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Hi Forwards/futures are linear functions of stock price i mean F=SP*exp(rT) where r and T are constants. Therefore Var of Forward/Future=delta*Var of stock(SP) where delta for future is exp(rT), and for forward is 1. So you just multiply delta of futures position with SP to get the futures Var...

Hi Yes Jayanthi Brian is right exam shall not have ambigous question,the calculated answer whether u round the tstat or not will alwaud lie nrarer to the correct option. For exam always go for the answer most nearer to the calculaed value u got after approximations or not. There might be only...

Hi jayanthi, We need to find x such that 1.303x+(1-x).681=1.2658=>.622x=.5848=>x=.94 Pr(t>1.2658)~.94*.10+.06*.25=.094+.015=.109=10.9% closer to actual answer .i hv taken weighted avg of area in terms of how far or close actual t value 1.2658 is from critical values. In general in such way u can...

Hi Dirty price is the present value of all future cash flows including coupons. (Pv at t=0 be x then pv at t=T at y% is (1+y)^T*x)To arrive dirty price 270 days in future we compound dirty price today and pv of coupon at next settlement at 10% the yield which shall give the pv of all the future...

Hi I think there is a typo here (lets David confirm) the dirty price of 112.028 is for Sep 30 not July 30 so we subtract the AI from the last settlement date of Aug 4 til today Sep 30 of 6.5*(57/184) to get the clean price on Sep 30. Dirty price for july 30 would be clean price of 110+ AI of...

Yes Jayanthi As sample size<30 we should use t distribution instead of normal. I think David has used approximated value rounded to 1 place of decimal. Using exact value of 1.059 instead of 1 approx. One,(.03-Rf)=.6%*1.059= .6354% or Rf=3-.6354%=2.3646%~2.365~2.37~2.4% what David got, u got the...

Jayan Hi Yes p value is associated with the test stat not CL 99%. If chistat=56 then we find p value associated and compare it with .01 if p value<.01 then we reject null otherwise if pval>.01 fail to rej null. In this case of 56 yes p val>.01 so we fail to reject null. If p value is declining...

Hi jayanthi I have said it for a fixed CL. I mean at 99% CL as the p value decrease the chances of rejection increases, the CL are fixed its not varying. Likeeise at 95% CL if you decrease p value the chnces of rej increase. At 99% Cl if calc chistat were s.t. Greater than 57.32 than...

Hi Jayanthi p value gives you the max. Confidence level CL at which u can safely reject the null. Find the corresponding CL say x% for chi test stat 56 here and 35 df in the chi sq table ,then p value is 1- x%. For egin above chi square test for sample variance chi-test stat=56 the area under...

Hi As far as i can get for Gpd to be valid the plot must be linear above the threshold i can see the threshold as u=0 beyound which the graph is linear. So i think relevent threshold should be 0. Thanks

Visit: https://forum.bionicturtle.com/threads/4-major-types-of-risk.6078/#post-19026 Basel is more concerned with regulations and is not same as business risk. Thanks

Hi Consider n up jumps and 12-n down jumps to get 121 in the end Therefore,100*(1.1)^n*(1/1.1)^12-n=121=>1.1^(2n-12)=1.1^2=>2n-12=2=>2n=14=>n=7 therefore there are 7 up and 12-7=5 down jumps. Binomial probability is 12C7(.6)^7*(.4)^5=22.69% Thanks

Yes Brian OLs estimators are always biased its like saying R^2 is not always 100%. The assumption of Mra that error terms should be not coorelated with independent vars is far from reality as u said there is bound to be some correlation of error term with the ind vars,this correlation is...

Hi I ignore .36 just to simplify calculations. Otherwise as i calculated the exact answer for y is .3. What is your source of the question, can you please give complete details of the problem, where u get it from?please elaborate Thanks

Let x be joint default pribabiluty,pd of other bond be y .05=x-.01*y/sqrt(.01*.99)*sqrt(y(1-y)) x=.0006 .05*.0995*sqrt(y(1-y)=.0006-.01y .000024*y(1-y)=.00000036+.0001y^2-.000012y 24y(1-y)=.36+100y^2-12y 124y^2-36y=.36 ignore .36,y=36/124=.29 Ccheck for beta^2 by putting these values. Such...

Hi The formulas Var(x+y) and Var(aX+bY) are almost the same except u put a=b=1 in the latter formula to get Var(x+y). Its difgerence in the form only otherwise both are technically the same both are calculating sum of variances of two variables only difference being that one has a and b...

Yes Brian yes a negative skew means more chance of losses for an investment everything else equal. Skew = summation(x-mean)^3/vol^3 a negative value would suggest more deviation (x-mean)of x valuess on the left side of the mean as compared to the right side. If we assume x values are...

Hi You can interpret relation b/w beta b and std dev sd of potfolio, Let d be sd of mkt and r be correlation b/w mkt and portfolio, b=r*(sd/d) so your 4*4 matrix leds to 4 cases 1)b high and sd low, this can happen when r is high which indicates when mkt and portfolio follow almost same returns...

Hi You can do one thing, study the readings unchanged of 2014 in 2015.And wait for the new readings until BT publish the new material for 2015,you can read those new readings once they arrive. You have to refer to changes and additions in 2015 frm curriculum as compared to 2014. Thanks

Hi Yes BT is updating existing material to align with updating readings of frm. The revised material.shall be available.soon please chec it out with David and Nicole when they shall be uploading new updated material for 2015. May be its right on the way Thanks