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Hi We make the alternate hypothesis the thing of which we want to test the significance ,here we want test the significance of the statement that "x is equal to or less than 45%" so we make it the alternate hypothesis.And the complement of the alternate is the null hypothesis.Please don't get...

hi, please visit: https://forum.bionicturtle.com/threads/forward-rates.9404/#post-40837 https://forum.bionicturtle.com/threads/what-method-of-discounting-do-i-use-when-computing-option-pricing-with-binomial-methods.601/#post-2282 thanks

Thanks Nicole :) please let it accrue.

Hi, Yes Miller i think mean two normal distributions have different mean only.Yes its referring to both directions left and right tail both. When two normal distributions have the same mean: mixture distribution with leptokurtosis (heavy-tails) otherwise if two normal distributions different...

Hi in the inverse distribution the 1.645(quantile) represents 95%(cumulative probability). And in the probability density function P(x) ,when x=1.645 ,P(x) shall give the probability density at x,and we integrate the P(x) from -inf to x=1.645 to get the cumulative probability of 95%. thanks

Hi @gargi.adhikari, regarding your second(2nd) question i would clarify ,at present i am 60 days away from last coupon paid and 122 days before the next coupon is paid,so that the accrued interest earned till present since the last coupon paid is=(60/182)*(12/2)=1.978,and therefore the dirty...

Hi, No they are not the same. The inverse cumulative distribution function is the quantile function it gives the value of the quantile(z) at which the probability of the random variable is <=the given probability value or the cumulative probability of random variable is = the given probability...

Hi, As per my understanding,under HS the Var reports the 5th worst loss(95%CL) or the (1-CL)th loss for (99% CL) as there is market crash the large negative return would now become the worst loss ever so that the previous 4th worst loss would become the 5th worst loss(Var) but the impact of the...

Hi, please visit following links if of any help: https://forum.bionicturtle.com/threads/marginal-cva-vs-incremental.8772/#post-37655 I think Yes its theroretically possible that marginal CVA is greater than incremental CVA as was assumed by question/problem.Adding an entire trade does not mean...

hi please refer this links: https://forum.bionicturtle.com/threads/expected-unexpected-loss-and-economic-capital.3343/#post-28697 https://forum.bionicturtle.com/threads/regulatory-capital-vs-economic-capital.4954/#post-31946 thanks

Hi, We suppose the returns(rt) are normally distributed with mean μr and standard deviation σr,now the Var is the worst possible loss at a given confidence level(CL=95%) we shall have a set of returns in this CL the worst possible return shall lie at the border that is at when cumulative...

Hi, Yes there would be generally multi step calculation questions as per my experience in the exam,the one liner calculation questions as we see in cfa L1 shall be there but very few. BT questions are themselves based on and inspired by past FRM exam questions so that you can think of what...

Many thanks Nicole :) please let it accrue.

Please see: https://forum.bionicturtle.com/threads/garp-exams.8134/#post-32291(calculations mean math only i think) https://forum.bionicturtle.com/threads/memorizing-more-complex-formulas-for-part-2.8483/#post-34794 There are lot of calculations(>50%) i would say. thanks

hi go to youtube https://www.youtube.com and type Default correlation in CDO or basket CDS in the search tab,the video shall appear. please see: thanks

Hi, Let S0=stock selling at =27,X=strike price=30,T=time to maturity=145/365,volatility of stock=sigma=.30,dividend=q=0,continuously compounded risk-free rate =r=4%=0.04 put these values...

Hi, I think the OAS is mentioned in credit risk section of the notes. Please also see the following for OAS: https://forum.bionicturtle.com/threads/option-adjusted-spread-oas.8695/#post-36351 https://forum.bionicturtle.com/threads/z-spread-vs-zero-vol-oas.5419/#post-15099 thanks

Hi, The probability of an exception=1%=0.01 probability of no exception=1-The probability of an exception=1-.01=.99 The variable of no either no exception of an exception is binomial distributed , the probability of 9 or more exceptions out of a sample size of 600 =1-probability of 8 or less...

Hi, I think its from the perspective of the counter party. CVA(credit value adjustment) for firm B=EA*sA-EB*sB ...1) sA=PD(A)*LGD(A) and E(A): exposure faced by B(firm); E(B): exposure faced by A where A is the counter party CVA for counter party=EB*sB-EA*sA ..2) As the credit spread increases...