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Hi Aleksander, May I know how can I derive R = 10.42%? Many thanks!

Also I have a question from Hull as such: The 6month and 1 year zero rates are both 10% per annum. For a bond that has a life of 18 months and pays a coupon of 8% per annum (with semiannual payments and one having just been made). the yield is 10.4% per annum.All rates are quoted with...

Hi David, Is spot rate always equals to zero rate? I'm looking at question 158.2 and 158.3 in P1.T3. Markets & Products: Hull Chapters 4, 5 and 6. For question 158.3, shouldn't it be Par yield = [1 + 1*exp(-0.05*2.0)]*2/3.80710 instead of [1 - 1*exp(-0.05*2.0)]*2/3.80710? I'm confused by...

Got it. Thanks both!

Hi David, Should VaR be calculated as σ√T OR σ÷√T? Thanks

Hi David, For question 118.3, why do we subtract 32 with 4 instead of 1?When do we subtract with 1 and 4? variance = df/(df-2). In this case, df = 32 - 4 = 28 Thanks!

Hi David, Real quick. Why do we divide by 10 for question 112.1? Many thanks!

And so I was reading this news: http://www.bloomberg.com/news/2013-02-01/occ-said-to-admit-it-missed-jpmorgan-var-change-in-senate-probe.html The snippet of this news to note is ... "Workers inadvertently used the sum of two numbers instead of the average in calculating VaR, which represents...

Thanks! The graph is explains well.

Hi David, For answer 27.3, why do we " Long 300% Asset and short 200% (weight = -200%) Asset B" ? Thanks

Thank you!

Also how do we differentiate between which part is debt and which part is equity? Because I am afraid I'll be confused when it comes to the actual exam.

Hi David, For question 44.1, from the excel sheet answer, why is the value of debt 50% ($1000) and 50% ($800)? Shouldn't the debt be $1000 regardless for the beginning ofthe year? Thanks!

Thanks!

thanks david. How about question 10.1c? Why is Notional not able to aggregate?

Hi David, For P1.T1.Jorion Chapter 1, question 7ii), how can we derive the $12,620 for continuous return = LN[($12,620 + $12,000)/12,000] = 71.9%? Also you mentioned ".. please note: a geometric return which discounts 1/2 variance is also fine, alternative answer!" How do calculate the...

thanks shakti. a m&a executioner exp is more relevant to m&a transaction processor I guess?

Hi folks Need some real world advice. How do I get myself into a credit risk position? How relevant is M&A experience beneficial to credit risk or is it beneficial? I am seeing some M&A positions but they are all very different forms of M&A. Some are doing analysis on M&A while others are...

Hi I am still confused between Normal Contango, Normal Backwardation, Contango and Backwardation. Is it that For normal Contango, The current spot price is less than future price and the spot will rise up to the future? For normal Backwardation, The current future price is less than...

Thank you David!