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Hi David, If we leave the mean, the VAR will be maximum with correlation = 1. When correlation is 1, total VAR = VAR1+ VAR2. Why can't we solve it this way? Why do we have to compute portfolio variance and then calculate Var? Thanks Kavita

Wow.. That was pretty detailed .. Liked illiquidity as lack of time.. Won't forget that,.... I am feeling pretty illiquid right now.... Thanks Kavita

HI David, reading on this topic says" 1. "The classical view is that firm should provide funds freely to solvent but illiquid firm. However, in the short run it can be difficult to discern the difference between illiquid troubled institutions and illiquid sound institutions." What is the...

Hello.. How are you guys coping with the current topics.. Too much to read at the last moment for me.. I am struggling.. Any advice. Thanks, Kavita

Yes actually I wanted to ask something about overvalued options, but then my daughter interrupted and then I completely lost that thread in my head and started this... Apologies for the confusion... Actually in your problem set I think you have questions on what will. Be smile if distribution...

Yes..that makes sense now..do you think the exam will ask us to find BINOMIAL INV(pd,alpha,trials) Thanks Kavita

Hi David, In the above spreadsheet and your video on malz chapter 8, I have two doubts. 1. how have you calculated "number of defaults" I mean given PD= 2% at 95% Confidance, for granularity =10(2nd column), why is the number of default=1? 2. for column 1 , at 95% the credit loss is 0, the...

Yes you are right , the premium would be the same.. But if someone else buys CDS on the same counterparty, they will have to pay more.. Say I bought potatoes at $10/lb. Now the price has gone up and you are paying $15/lb.. So , i have gained in this transaction relative to you.. I can sell...

Expected shortfall..

Hi David, How do we find the shape on the implied vol curve based on the shape of distribution of underlying.. Thanks Kavita

Thanks Deepak Chitnis, that was a really good link. Regards, Kavita

Hi Brian.field.. Thanks.. Yes it may appear so that I will pass, but trust me I have a long way to go.. i need to revise everything otherwise it will all be a waste and I ahve an imporant project delivery in 2nd week of May.. my two weeks are going to be very busy with office work.. Fingers...

My biggest worry is that exam tends to be very skewed towards one topic and if that happens to be not my comfortable area,I am gone... The questions in the exam are not diversified at all.. This is my biggest worry.. What is your's.??? Part 1 in Nov had 4 problems from ES. So if some one did...

Hello David, How do we check for Skegness (positive or negative) by looking at Qq plot..? Thanks Kavita

Hi David, Please can you help me with this problem. I am struggling with how do I take the confidence interval into consideration while calculating the CVAR. A portfolio has n credit, total portfolio value is 1,0000,000. The probability of default is 2% for each credit. Assume zero recovery...

HI David, we have definitiions of various actives.. 1. Active return : Portfolio return - benchmark return 2. Active risk : Standard deviation of Active risk?? 3. Active weight.. No idea Please can you help.. Thanks, Kavita

Hi David, Please can you explain me the meaning of high water mark? Thanks, Kavita

Hi David, I was reading the Stulz chapter from GARP readings and what I understand is that in the PD calculation in Merton model, Stulz uses Risk free Debt ( F*exp(-r*t)) in the formulae so instead of ln(asset value/face value of debt), he uses ln(asset value/present value of debt). My...

Hello David, I am finding it little difficult to comprehend the way the words are drafted in problems related to computation of default probability. 1. The 10 yr bond pays annual coupons and probability of default is 2%. What is the probability that the bond pays three coupons and default at...

Love Gregory, Hate Malz... Sorry guys.. I find Malz reading little difficult to comprehend.. But Gregory's reading is very intutive and and come with a very very logical flow..I probably wont change even one sentence in Gregory :)