Search results

HI @Mezzala95 only temporary, they are in currently review ...

Hi @GavinInsight See below from our notes (page 5), although maybe we could do a better job introducing displacement, as it is a key ingredient in time series (I don't see where GARP's source even introduces it, rather preferring to make the introduction implicit via the lag operator.). To me...

Hi @Irishman I don't see the context of that statement (what is the source, please?), but there is here a superficial level and a sophisticated level that is instructive. Superficially, yes , your logic is correct. Say the riskfree (US T-bond) yield is 3.0% and a risky bond's yield is 5.0%. In a...

Hi @Amierul It's Sunday and I still have another 8 hour workday so I don't want to get too far into the weeds of some other provider's questions, but briefly: that solution does look correct to me. As before, my only gripe is the notation, where I think, given the question, the notation should...

Hi @HHo0951 Yea, I think it's already explained in the thread, to my satisfaction anyway. As I wrote, it's my opinion that(new emphasis mine).... My additional evidence (aside from the coherent profit/loss narrative, is that here is Meissner is the first version of his book (with footnote 10)...

HI @Amierul I can drop this into our Bayes learning XLS if you want to see it dynamically illustrated (let me know?), but I don't see unusual conventions here. It's multi-state because, while you can summarize the typical textbook situation in a 2*2 probability, here you need a 2*3 matrix: two...

Hi @mc123456 Those are my placeholders indeed. GARP so grossly overassigned Malz (like Gregory) that much of it isn't testable, but I have tasked myself to populate them. The most relevant of the three instances where I have "<< to be detailed in next major revision >>" on pages 41-43 is...

Hi Camille (@bollengc ) Good question. You are correct that "nothing happen if the exposure amount is smaller than the threshold" but in the following sense: if you and myself enter into a CSA with a threshold (using the second of example) of $100, then if their zero initial margin, neither of...

Learning objectives: Define and describe financial assets. Define short-selling and calculate the net profit of a short sale of a dividend-paying stock. Describe the differences between forward and futures contracts and explain the relationship between forward and spot prices. Calculate the...

Hi Camille (@bollengc ) I appreciate your attention to detail! As confirmed by your spreadsheet, the minor typo in my spreadsheet is: Where I have "Prob (X < k) over M units" it should be "Prob (X ≤ k) over M units" To answer your first question (and confirm the difference), my XLS uses...

Learning objectives: Estimate VaR using a historical simulation approach. Estimate VaR using a parametric approach for both normal and lognormal return distributions. Estimate the expected shortfall given profit and loss (P/L) or return data. Questions: 22.1.1. Peter has collected the daily...

Hi @Amierul What is the exact difference that you perceive? My only criticism of the above text is the first sentence: "excess kurtosis" is (trivial) adjusted kurtosis that substracts 3, such that excess kurtosis = kurtosis - 3. While there are esoteric reasons to work with the excess kurtosis...

Hi @DenisAmbrosov I was chatting with my colleague Richie who raised an excellent point (and question). We edited the X-axis from the (source Hull, as you know) "Quantity Transacted" to "Quantity Held," although my author on this is super smart and may have had a reason. Hull's text is I'm...

Hi @oxanag I think there are two aspects to this. The first is the normal distribution's symmetry that you must know for the exam. The second will be GARP's responsibility. See snapshot below, from GARP's P1 practice paper. GARP lately has only been providing the left size of the distribution...

Hi @DenisAmbrosov I love thoughtful questions like this. For me, the decreasing bid (as a function of quantity) is also intuitive because I can reference the natural ability to seek "volume discounts": I'm willing to buy (bid) 100 shares at $20.00, but if you want me to buy 1,000 shares, then I...

Hi @ptf Thank you truly for that realistic (i.e., Bloomberg, trading desk!) and informative feedback. I happen to be currently updating the Tuckman notes (including an OAS model) and I will try to get this into my XLS update. A few thoughts: As a practical matter, we (an FRM EPP) can't vary the...

Hi @Amierul Mutually exclusive events cannot be independent, they must be dependent. Our independence rule is that P(A∩B) = P(A)*P(B), but when the events are mutually exclusive the probability that both occur is zero, P(A∩B) = 0. I'm a big fan of the contrapositive (see...

Learning objectives: Describe and compare different attributes of means of payment. Describe the risks faced by the banking sector as e-money adoption increases and identify means of mitigating those risks. Explain reasons for and characteristics contributing to rapid global adoption of e-money...

Hi Camille (@bollengc ) I hear you re: removing the formula but it's in GARP's notes so I've tagged the note for some improvement explanation (the extra work GARP creates for us, yay!). So both formulas are okay, if we understand how to use the first one in percentage terms, to your point. Using...

Hi @tinacheung128 pre and post-multiply simply refer to matrix (aka, dot product) multiplication; although there are probably many better illustrations of matrix multiplication, the wikipedia entry is decent at https://en.wikipedia.org/wiki/Dot_product We have two vectors and a matrix. The...