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Hi David, In the study notes and spreadsheet pack, I am struggling to understand how prices were calculated for the 3 step binomial (tab 29,7) for 946,51 and 955,78. I get how to calculate (q) and (q-1), but this requires us to know 946,51 and 955,78 values from the earlier period. But using the...

I think the answer to my question is that if 1. was variance (instead of volatility), then we wouldn't need to do step 3? thanks

Hi David, Probably a dumb matrix math/ covariance question on the spreadsheet pack forward tab for diversified VAR: To calculate portfolio variance, you do the following: 1. calculate the individual volatilities (matrix) 2. multiply 1. by the correlation matrix 3. multiply 2. by 1. again to...

Hi David, For the Jorion question, can you provide the equation 6.3? Do we need to know this for the exam? Thanks Question 10: A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including 4 that follow another day of exception. Compute the likelihood-ratio tests...

Passed! 4 kids and living in a camper for 4 months :) roll on part 2...