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GARP.FRM.PQ.P1 FMP
what is the concept of 4 1/2 over here? n i am not able to calculate it- N@garg
- Post #7
- Forum: P1.T3. Financial Markets & Products (30%)
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GARP.FRM.PQ.P1 FMP
You are asked to find the price of the US Treasury note. The following table gives the prices of two out of three US Treasury notes for settlement on August 30, 2012. All three notes will mature exactly one year later on August 30, 2013. Assume annual coupon payments and that all three bonds...- N@garg
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- Replies: 13
- Forum: P1.T3. Financial Markets & Products (30%)
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VaR
At present the shares of Microsoft Corp. Trade at USD 50. The monthly risk neutral probability of the price increasing by USD 5 is 40% and the risk neutral probability of the price decreasing by USD 5 is 60%. You are required to find out the mean and Standard deviation of the price of Microsoft...- N@garg
- Thread
- Replies: 6
- Forum: P1.T4. Valuation & Risk Models (30%)
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Loss severity
Hi can you help me understand how banks tie Loss Severity distributions to macroeconomic scenarios? Off the top of my head this can be accomplished in two different manners. A) a move along the loss severity curve and B) a shifting of the loss severity curve. Are there any universally accepted...- N@garg
- Thread
- Replies: 0
- Forum: P2.T7. Operational Risk & ERM (25%)
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How banks tie Loss Severity distributions to macroeconomic scenarios? Are there any universally...
How banks tie Loss Severity distributions to macroeconomic scenarios? Are there any universally accepted approaches.- N@garg
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