Search results

How is your "Sanity At Risk" ?

VaR, SVaR, LVaR, LaR, CVaR.... how many more? hopefully after 21 we would only care about BaR

Thanks @David Harper CFA FRM . Makes sense. If exam asks to calc, which one to use ?

What is the correct formula for Adj. RAROC? I noted down Adj. RAROC = RAROC - Rf ...................................................... Beta But Crouhy mentions following :-

I am having trouble understanding - "Increasing recovery increases the implied default probability" ..how is that happening?

never ending material

Perfect. Thanks a lot .. @QuantMan2318 !

I am unable to completely understand trade compression. In the example below, The final contract's coupon is weighted average of what ?

I understand the effect of Pd and Correlation changes it causes to value of tranche. But am unable to understand the impact on CVaR. See below. Can you please help ?

Please also refer David's

Had motivation to really score well in Part 1 and did fortunately ... but for Part II I am all like 'just somehow pass me' :P

I am also wondering the same. I have skipped "optional" readings completely. Would like to know what are others doing..

Freaking out ..just a month left

This is related to Constanitides Funds Chapter. What's is the subtle difference - Selection Bias Vs Survivorship Bias? They both are same in nature that funds are not reported due to poor performance.

Hi Tuckman Ch 7 - Term Structure models has a AIM "Define option-adjusted spread (OAS) and apply it to security pricing.". I cannot find material to read on this in BT notes / videos nor in the Tuckman book (maybe i have old version). Can anyone please help?

Hi, This is related to Tuckman Ch 7 - Term Structure. How do we come to the conclusion in the first place that "The replicating portfolio will be long the 1.0 year bond and short the six month bond"? Anything after that is mere calculation / mechanics - easy to solve the simultaneous...