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Hi jayanti Please refer to the AIMs in the frm study guide of the exam. If these topics are to be tested in the exam, these would be mentioned in the Aims of the guide. Thanks

Hi Nicole, Please let it accrue. Thanks

Hi df=n-k-1 where k are total independent variable of regresion. For one independent variable regression k=1 so df =n-1-1=n-2. But for tstat for a single variable hypothesis test like testing for mean is significant or not we have 0 independent variable k=0 so df=n-0-1=n-1. Just remember for...

Yes exactly. Thanks

Hi The theorem states that following assumptions of linear regression and linearity,ols(ordinary least square method which results in regression equation)estimates of regression coefficients are BLUE(best linear unbiased estimators) among all available methods of finding estimates of regression...

Hi As i can infer from David notes the main books that are important in context of frm part I are: 1)Quantitative Analysis: Miller,Stock&Watson 2)Foundations:Elton,Stulz 3)Products & Markets:John.C.Hull 4)Valuation:John.C.Hull,Tuckman Thanks

Hi iid means variable which is normally distributed(same distribution) with constant variance and mean(identical) and with no autocorrelation(independent). If over a small time interval t1 the variance is sigma^2 then since variance is constant the variance over successive equal time interval t2...

Hi the above two are one and the same representation of the formula FWD rate = (R2 T2 - R1 T 1 ) / (T2 - T1) can be rewriten as FWD rate = (R2 T2 - R1 T 1 +R2T1-R2T1) / (T2 - T1) =(R2(T2-T1)+R2T1-R1T1)/T2-T1=R2+((R2-R1)*T1/T2-T1) This is used to calculate forward rate in continous compounding...

Hi If asset returns are normal then asset prices are lognormal. Ln(S)=r where r is the asset return and S is asset price ,if log of something like asset prices S here is normal then that thing inside the log(asset prices) is lognormal. If r is normally distributed in above equation then S is...

jayanti conclusions can be cross checked using tstatistic Tstat(BDR)=0.485-0/2.61=.1858 is nowhere near sweetspot of 3 so we cant reject null and conclude BD is not statistically different from 0. tstat(Age)=-.09-0/.311=.289<<3 suggests Age is also not statisticalky different from 0. Also does...

Hi Its not a one tailed test we are not testing fot anything greater to here we are estimating population mean price change from a sample mean price change through a confidence interval. Its a two tailed because we estimate population mean price change by including both sides of sample mean. And...

Hi Yes I agree with brian use the formula as given in notes and not rely on other sources. Adj R^2=[n-1/n-k-1]*(1-R^2) is the formula u should use not the above one where its n-k instead of n-k-1 in the denominator. See to know more about adj R^2...

Hi No i dont have. Thanks

Hi b/s is balance sheet. Thanks

Hi Synthetic Cdos is a product of structured finance. Cdos have only debt as a collateral like b/s debt can be sold off through tranches so that b/s debt position can be improved and debt acts as a collateral for investors of tranches. But if we talk of strucured finance things become complex...

Hi Yes this fees in itself is not determinist/is ambigous but the dividend yield which is known at the time of valuing the forward is ddeterministic.COC lay emphasis on just the dividend yield not the fees because dividend are more deterministic, i think they do not include the fees. In the end...

Hi IR=alpha/stdDev(alpha) so stdDev(alpha)=alpha/IR calculate stdDev of alpha using this equation where IR and alpha are given. Thanks

Jayanti Page 16 SQRT(?SSR/n-2) i think ? Should not come its right to saySQRT(SSR/n-2) because SSR=sigma(ei(square)) And yes RSS should be replaced with SSR. Thanks

Hi Traking error is stdDev(Rp-Rb) which is std deviation of portfolio returns wrt the benchmark. That is how much returns deviate from the benchmark on average is measured by tracking error. If benchmark is CAPM then Rb=Rf+beta*(ER(m)-Rf) where beta is beta of portfolio. Rp with systematic risk...

Hi We are taking variance as a proxy for risk in this one factor model,and also is assumed by the question. Firm return a(T)=beta*m+sqrt(1-beta^2)*e..as David cited above is a 1factor model Take variance on both sides of equation We get Var(a(T))=beta^2*Var(m)+(1-beta^2)*Var(e) Or firm total...