Search results

Hi Anyone preparing for the cfa exam might find this link useful. While preparing for the exam one needs to know the authentic sources to study from. This is the list of the books that are useful for the preparation towards the exam.. 1. Fabozzi: For fixed income securities covered in the exam...

hi. 1. we use dirty price to get the bond value in intermittent period between the coupon dates so that dirty price is quoted price+ accrued interest. But the forward values are calculated based on quoted prices because we have already accounted for the coupon interest earned in future in our...

hi assign weights based on volatility of returns means that assign more weights to high volatile returns ans less weight to low volatile returns thus we assume that Var is adjusted high during volatile period and down during low volatile period so adjust returns accordingly, yes by new...

http://forum.bionicturtle.com/threads/compound-options.6515/#post-21167 thanks

Hi, in regime switching there is a paradigm shift in the volatility that is low volatile period is entirely replaced by high volatile period. One of the possible solution is that weight high volatile periods highly and low volatile returns less to take into account the high risk involved in high...

Filtered historical simulation is historical simulation+bootstrapping+conditional volatility From population of returns we take out a sample of returns and assign weights to these returns based on volatility of returns(estimate from GARCH or other technique) we rewrite return=Original...

s=b*f+c is the regression of spot price s against its futures price f let b be the number of futures contracts needed to hedge against any price movement. taking co-variance on both sides, Cov(s,f)=Cov(b*f+c,f) =>Cov(s,f)=Cov(b*f,f)=b*Cov(f,f) =>b=Cov(s,f)/Cov(f,f)=>b=Cov(s,f)/var(f) is the...

HI, CDs are certificates of deposites are the deposit made by customer to bank a interest rate for a short term like 1 yr in this case and are not any cuurrency derivatives. Lending means the bank is raising $200mn at 8% and 0 pound at 11% so that the bank raises net liability of 200+0=$200mn...

Hi CFA is a very old and well recognized exam with knowledge built over years ina systematic and well organised way where as FRM has been there for ten odd years and what the point of comparing these two exams content wise. CFA is bound to be well organised in regard to its topics coverage and...

Hi, I would add my opinions to your question whats the point of even publishing Qs may be BT would like add extra knowledge and concepts that would led you help better understand other exam related concepts and topics. It might not be seen obvious at first sight but yes it does help reinforce...

Hi(my personal thinking don't take it as final say but be speculative to my answer) Synthetic position can be created by taking position in appropriate number of futures contracts. Instead of owning the commodity directly the trader takes position in the futures of the underlying commodity...

hi The (-mean+sigma*z)*V is the absolute Var we are finding whats the greatest possible loss possible for the portfolio given the expected return mean for the portfolio. Now since the greatest possible loss is sigma*z*V which is the relative var. But when we look in absolute terms the total loss...

Hi according to my knowledge(otherwise David knows better) There is separate revision for covering LCR under basel III. After credit crisis of 2008 the Basel has lad provision to face this liquidity risk via LCR and NSFR through a capital of high quality liquid assets as cash,central banks...

yes they are required LCR to meet short term liquidity needs and NSFR for meeting longer term liquidity risk they are covered most extensively under Basel III. Besides covering capital requirement basel III also lays down additional requirement of meeting liquidity risk through meting a minimum...

First one is similar to second one, probability of selecting correct answer out of 5 option=1/5=.2 Prob(pass)=1-Prob(not passing) Prob(pass)=1-Prob(0 or 1 or 2 correct answers out of 10 questions) Prob(pass)=1-(10C0*.2^0*.8^10+10C1*.2^1*.8^9+10C2*.2^2*.8^8)...

oops, :)I have calculated the continuously compound rate for 6 month only, and not 1 yr continuously compound rate. Lets assume the 1 yr continuously compound rate be z then, 96 = 6*exp(-.089*.5)+ 106*exp(-z) 96 = 6*.9564+ 106*exp(-z) 96 = 5.738+ 106*exp(-z) 90.2616=106*exp(-z)...

hi for quarterly compounding to convert from discrete rate to continuous use formula, Rc=4*ln(1+R/4) visit https://forum.bionicturtle.com/threads/important-concepts-for-the-frm-exam.7034/#post-24685 after 6 months the $1 amount fetch me, (1+9%/4)^2=e^(r)T where r is continuously compounded rate...

hi david, as per your assumption of N(d1)=N(d2) for calculating impact of r on call price i asssumes that N(d1)=N(d2) diiferentiating both sides w.r.t the variable r d/drN(d1)=d/drN(d2)=>dd1/dr*N'(d1)=dd2/dr*N'(d2) now since dd1/dr=dd2/dr=[sqrt(T)/vol] =>N'(d1)=N'(d2) =e^(-.5*d1^2)...

little bit of calculus to prove this, value of call , c(r)=S(0)*N(d1) - K*exp(-rT)*N(d2) where call option value is the function of r that is the interest rate differentiating w.r.t r above equation, dc/d(r)=d/dr[S(0)*N(d1) - K*exp(-rT)*N(d2)] dc/d(r)=d/dr[S(0)*N(d1)] - K*d/dr[exp(-rT)*N(d2)]...

Yeah, Qualitatively As the definition of information ratio suggests that how much information manager know besides the benchmark that he could use to generate those extra returns relative to the benchmark and with what risk he can generate those extra returns that is the volatility of those...