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Hi @anind1 If we are crafting a two-sided confidence interval, the normal deviate is 1.96 because 2.5% of the area lies in each (up and down) rejection region, per NORM.S.INV(0.975) = 1.96. If we want a one-sided CI, then we can use 1.645. Here is an example of a one-sided confidence interval...

Hi @evelyn.peng there was a version (and i think it's pretty good b/c I re-built his tables), but it's in the pipeline for 2020 update. There is just a lot to update this year, we're working as hard as we can. Thanks,

@donovan_lawhorn everything is being updated, as usual this time of year, please see https://forum.bionicturtle.com/threads/please-read-publishing-process-for-2020.22937/

HI @amit.m.sharma Good questions. Who knows (the answer to your question and many others). I'm on record, multiple times, in public and privately to GARP in regard to my disapproval of the lack of transparency with respect to the actual exams, including construction and evaluation. My takeway is...

Thank you @Nicole Seaman Thank makes perfect sense: @david_candlish didn't mention that the motivation was to be subscribed (under the original purchase) thru Nov 2020. I fully agree with all of your points, of course :)

Thank you for the insight @Peterfcm ! @david_candlish Re: " I was advised to wait until November had passed before starting" -- Who told you that? It doesn't sound like us ... We are currently updating all of the materials, to reflect the 2020 syllabus. See...

Hi @Kaori Ide FYI, I'll be focused on updating content (extremely time consuming) thru end of year so won't be very active in forum support until after the New Year, especially if the topic is repetitive. We already have a lot of discussion on p values (search "p-value") and please do take a...

Hi @DRoche We are going through an update for 2020 syllabus. The Note is down temporarily. This is the necessarily the case for everybody as the syllabus churns at this time of year. The source reading is still applicable, but we (including me) need to focus on the updates. Thank you for your...

Yes, you are correct, but the OP refers to GARP's mistake in a prior practice paper where they used the formula Quoted Bond Price / CF to determine the CTD. It's easy to show this is often gives the wrong result. He is referring to their formula as below:

Hi @czet Yes, of course they will be re-uploaded, but the exam was just administered and we are going through everything to update for 2020, as usual. There is always some such period at this point in the year when the syllabus changes. Thank you!

@Tim_Rogers What Detective said. To me, the issue is firstly ethical: you know you are using pirated material. Fact. It's our question, I personally wrote it. The reason Nicole knew this instantly is that it's in our Mock and we write exactly 100.00% of our own questions. Unlike your source...

@Tim_Rogers If the question is so simple, why do you need to follow-up? Actually, that's not my question. My question is the same as Nicole's: where you did you get this stolen material?

Hi @vybnji The fallacy in your comparison is that you assume X = 22 under both VaRs, right!? Consider this as-if historical sequence that I have (sincerely in Excel) randomly generated (µ = 10, σ = 30%) over the past 10 trading days, using =-µ+NORM.S.INV(RAND())*σ: (0.09), (0.41), 0.57, 0.19...

@Detective is correct :) In addition to @Nicole Seaman 's links, you can see ~5:00 minute mark at my video on HS VaR https://forum.bionicturtle.com/threads/t4-02-historical-simulation-hs-var-basic-and-age-weighted.22461/ where the example is 100 days. Dowd retrieves the 6th worst per (1 - C)*k +...

Hi @queliujin The calculator cannot be used to find the inverse cumulative binomial, which is the Excel function =BINOM.INV(n = 68 trials, p = 6/68, alpha = 0.95) = 10 defaults is the 0.95 quantile ... It returns the smallest quantile (in this case, 10 defaults) for which the cumulative binomial...

Hi @queliujin I agree with @ami126 who is using the normal approximation to the binomial, but it's surprising close, given that it doesn't pass the n*p > 10 and n*(1-p) > 10 test; i.e., n*p is only 6 such that the rule of thumb suggests probably too much skew ... but it still worked basically...

Hi @hateeque It's generally okay conditional on a short-term option. I am practicing my rstats today, so I generated this plot that shows the delta for an at-the-money call option, but the term only goes up to 12 weeks. After three months, delta tends to round nearer to 0.6. Thanks

Hi @FutureFRM The difference is that GARP 2018 P1.34 question is not showing a table of current (as of Aug 9, 2014) spot rates; it's easy to get this wrong because we are accustomed to seeing a table (term structure) of spot rates, but the exhibit in 34 is not a term structure of spot rates...

HI @Tim_Rogers The exp(rt) compounds forward over T years with continuous compounding. For example, $10.00 today (i.e., present value) grows at 7.0% per annum with continuous compounding over five (5) years to a future value of 10*exp(0.07*5) = $14.19. This is just the continuous analog to, say...

@Sixcarbs thank you. Finally, somebody acknowledges the role of colors in my work. Colors are my life :) If somebody took away my colors, I could not do this work!