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I agree @RajivBoolell it is fascinating to observe the ascendent influence of a single reddit crowd at https://www.reddit.com/r/wallstreetbets/. Who would have thought?! There have been so many takes but I liked what Tracy Alloway wrote in her Monday's Five Things You Need to Know (at...

Hi @jag.aus.gvs It's a good question, and, the answer is: no, the dividend yield's compound frequency does not need to match the riskfree rate's compound frequency. We've found the cost of carry (COC) model to be almost infinitely flexible: not only is mixing compound frequencies fine, but we...

@SheOlya Thank you, I wish I could see it, because frankly the design sounds like it might be sub-optimal. We're all accustomed to populating resume/CV listings with Job Description fields. But those tend to be factual atomic itemizations of duties/responsibilities. (I did something like this...

@SheOlya Thank you, that is helpful (please forgive, I got my FRM in 2004 so i don't even recall what we did then ...). I can see now how the job description is conveyed: like a resume with fields (place, manager, position, dates, description). Can I ask you, in addition to this series-of-jobs...

@SheOlya that is interesting, I think you have a great point. Here is the FAQ: GARP is often not very precise. Can you tell me, is the work description one single freeform field? Or, is it a form with several fields? Because if the average sentence is 20 words, let's be 2x conservative and say...

Hi @Prajakta A I moved your question to a pre-existing thread on this question (actually there are multiple conversations about this recycled question; e.g., tag = https://forum.bionicturtle.com/tags/garp20-p2-24/). In super brief, you are correct that the quantile for a normal 95.0% VaR will...

Hi @thanhtam92 here are the basic VaR mapping spreadsheets (from the second learning workbook, T5-MR4_to_MR5-Jorion): https://www.dropbox.com/s/m82nv69wx3ld6vx/var-mapping.xlsx?dl=0 The second sheet ("VaR-Mapping-Jorion-Ch-11" is the one that I start with for all of the Fixed Income VaR...

Hi @RajivBoolell I agree it has low testability, based on forum feedback. Also, it's a very hard LO to query; it's one of those LOs that I wish they would modify: the use of "calculate" makes a great learning demand on the candidate, yet to my knowledge, this LO has never been directly tested (I...

Hi @Harshita Phalor GARP's solution is correct. See below. You need to apply the formula for a two-asset portfolio variance; e.g., given ρ = 0.15, when the weight is 0.40 in Asset 1, then: Portfolio variance, σ^2 = w1^2*σ1^2 + w2^2*σ2^2 + 2*w1*w2*σ1*σ2*ρ, in this case: σ^2 = 0.40^2*0.12^2 +...

That's a terrific, intuitive explanation @ktrathen ! See below. I extended the same plot with the same simples assumptions (i.e., σ = 1.0 for but comparing zero drift in blue to μ = 0.050 in orange) and you can see how the VaR actually "breaks evens" at about 1,082 days because that's where...

Hi @jag.aus.gvs Yes, that works because it must work ;) and i think it's the only way to solve it with the calculator. If there is any doubt, see my XLS (screenshot below) https://www.dropbox.com/s/1a78rvjv697wgjq/011221-hull-4-27.xlsx?dl=0 Thanks,

Hi @PXshang and @Karl53 Thank you for liking the video. Here is the spreadsheet that I used: https://www.dropbox.com/s/6ntw9u96da05alb/012919-BSM1-lognormal-property.xlsx?dl=0 (same file is also attached). Thank you!

Hi @jaskaran Happy New Year, to you also! :) The proper VaR is called an absolute VaR and is given by (Dowd's): aVaR = -Δt*μ + sqrt(Δt)*σ*z(α). This is the so-called normal VaR (i.e., arithmetic returns are normally distributed) rather than the "lognormal VaR," so this is our most common version...

Hi @yatin_93 Yes, because a nominal (aka, stated) interest rate--which btw is the default format for both input and output (we never say the bond's yield is 3.5% per six month period; we always say the bond's yield is 7.0% per annum)--is just the annualized expression of an interest rate...

HI @yatin_93 the general form for converting a discrete rate into a continuous rate, when k is the the number of periods per year (e.g., with semi-annual compounding k = 2), is given by R_c = k*ln(1 + R_k/k) where discrete rate R_k is translated into its equivalent continuous rate R_c...

HI @boom Yes, indeed, thank you. Fixed above. I love it when people care about the details :)

Hi @sohinichowdhury I don't like to be responsible for the new GARP source material because it contains many errors, but equation 7.11 looks correct to me, albeit not helpful most of the time. Rather, please notice on the next page it shows the substitutions that lead to equation 7.13 and 7.14...

Hi @yatin_93 (It's no trouble, I'm here to help as much as I can!) The 2nd scenario is actually the common use case. Here is a classic example from the CME group, see https://www.cmegroup.com/trading/agricultural/self-study-guide-to-hedging-with-grain-and-oilseed-futures-and-options.html...

@yatin_93 Nope, looks correct. Our note is below. The first scenario is similar to the case of Metallgesellshaft T1.Ch 9) whose exposure was long-term fixed-price contracts to deliver oil. The second scenario is the classic commodity producer who plans to sell in the future at the prevailing...

Hi @WoodsFRM See below, my simple XLS is here https://www.dropbox.com/s/72ux3k27hwlu4in/120920-2st-variance.xlsx?dl=0 looks like the exact variance is about 0.003024 such that the volatility is sqrt(0.003024) = 5.4991%, or about 5.5%. Re easier way, I tend to prefer σ^2(R) = E(R^2) - [E(R)]^2...