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Hi @RaamZen, The par yield is the coupon rate that causes the Bond price = par value. Usually, the bond is assumed to provide semi-annual coupons. If the coupon rate is c per annum, then c/2 is the coupon rate every six months. Using the zero spot rates above, the value of the bond is equal to...

What a small world we live in, Brian. One thing I can say about Blythe Masters was that she was very approachable and helpful. I remember asking her if she would send me her booklet on Credit Derivatives which she promptly did. Thanks for the info on ABS CDO's.....interesting and informative:)...

In addition to ratings being bought, audits are also bought! Talking about doing internal credit ratings, doesn't Basel II recommend internal ratings and this is superseded by Basel III which reverts to external ratings. Correct me if I am wrong on that... Did you know that Blythe Masters at JP...

Hi Brian, That is very interesting information. It is the game of just passing the buck and the buck never stops! When I was working at Bankers Trust (now part of Deutsche bank), they had sold inverse floaters to P&G and Orange County. It was not as though the clients were not aware of the...

Thanks for the star Nicole - appreciate it:) Jayanthi

Hi Nicole, The link for the student forum on page 57 (old page number), page 55 (new page number) in the PQ set for Tuckman Chapter 4: One Factor Risk-Metrics and Hedges is missing. Would be grateful if you would fix it:) Thanks! Jayanthi

Hi @DTu, The prices of money market instruments are sometimes quoted using a discount rate. An example is the T-bills in the US. If the price of a 91-day T-bill is quoted as 8, this means that the rate of interest earned is 8% of the face value per 360 days. Suppose that the face value = $100...

Hi @DTu, I am just hazarding a guess here: (1) In the absence of storage costs and income, the forward price of a commodity that is an investment asset (gold and silver) is given by: F(0) = S(0)*e^rT This is the same as for a non-dividend paying stock where the cost of carry is also r...

Thanks a lot, David - appreciate it - glad to be of help:) Jayanthi

Thanks for the star, Nicole - appreciate it:) Jayanthi

Hi @Yuchao and @Deepak Chitnis, You are right in that David has forgotten to give the coupon years. However, I did go to his Answer in the student forum and found that the coupons of $4.5 were paid on April 1st 2015 and October 1st 2015. Using the Bond worksheet in the TI BA II Plus Financial...

Got it....the question is on Page 37 of Allen's Study Notes. I get the same answer as David and Deepak. Just wanted to add that the 9 years is Modified Duration, which is a measure of the yield based interest rate sensitivity of the bond. In the case of a Zero coupon bond under continuous...

Hi @Deepak Chitnis, Could you please tell me which Question @Tania Pereira is referring to? I looked up the Study Notes and PQ set but it is not there. Thanks a tonne:)

Hi Nicole/David, The link blog article with the best concrete example i could find (above) is not working. The second link is also not working. I would be grateful if you would set them right:) Thanks! Jayanthi

Thanks Nicole - appreciate it:) Jayanthi

Hi Nicole, Thanks a tonne - could you please email me the $15 Amazon gift card - appreciate it:) Jayanthi

Hi Nicole, Sorry about this - It so happens that there are a lot of student forum links not available in the original Tuckman's PQ set. Thanks for posting the above thread:) I had no option... Jayanthi

Thanks for the star Nicole - appreciate it:) Jayanthi

Thanks Nicole for the star - appreciate it:) Jayanthi

Hi @Deepak Chitnis and @S666, There are two interpretations that follow from your formula for Adjusted R-Square below: Adjusted R-Square is computed using the formula 1-((1-R^2)*(N-1)/(N-k-1)). (1) When the number of observations (N) is small and the number of predictors (k) is large, there...