quoted in 32s, so a price of 100-08 is the same as 100 and 8/32 or 100 1/4 = 100.25. Similarly, a price of 100-12.75 is the same as 100 and 12.75/32.

This is clear to me now. Thanks again.

Ahhh I see. Thank you @ami44. The values of the integrals are the same in each case, i.e., that probabilities are the same, i.e., Hull is slicing up the probabilities, in essence. This wasn't entirely clear to me - not sure why - just wasn't clicking.

Hi Friends - looking to confirm my understanding of the bootstrapping approach described in this chapter. @David Harper CFA FRM - in your video, it looks like the example is assuming a portfolio of stocks. For instance, if there are 10 stocks and 100 days of histroical returns, we would have...

Thanks @ami44 - I really consider you to be extremely knowledgeable, so I need to think about what you said to convince myself that it it true. One thing that I found a bit unclear on this question is the fact that the question used the term "mass". I have always associated probability mass as...

@ShaktiRathore always answers the hard questions! :)

Hull states that "...slice the tail into a large number of n slices, each of which has the same probability mass ..." However, his examples do not actually do this. F0r instance, splitting the 95% to 100% tail into 9 slices, i.e., 95.0% to 95.5%, 95.5% to 96.0%, 96.0% to 96.5%, .....99.0% to...

OK - time to move back to Part II material.