Search results

Hi, In case of var we take volatility of x ,multiply by deviate and initial value of x to get value of var dollars.analogos to it i think we should multiply vol*dev of surplus with initial total surplus value to get sar. Thanks

Hi, Current spot price=10 =>Fo=10*exp(.03+.01-.02)=10.202 and E(St)=10*exp(.07+.01-.02)=10.618 If actual firward price=Fo=>short forward For investor should buy, the future cash flow=10.618 as he holds asset which in pv terms is 10.618/exp(.07)=9.90 which shud be invested to get 10.618.we bought...

Hi, Its written that these questions are based on a sample of questions from previous frm exams,they might not be exactly the questions that appeared in the exam but are representative of them that is these practice questions are similar to exam question whereby difficulty and concept remain the...

Hi, We do the conversion -d1=1-d1 only for N(d1) so that if we know N(d1) then we can find N(-d1)=1-N(d1).for normal dist. U know that for any vatiable x N(-x)=1-N(x) as its symmetrical.doont confuse as -d1 and- d2 shall have same magnitude as d1 and d2 only their signs shall change there is no...

Hi there,if i may clarify If current exposure is say 10 then if collateral is posted say then net exposure is 10-2=8.Thus our net current exposure is reduced by the collateral value.here we are talking about current exposure not potential future exposure(u r including also in the current...

Randdom shock component is: sigma*sqrt(r)*dw = + 2.5%*SQRT(1.0%)*0.160 = + 0.040% the other one is drift component. Thanks

Tracking error is std. Deviation of (return of portfolio-return of benchmark).it measures the standard devition of portfolio returns wrt the benchmark.difference of returns are day1:34-30=4,day2: -89-(-87)=-2,day3:108-102=6,day4:70-70=0 Mean of these returns=(4-2+6+0)/4=8/4=2 Std deviatoin of...

Modified duration=%chg in pbo/chg in discount rate=(1.12/7)/.1=16 Its short position in bond because pbo is to ba paid in the future with receiving pays(coupon) Thanks.do optiin d

Hi, There is difference between normal contango and contango and also bw normal backwardation and backwardation.Do not get confused with normal.the above are four different concepts i mean there is no such technical term as inverted contango or backwardation.normal contango is not same as...

Hi, Yes its definitely worthwhile to pursue cfa after frm.While frm gives you risk as well as some general perspective of finance cfa on the other hand is a broader perspective on finance. I would say whatever you learned in frm will help you give headstart in many topics as well aa develop a...

Visit links https://forum.bionicturtle.com/threads/futures-and-normal-backwardation-contango.334/#post-1452 https://forum.bionicturtle.com/threads/forward-prices.366/#post-1554 Thanks

For negative cases this might also hold true.My logic is: trynor of i/trynor of j=betaj/betai as both betas are negative say -a and -b a,b>0 trynor of i/trynor of j=-a/-b=> trynor of i<trynor of j as a>b sharpe of i/sharpeof j= sigmaj/sigmai= betaj/betai= -a/-b=> sharpe of i<sharpeof j As...

Duration=(-1/P(6%))*[P(6+.2%)-P(6-.2%)]/[2*.2%] Duration=(-1/851.23)*[837.85-864.86]/.4% Duration=(27.01/851.23)/.4% Duration=27.01/.0034=7.9

Before David clarify in detail, I may like to answer: 1. This is different for different like currency option has volatility smile which implies that the both otm/itm options are overvalued,on the other hand for equity option with volatility smirk implies itm call and otm put are over valued...

Hi, CPR for 150 PSA just multiplies CPR rate for a 100 PSA by 1.5 till month 30 and beyond, after month 30 CPR for 150 PSA becomes constant at 6%*1.5=9%.thus entire CPR curve of 100 Psa shifts upby 1.5 times 100 Psa.thus CPR for 150 Psa will be capped at 9% not 6%. Thanks

hi, The exam will test only the assigned readings definitions of the defined risk concepts for e.g. if the assigned reading/Aim is from Jorion therefore risk concepts that will be asked in the exam will be similar to that defined in the reading anf not otherwise defined in general according to...

Hi Indirect quote is FC/DC is the foreign currency per unit of domestic currency.1.35 AUD/CAD ==> 1.35 CAD per 1.00 AUD is right wording i think. Quotes using a country's home currency as the unit currency (e.g., USD 1.35991 = EUR 1.00 in the Eurozone) are known as indirect...

sorry for the mistake:). i cant figure out the answer thanks

Hi i am not saying D is not valid but that D seems more valid than option B so B is the incorrect option. Thus B is least likely an objective. You said that providing information is valid which is covered by D is one of the objective as you mentioned but doesn't the risk exposures wording sounds...

Hi Risk exposures are what goes in to assess the risk of a unit, it contains vital information which helps in determining the risk faced by unit quantitatively in a timely manner so that task is upto the unit level only to asses risk periodically and the central level might not play that much...