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Hi Brian (@BCott8744 ) Yes, I agree, it's a mistake. In our study notes, when I replicated the 2020 version of the default probability tables, I noticed a couple of similar errors, but the updated version appears to contain more mistakes. I agree with you about the mistaken 2.45%, but it's also...

Thank you truly Camille (@bollengc ). @Randy Moon I think that thread explains exactly the reconciliation you seek ....

Learning objectives: Identify and describe Type I and Type II errors in the context of a backtesting process. Explain the need to consider conditional coverage in the backtesting framework. Describe the Basel rules for backtesting. Questions: 22.8.1. Bertha is analyzing the application of the...

HI @aarora89 No excel on the FRM. Sorry. Not yet, anyway. There should be, right? It would be 10x more realistic!

Learning objectives: Explain how dividends and stock splits can impact the terms of a stock option. Describe the application of commissions, margin requirements, and exercise procedures to exchange-traded options and explain the trading characteristics of these options. Define and describe...

I agree with you @Torsleno and that's helpful! @carloscm Here is the page 4 snippet (new emphasis mine): And I think maybe this is the other reference: The sentence of ours, "economic capital is a fully loaded measure of risk that includes both expected loss (EL) and unexpected loss (UL)"...

Hi Sahil (@Sahil1999 ) Glad it helped! I think you are close but I would rephrase as follows: "because we are measuring the dispersion of a sample mean (i.e., a sample of 40 funds), we look at the standard error which is a standard deviation but rather than for a single fund, it's a standard...

Hi @Sahil1999 Because it's asking about a sample mean, so central limit theorem (CLT) applies. Each fund has μ = 8.0% with σ =10.0%. For a single fund, the Pr(R > 10%) = 1 - Pr[R < (10% - 8.0%)/10%)] = 1 - Pr (Z ≤ 0.20) = 1 - 57.93% = 42.07%. But if we ask about the mean of a sample of 40 such...

HI @littleberries Per Jorion 7.5.2. (and in particular formula 7.38 and its surrounding discussion), we can identify the optimal portfolio (aka, portfolio with the highest Sharpe ratio) by finding the mix (aka, allocation between components, in this case the allocation between Energy and...

In 2021, Bionic Turtle took a big step to become part of the CeriFi family. I’m proud to report that the experience has exceeded my expectations. I believe our customers would agree that we continue to live our values: integrity great learner outcomes curiosity in pursuit of subject matter...

Hi @littleberries Thank you for spotting the typo! I assume you are referring to the incorrect 0.391. So while I'm here on the typo, I just rephrased/edited the solution to 21.6.1. This is testing Jorion's 7.5.1. (From Risk Measurement to Risk Management). The concept is easier than the math...

Hi @enjofaes the comment by @Torsleno is correct and relevant. Please see my explainer here at https://forum.bionicturtle.com/threads/l1-t4-7-dynamic-delta-hedging.4839/ i.e., So I like to refer to "position Greek". A put option always has a negative percentage (per option) delta but if we...

Hi @Randy Moon Good question. I checked and Choudhry (the source author) does say "grow loan books" although I do agree with you that this language choice presents as potentially confusing. "Loan books" connotes the banking book (e.g., loan assets carried with an intention to hold) as opposed to...

HI @Phoenixchui Good question. Candidly, I don't know exactly what we meant by the addition (+), it looks like a mistake to me. Consequently, we have just edited that section as follows: Current: Replace with:

Hi Peter (@PAnto2185 ) Here is the CF XLS at https://www.dropbox.com/s/40yh7a69vl8bus5/CF-22-03-21.xlsx?dl=0 (also attached). FYI, I am making excellent progress on updated learning spreadsheets, including this one in T3, so we'll be making those (i.e., updated versions) available as soon as...

Hi Pedro, Peak gamma is near ATM so those statements are only approximately true, and realistically peak gamma tends to be when the option is slightly OTM. The formula is [N'(d1)*exp(-qT)]/[S*σ*sqrt(T)] where N'(d1) is the normal pdf, so a few factors "infect this bias." For one thing, d1 <> 0...

Hi @daunte Welcome! I moved your question to this thread (copy @Nicole Seaman ) We don't hold anything back, except for the most recent questions (which await until they finish a batch), all of the questions go to the Study Planner. Thanks,

Hi @Phoenixchui In a futures/forward contract the delivery price is often denoted with "K", and sometimes called a strike price, because it is analogous to an option's strike price: both a fixed, predetermined prices to buy/sell the underlying asset (one is an obligation, the other is...

Geez thank you @Rblc I need to review what we did for De Laurentis because I'm on record that it's my "least favorite" reading in P2, and maybe ever selected for the FRM. I think it's a total mess. To be candid, I'm still hoping to improve those notes when we have time, given the source is so...

Learning objectives: Explain the importance and challenges of extreme values in risk management. Describe extreme value theory (EVT) and its use in risk management. Describe the peaks-over-threshold (POT) approach. Questions: 22.5.1. The board has asked Claire to develop risk estimates at very...