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Hi @greaterman Because the first term captures the outcome of a default (i.e., triggering a payout by the protection seller according to the CDS) and GARP (following Hull's approach) assumes "defaults can occur only halfway through the year and that the accrued premium is paid immediately after...

If you are interested, I generated these regression diagnostics in R (#rstats) with simulated datasets. If you would like to learn more about data science, or just see the typical regression summary output, see the following links: Question 20.20.2 (m-fold cross-validation): Strictly speaking...

Hi @nc27 Thank you for the kind wishes! I moved your question to this thread. You are asking about the discount factors that are implied by the par yield (where the par yields are shocked per key rate shift technique). You'll see above at...

Hi @MagnusNordzell UL and ULC (aka, risk contribution) have always been included in P1.T4. See below, comparison of 2019 LOs to 2020 LOs (emphasis mine). Let's be real about what's going on: GARP just switched the author and the new author presents a slightly different approach to retrieve...

@nicholasjalonso The exam will provide a normal Z lookup table; e.g., https://forum.bionicturtle.com/threads/probability-function.23487/#post-83885 or https://forum.bionicturtle.com/threads/p1-t2-707-gaussian-copula-hull.10198/post-83854

(@Michael Yoon consolidating your different posts on essentially the same topic to one location here. I'll reply when I have time ... Thanks, David)

If you are interested, I generated these regressions in R (#rstats) from actual datasets, either simulated or retrieved externally. Isn't this more realistic, yes?! If you would like to learn more about data science, or just see the typical regression summary output, see the following links: As...

@Apm Not up yet. This prior version includes the EL/UL sheets that will go into the T4.Ch 6 when we publish it: https://www.dropbox.com/s/nmgie2o536d6gpq/T6.d_2012_XLS_bundle_Stulz_Ong_v1010.xlsx?dl=0 i.e., for your reference until we publish the new one. I hope it's helpful,

Hi @Pooja kataria you can't retrieve these on the TI BA II+ calculator, you need to use the Z lookup table which is provided. See below, this is from GARP Part 1 Practice Paper. I've pointed in red (top square) where indicates: Pr(Z < -2.33) = 0.0099 which is the nearest to 1.0%, so this...

For those who might be interested, I generated these regressions in R (#rstats) from actual datasets, either simulated or retrieved externally. Isn't this more realistic, yes?! If you would like to learn more about data science, or just see the typical regression summary output, see the...

Hi @dtammerz That's actually a good question. In my experience, there is no meaningful difference between "calculate" or "compute" ... @Nicole Seaman I suppose we could ask our contact (I think she owes a response on the prior question we submitted ....)

@sailakshmisuresh in haste I wrote 20 and 30 but fixed it above so that it consistently refers to n = 30. It's a sample mean, as the sample mean is a random variable that estimates (aka, as an estimator) the population mean. Each different sample will produce a different sample mean and its...

Hi @MilaBank There are typos in almost every exercise that I've recreated in the TS chapter, and there is one here but it's minor. The 2.564 comes from page 180: So GARP's 10.18 reads "The 2018Q4 value of real GDP growth is RGDPG(T-1) = 2.793" but I think it just should read "The 2018Q3 value...

Hi @jihan w I moved your question to this thread. Please note that S*(1+r)^t is simply the discrete version of its continuous analog S(0)*exp(rT). The only difference is compound frequency. The FRM expects you to be able to use either, and go back and forth, as evidenced by Practice Paper...

Indeed, I was having fun with the comparison so I ended up making some enhancements (which I will incorporate into a future version of the study notes). See below. In this revision, instead of overlapping the series, I simply use a single series but switch the weight in the middle (at 100 steps...

HI @sailakshmisuresh I'm glad you shared this (where is it in the GARP curriculum? I looked super quickly in Chapter 3 but I didn't see it ...) because it illustrates a common confusion. Let me write an alternative question: "Suppose that over the last twenty days (n = 30) we observed an...

Hi @Puneeta I don't see the mathematical context but I am not aware of a restriction that the default correlation must be non-negative. Your first mention seems to refer to a default pairwise correlation matrix; e.g., if you have 10 credits in a portfolio, that's a 10*10 matrix where the...

Hi @daisypm When pricing forward or futures, in general we do not really distinguish: the cost of carry prices (COC) the theoretical forward or theoretical futures price. In this way, the COC formula--i.e., F(O) = S(0)*exp[(r + u - q - y)*T]--typically refers to either. This follows Hull and is...

@pascalb We don't, Merton's distance to default (DD) is still similar to BSM d2 (d1 and d2 look very similar ...) but with an actual drift rather than Rf rate, please see https://forum.bionicturtle.com/threads/merton-model-a-summary-of-the-issues.5646/

Hi @Jaskarn See image below where I simulate each of AR(1) and MA(1) with a low param versus a high param; in this case, my low param is 0.050 and my high param is 0.950. Notice how the AR(1) with high param exhibits "persistence" (in blue) versus the low param AR(1). However, in the case of the...