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Hi We are given total risk or variance of 1 as its standard normal. Systematic risk is beta^2*var(m) since m~N(0,1) implies variance of m is 1 so systematic risk reduces to beta^2. Also systematic risk is given .7 times total risk/variance =.7*1=.7 since total risk / variance is 1.finally...

Hi Investment mgmt just tell u how much risk is their in your investments, we measure toyal money that you potentially can loose in your portfolio. We want to maximise return per unit of risk for portfolio we use severral.measures for these which we study therefore add positions or adjust...

Yes jayanti As dependence encompasses both linear and non linear correlations,therefore linear correlation is a specific type of dependence.Dependence is a set of {linear correlation,non linear correlation} so linear correlation being a subset of dependence set means linear correlation is a...

Hi May i put forward my 2 arguments. 1) The short seller borrows and sells it to buy it later. The dividends if any received by financial asset owner would be provided by the borrower himself otherwise from where he would get the dividend,thus the borrowing rate would be equal to dividend yield...

Yes Incremental Var for a position gives u the Var change of portfolio resulting from removing the position a from the portfolio.Simply ,Var(P+a)-Var(P) =Incremental Var, value Var of portfolio including position a, now remove position a from from portfolio and revalue portfolio P Var the...

Yes Jayanti I beg u pardon the consistency condition for covariances establishes the formula Cov(n)=lambda*Cov(n-1)+(1-lambda)*x(n-1)*y(n-1) i.e it extends the ewma for variances into covariances formula as above. @CK2015 I just mentioned wrong answer please ignore my above post. I wa just not...

Hi Jayanthi regarding your first post EWMA model is sigma(x,n)^2=lambda*sigma(x,n-1)^2+(1-lambda)*u(x,n-1)^2 where variance on day n of x is lambda(persistance factor)times variance on day n-1 plus 1-lambda times percent change i.e. return on n-1day squared. We take squared return we have...

Hi Yes CAIA do cover alternative investments which can provide enough knowledge of alternative investments which parrallels with your work ex in hedge funds as hedge funds do come under alternative investments. CAIA shall only be beneficial to you ,yes you can take your knowledge to another...

Yes Brian there is nothing much about wrong way risk that can be tested other than that you should know its basic understanding and whats its that is definition,yes the concept can be tested through several examples or real world scenarios in the exam. Thanks

Wrong way risk is Brian occurs when counterparty on one side of the Tx has exposure to other counterparty that is negatively related to its credit quality i.e. If credit quality of the counterparty decreases the exposure to other counterparty(which bears this wrong way risk) it has increases...

Hi if i can help Proper ratios could be as, 1)operating margin=operating income/net sales 2)profit margin=net income/net sales 3)debt/equity ratio 4)debt ratio=total debt/assets 5)current ratio=Curent asset/current liability 6)Asset T/o=Sales/Assets Thanks

Yes Agree with u brian :) conditional does not mean dependent only,conditional can also imply independent events but i forgot to attach the condition that P(A|B)<>P(B) with my statement that conditional imply dependence only when above inequality holds. conditional can also imply independence...

Also Jayanti whenever there are conditional probabilities b/w events are given it automatically means that events are not independent. Here event acc major event is influencing the no of male/female students events so they are dependent. Rolling two dies have ind outcomes which are ind...

Hi jayanti, Yes i mistakenly put the | sign it should be P(AB) instead of P(A|B). Yes the events are not statistically independent because P(A|B)<>P(A) which is the required condition for independence of A and B but here P(A|B)=P(AB)/P(B)<>P(A) as is observed from the following problem. Thanks

Hi P(A|B) is the joint probability of A and B occuring simultaneously that is student does the accounting major(B) and also is a male(A) so there are 100 out of total sample space 500 who are males(A) as well as wants to pursue acc major(B). So P(AB))=100/500. You can also find...

Yes jumps are stochastic are random shocks they shock prices to high levels contributing to higher vilatility,hence affects Var. Thanks

Hi Long term Var is less affected by time varying volatility as time lengthens because the time varying effects of volatility avrerages out so that the time varying volatility has its effect diminishes as time lenthgens, but spikes/jumps do not averages out over time these jumps can have...

Hi Yes agree with above Mathews discount rate is p above where discount is divided by FV while r, a variant of above discount rate, is the actual yield on the tbill where discount is divided by cash price. Discount rate does not give true yield earned therefore we divide discount by cash price...

Yes i agree with u jayanti videos should slow down a bit but u can also repeat part of video if u dont understand at first go. Its better to have high volume head phones, do a google search. Thanks

Hi happy holy, Yes answer C seems inaccurate from the actual result u r getting,but questions asks for the nearest estimate of the Var not the exact please read the q again Thanks