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@Detective that's clever, and sure a high compound frequency will approximation continuous, but I feel like that would be an bad habit to get into, seems much better to get comfortable with ln(.) and exp(.) and translations back/forth from/to discrete, if only b/c continuous compounding can be...

Hi @isagasta Right, good point, but to my knowledge the BA II+ bond worksheet (and the calculator's TVM) and inherently, necessarily discrete such that translation to/from continuous is necessarily a manual affair .... I totally understand your want of such functionality but I don't think it's...

Hi @Sixcarbs as I check our internal project manager, Yes, you are correct, currently no video for P4.R31 Schroeck and no PQ for T4.R32. Hull. Thanks,

Sorry @Nicole Seaman I originally referenced you only because James did not indicate the source Question, so I wanted to make you aware it was 409.3. With respect to edit/correction: there is no correction to be made. Rather, he made a suggestion I have noted but nothing to change currently. Thanks,

okay right thank you for clarification

Hi @JamesVU2000 (cc @Nicole Seaman this looks like quiz version of 409.3 @ https://forum.bionicturtle.com/threads/p1-t1-409-board-responsibilities-levered-beta-and-capm.7902/ ) You just mean you'd like to see something like "8.0% is the market's excess return" as a helper step? I agree that's...

Hi @Sixcarbs I'm always open to new possibilities and that's super clever, but I don't see how: it's true the short straddle experiences losses on both sides of the profit/payoff diagram, but such payoffs neverthess would be (should be) translated into a distribution of gains/losses where the...

Hi @goodyhi11 I agree with @Nicole Seaman that a reference to the actual Q&A/example would be helpful, if only because it would be wrong. First, please do note that either Z = 1.65 or 1.96 refers to a normal distribution, as you may already know. But I like to remind folks that value at risk...

Hi @Sixcarbs Good morning! Yes, agreed, the tricky part is the "mass centering" (as the interpolation is straightforward linear interpolation; you may notice on the left side of the exhibit above, I show how the incorrect 2.73%, which at the time was raised by a reference to Kaplan's study note...

Hi @Merlinius You don't need to apologize, but thank you! But I do I apologize for mis-interpreting your post. Aside from that, as you can tell (if you read the memo I sent to GARP's Board etc) I absolutely agree with the substance of your comment. Even if there are only a few cases where the...

Hi @Sixcarbs and @Detective We've previously grappled with this at some length, see https://forum.bionicturtle.com/threads/calculating-revised-var-hybrid-approach.9857/post-51656 i.e., My view is is captured in the XLS and includes: The "mass centering" is a bit difficult to grok but logical...

Hi @Harshit Chawla As basis risk cannot be eliminated, I do not think the hedger can be certain to expect a future basis. Put another way, basis risk is the fact that there always exists the possibility of unexpected basis strengthening/weakening, which is the deviation of realized basis from...

Thank you @Sixcarbs me neither thrilled with it, and I think you are clearly right to focus on the subadditivity Hi @bollinez123 glad you found another interpretation. I just wanted to formally explicate about how, I think, the BIS 19 only appears to be different due to the direction switch...

@Merlinius I do understand but I do think "nobody understands these parts" is not fair to us (BT) as a general statement. I hear what you are saying, but these scaled alphas are one of a few specific areas where I haven't been able to somehow compel an understanding. For a wide majority of P2...

Hi @Sixcarbs and @Detective The Monotonicity property of coherence has been a challenge to interpret but I happen to agree with Detective's interpretation. Please note there is a thread over here at https://forum.bionicturtle.com/threads/coherent-risk-measure-monotonicity.8214/ where I propose...

Good catch @tattoo ! @Nicole Seaman our (multivariate) regression formula near the top of page 45, which is highlighted in light blue, is incorrect and should instead read as below (i.e., to match the formula on the Ch 7 sheet of the R14 XLS workbook):

cc @Nicole Seaman (who knows better than me about status of mocks)

@Nicole Seaman can we contact Lisa P @ GARP and ask "How exactly are the modified alphas calculated in the final column of Grinold's Table 14-1?" (We've asked GARP before but not Lisa ...) @Merlinius I (we) need more help from GARP on this Chapter (feedback I've given them multiple times). I...

Yes, agreed @Merlinius Apologies, but thank you for the attention to detail. @Nicole Seaman This formula (i.e., 14.10 in the source) should be as Merlinius shows it: with a dot/bullet operator instead of the second subtraction. Thank you!

Hi @Kanyarabi I realize Bonferroni Test is the Appendix 7.1 of S&W but you can safely skip it: to my knowledge, it has never appeared on an FRM syllabus, LO, practice exam, or even (based on feedback) an actual exam! Hope that helps,