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Hi Active/active compares managers e.g we need to compare value managers we should do so by comparing their performance relative to the value index i.e how much they deviate by weights or composition based on information they have on economy thus metric active/active comes handy here to compare...

CDS compression here means we are reducing the net long or short position to any particular reference entity,this means net exposure is reduced to counterparty with whom these cds contracts are entered into. The reduction of exposure reduces counterparty risk. E.g. A enters into cds with net...

Currency Wars by James Rickards. Cinas huge Trade surpluses with US with competitive exports is haunting the US economy so in turn Fed devalues the dollar and exports inflation to China so that Chinas exports to US becomes more pricy and hence less competitive. Its one of major currency War...

The Cartoon Guide to Statistics by Woolcott smith and Larry Gonick. Author explains data collection,data description and data analysis. Data is collected through various sampling techniques as random sampling,stratified sampling and cluster sampling etc. Once collected the data is described...

The Cartoon Guide to Calculus by Larry Gonick. Its the best book for someone wants to learn basics and improve calculus. Larry being a great cartoonist is able to explain basic concepts of calculus using cartoons. How a simple idea of zeno of no motion at any instant of time transfers to idea of...

Fooled by Randomness by Nassim Nicholas Taleb. Randomness or pure chance can cause stock price to rise by some one or two percent,such fluctuations can be due to pure randomness rather than major economic factors. Two managers A and B ,A outperformed B by a percent does not mean A is better than...

Models Behaving Badly by Emanuel Derman. Models are a representation of reality not the reality itself. While models needs both explaination and verification theories like of Maxwells,Newtons or Einsteins dont need any explaination but only verification. Theories of physics are well explained as...

The Black Swan by Nasim Nicholas Taleb. Black swan is an financial event categorised by rarity,uncertainty and great impact like the recent credit crisis or dot com buuble if 2000. Black swans indicates our iver reliance on platonic models but theory platonified is far from reality which leds to...

My life as a Quant by Emanual Derman. The book starts with Derman's early career ,after graduation in south africa he moves to US and enroll in phd theoretical physics program of Columbia university. His post doc positions at oxford to analyse the particles formed in high energy collisions and...

Ascent of money is the best book on history of finance i read so far. How bond markets developed centuries before as an aid to raise money for warfare. The legend of Rotschild who was a lord in bond markets. The development of stock markets dates back to raise of money for formation of...

Yes there can be sheet specifying just the formulas rather than covering concepts with them also. I would recommand a sheet with just the formulas and 1 or 2 lines attached with them. Thanks

Hi Just went through David notes on operational risk &integrated mgmt 2013 and here are some revelations that might help you,major topics covered 1) Liquidity risk discussed by Malz and Dowd 2) Basel framework for operational risk and operational risk as model risk and erm 3)Basel II and III Thanks

Hi Not many people i think go for both cfa and frm,therefore there would be not many there would be say 10% of frm l1 candidates who would have qualification as passed all three or two cfa levels. I think your chances are bright given that only few would be of your qualification giving the frm...

Hi Yes you are right these 50% should be real world probabilities may be a typo. Other possibility is that tuckman assumes 50% as risk neutral probabilities while doing valuation. Thanks

Hi After seeing the plots i think threshold could be anywhere between 1.5 to 2 beyond which graph seems more linear. You can choose corresponding shape for eg i pick threshold 1.5 then shape is about .1 and scale is about .4 take the mean value for corresponding threshold. Thanks

http://www.vwrm.rw.fau.de/Comparison_2011-10-24_WP.pdf Thanks

Hi Standardized approach is a methodology that do not recognize diversification why it does not recognize it because methodology is such that method do not recognise it thats it just like BIA. d is incorrect Irb for ctedit risk just assess ratings of credit assets internally,risk weight...

d2=d1-sigma*root(T) so a positive variance in d1 is converted to negative variance in d2. N(d2) gives the probability of asset finishing in the money so N(-d2) gives probability of asset finishing OTM or to assess probability of default,N(d1) is delta of option is term comes with Asset value in...

Best of luck to all tommorrow. Tips https://forum.bionicturtle.com/posts/32286/ Thanks

Hi There is difference when discrete rate is used Ft=1.25*(1.04/1.07)=1.215~1.22(rounding) Using continoues compounding Ft=1.25*exp(.04-.07)=1.213~1.21 Here continous compounded rates are given,not discrete rates. It should have been mentioned in the question that rates are continous or...