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Nicole, Please also give credit for the help i (recieved Winners in both)gave on procyclical effect https://forum.bionicturtle.com/threads/pro-cyclical-effects-of-var-based-capital-measures.8205/#post-33048 and stud. T distribution...

Jayanthi, Yes Brian is right but he has forgotten to put () creating confusion. Its X^(ab)=(X^a)^b not( X^)a^b this how paranthesis goes. X and a shall be together in (). E.g1024= 2^10= 2^(2*5)= (2^2)^5=(4)^5=1024=(2^5)^2=32^2=1024. Yours shall become( 2^)2^5=2^32 which is wrong. Thanks

Jayanthi u got .95% incorrect it shud be .95/95% not .95%. U shud find .95* log(148.41) then find antilog of obtained value. Thanks

Hi, exp(.95%*5)=(exp(5))^.95%=148.41^.95% Let x= 148.41^.95% Take log both sudes log(x)=log(148.41^.95% )=.95%log148.41 Find rhs from log table, Then find antilog of obtained rhs value,then this antilog is x the value we yearned for. Thanks

Hi Integration of f(x)=x/8-.75=x^2/16-.75x+c Integrstion of x/8=x^2/16 Integration of .75 which is a constant is .75x its from here that .75x is cmg from(integration of any constant c is cx). After intgrn of any function we add a constant c. Differentiate above integration of f(x) we again get...

Jayanti, Its Expected Shortfall the exp. Mean Loss once the loss exceed the Var.you shall study it. Thanks

Hi jayanthi, P[Constant|Passage] x P[Passage] is same as Joint P(Passage, Constant) so how u getting different answers? Gpd,gev and evt are distributions used to categorize the tail. These are distributions if the data points of the tail. These are useful to find Var and ES with their...

Hi, Raise both sides of Equation with base as e we get, e^ 5.038% =e^(365/90* LN (1.0125)) e^ 5.038% =e^(LN (1.0125)^365/90)) e^ 5.038% =(1.0125)^365/90 here we are conpounding discrete rate if 5% over 365 days rather than 360 days.for continous rate 1 yr is 360 days(used 5%/4 i.e. 90/360...

Hi The formula Rc=m*LN(1+(Rm/m)) requires that m(both values one below Rm and other which is multipling with log factor) is same i mean in expression *5.038% = LN (1.0125)*365/90;* m assumes two different values 4(360/90) and 365/90 so the result 5.038% is not consistent with result that...

Hi Nicole, Please let it accrue. Thanks

Hi, Its known that when sample size is large,n>=30 the t distribution is approx to normal.So the sample size is nothing but size of the sample itself.its equivalent to saying sampling distribution of 30 samples of size 1 obsevation, so its one and the same as distribution of 30 observations.null...

Hi Brian, Yes it does seems counteintuitive. But yes procycle Var could increase during high growth period. We know Var=return*PortflioValue. During high Gdp period Portfolio value increases which increases the Var assuming return constant. So Var($) do seem to increases with Gdp. However i am...

Hi Brian yes i am here to give some help to David in answering queries and not an employee here. Thanks

Please refer to this, http://www.google.com/url?sa=t&source=web&cd=1&ved=0CBsQFjAA&url=http%3A%2F%2Fwww2.warwick.ac.uk%2Ffac%2Fsoc%2Fwbs%2Fsubjects%2Ffinance%2Ffof2014%2Fprogramme%2Fmaureen_ohara.pdf&ei=IGypVL_PA46KuwSsoIE4&usg=AFQjCNEhQrEWG7MBWztHDQERmz05xaa9Bw Thanks

Hi, Difference of sample variables d=x1-x2 Var(d)=var(x1)+var(x2)=81+36=117 Sd of d=sqrt(Var(d)=sqrt(117)=popln sd (assume) Std error of sample differences=pop sd/sqrt(1000+1500)=sqrt(117)/50=.21633 CI is mean of diff+/-2*Std error of d~2+/-2*Std error~2-/+.432~1.568 -2.432 which implies option...

Hi, I think u have overlooked risk free rate value E(R_m)=rf+mkt risk premium.please put this value instead of 7 try using some value of rf. Thanks

Hi, Brian yes David has covered HS in detail in sheets. I think there was bootstrap e.g when i last saw. Thanks

Hi, For any value Xi of independent variable the dependent variable value Yi is given by, Yi=bXi+c+ei where b,c are slope and intercept coeeficients if regression and ei is the error term.For varios values of Yi and Xi which are assumed to be normally distributed the error term values ei are...

Hi, Thomad when acc. To me dowd puts +-h/2 in the firmula so that h is very small ,calculating probability mass b/w these limits shall only give the pdf at q i.e. f(q),so nothing different from hull which simly uses f(q) the pdf for finding f(q). q-h/2 shall become q as h is very small. So its...

Hi, Results will be out on jan2 2015 . Visit http://www.garp.org/frm/faqs/more-faqs.aspx click link After the FRM exam. Thanks