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hi, let i deposit 1 unit today, then from monthly compounding my deposit value after 1 yr is if r is the annual rate, (1+r/12)^12 also from continuous compounding assuming continous rate rc is in annual terms after 1 yr is, e^rc pays from both should be equal, (1+r/12)^12=1.e^rc...

hi as per my understanding formulas are: Sortino Ratio:[Return(portfolio) - Return(min. acceptable)] / Semi-Standard Deviation Information Ratio:[Return(portfolio) - Return(Benchmark)] / Tracking Error visit links:http://forum.bionicturtle.com/threads/information-ratio-definition.5554/...

As per david explaination, you can take the lowest 100th(=alpha*n=10%*1000=100) return or the 101st loss level. But i would prefer to take it as 100th lowest return(When i read the garp readings i saw the formula alpha*n as the standard level to be taken as the limit of VaR. ). TO be more...

50% is the assumed 5th worst loss that is its an example i have taken thanks

Type I error is the chance of rejecting the true sample. That is we reject the null hypothesis when its actually is true at a given level of significance. The alpha is the significance level which is the probability of committing the type I error. In the area of distribution curve the points...

In finding VaR using historical simulation this is the general method , Arrange the returns from lowest to highest over a period. if there are 100 returns over a period than the 5th worst return will be the benchmark to find the VaR at a given confidence level of 95%. That is if its -50% than...

hi, convexity= rate of change of duration w.r.t yield y, its a double derivative D1=V- - V0/V0*chg y ..duration is percent change in price wrt change in % yield D2= V0- V+/V0*chg y convexity= D1-D2/2*chg y convexity=[V- - V0/chg y]-[ V0- V+/chg y]/2V0**chg y convexity=[V- - V0]-[ V0-...

hi, long A with value 150(100+50 borrowed from B) and short B means sell B for 50 so that total portfolio position is 200 out of which wA=150/200=.75 and wB=-50/200=-.25 so that total portfolio position remains 100.[.75*200-.25*200=150-50=100] for the short position we take a negative weight so...

Some of the tips that i could have garnered from the internet research: 1. Give yourself enough time to study. 2. organize your study pace through study time tables 3. Make charts and sheets, notes 4. practice old sample exams 5. explain answers to yourself 6. take naps and breaks between your...

hi, here are some links that you would find helpful : http://forum.bionicturtle.com/threads/best-of-luck-to-everyone-exam-tips.6521/ http://forum.bionicturtle.com/threads/time-pressure-in-real-exam.6507/ http://forum.bionicturtle.com/threads/exam-details.6475/...

hi, method 1: just type 22/7 to be approximate upto 2 places of decimals. 22/7=3.14 method 2: to be just exact 103993/33102=3.141592653.. to be approximate which is the correct value of pi to 9 places of decimals.. thanks

For 5% tail than it should be 96.04-95=1.04% probability of no default in the tail region and since u need to find the no default possibility for the tail region only , hence its appropriate to consider 1.04%. thanks

hi, P=F*e^-(r+s)T =>P/F=e^-(r+s)T =>ln(P/F)=-(r+s)T =>ln(F/P)=(r+s)T =>(1/T)ln(F/P)=(r+s) s=(1/T)ln(F/P)-r where s is the function of others T,F,P,r similarly you can calculate r as a function of other params based on the same theme. thanks

hi, please check for dome typo/error in the Q solution. verify it with david. definitely sure its 96.04% instead of 1.04% thanks

hi, probability of 2 defaults=P(D)*P(D)=.02^2=.0004 =.04%(2C2(.02)^2*(.98)^0) probability of 1 defaults=P(ND)*P(D) or P(D)*P(ND) =(1-.02)*.02+(1-.02)*.02=2*.0196 =.0392=3.92%(2C1(.02)^1*(.98)^1) probability of 0 defaults=1-[probability of 2 defaults+probability of 1...

Hi there, So the case illustrates that the coffee producer promises to sell 100 pounds, on a date one year in the future, at the future spot price so the producer is effectively long in the underlying exposure so that if the spot price increase he profits and if the spot price decrease he loses...

hi there, p+S=c+Xe^(-rT) p+S-c=Xe^(-rT) e^(-rT)=p+S-c/X -rT=ln(p+S-c/X)=>rT=ln(X/p+S-c)=>r=(1/T)*ln(X/p+S-c) use ln function in the calculator find ln of X/p+S-c and divide by T the result to get the final result. to be more approximate: use ln(1+x)~1+x so that r~(1/T)*[1+(X/p+S-c)] thanks

visit the link: http://www.oenb.at/en/img/appendix_b_englisch_06122004_tcm16-23500.pdf thanks

HI THERE IAA is the internal assessment approach method used to calculate market risk VaR, so calculates market risk charge. It sully utilized the benefits of diversification thereby creating a portfolio of market securities.The diversification reduces the overall risk and therefore the var.Its...

Hi, Yes When both the parts are given on the same day you need to give part I first than you need to give the part II. That is part I followed by the part II. In terms of difficulty visit: http://forum.bionicturtle.com/threads/frm-part-2-vs-part-1.6690/ thanks