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source wikipedia If p=exp[ -exp -(x-u/sigma) ] or p=e^(-e^-z) or ln p=ln[e^(-e^-z)] or ln p=-e^-z lne=-e^-z check if something is wrong with exp[ -exp (x-u/sigma) ] as given in Dowd which contrasts with formula given above. check if there is some sign missing or that there is some special case...

Yeah Garp does provide plenty of space in the Question paper itself to solve the Questions. They dont provide extra worksheets as far as my exam experience is concerned. There is ample of space to work through the question. thanks

Yes thanks to you David and Suzanne for the prizes. I hope my responses are really helpful to forum. Hope to continue doing this in the future as well. Yeah i am very much happy receiving prizes now i can read more interesting books:) thanks

Caramel its just for the bringing out the understanding sake of it that Var of long call= Var of short call however i have not tried to put emphasis on whether the formula i used for deriving it is essential. But in the end as you said there may be this error in this formula which i think in the...

Hi, Please don't get confused here. The recovery rate always given by 1-LGD so that the amount that is recoverable after the default by the bond. Now whether the bond id issued by the firm or it is an investment by the firm does not matter. What matters is that what is the recovery rate of the...

Suppose there are 3 orders out of which ways in which 2 First orders can occur is, F NF F, F F NF, NF F F =3 ways or 3C2 Now 2 first orders can occur in any of the above ways than net probability of 2 orders occurring is summation of above, prob. of (F NF F, F F NF, NF F F)= prob.(F NF F)+...

VaR1-VaR2<sqrt(VaR1^2+VaR2^2) (VaR1-VaR2)^2<(VaR1^2+VaR2^2) VaR1^2+VaR2^2-2*VaR1*VaR2<VaR1^2+VaR2^2 -2*VaR1*VaR2<0 given that VaR1,VaR2>0 so its true that VaR1-VaR2<sqrt(VaR1^2+VaR2^2) or that VaRp(rho=-1)<VaRp(rho=0). the sentence should not be a general one but the author wants to highlight a...

Futures price, F0=E(St) Also that F0=S0 as the futures price at any time is equal to spot price otherwise an arbitrage is possible. which implies that E(St)=S0 now due to contango and backwardation phenomenon, (incl. cost of carry, convenience yield, interest cost etc.) we can say...

Treasury bond prices are quoted 32nds of a dollar. In normal market conventions the normal fractions used is 1/32 for treasury secs . Decimal point separates the full dollar portion of price from the 32nds of a dollar.So we need to divide by 32. thanks

please refer: http://forum.bionicturtle.com/threads/new-level-1-part-1-formula-summary-sheet-available.4902/#post-18116 thanks

We are Comparing columns here: Here F crit<F and this suggests that we reject the null hypothesis that blood type for African Americans is same across the three regions.p value<.05 so that at 95% CL we conclude that the blood type for African Americans is different across the three regions...

I don't know if that is a contributing factor. Under equity swap the equity leg provides the return on the equity. And if the borrowing costs of equity is considered as a factor is uncertain. i dont think borrowing costs are considered if at all. thanks

John C Hull's OF&OD covers the general basic concepts of risk very well. I think its an excellent book for practitioners as well as students. If someone wants to solidify his or her concepts in risk than one should choose this particular book.As far as covering market risk areas one can look to...

The libor leg has a spread which reflects credit risk as there is some credit risk involved in equity swap i.e. as equity risk is an agreement there is some risk that other part that has floating rate obligation might not be able to fulfill the obligation which is nothing but the credit risk...

1) VaR of stock= z*sigma*Price*position delta=d(optionprice)/d(stockprice) or delta*d( stockprice )=d( optionprice ) taking VaR on both sides; delta*d(VaR of stock)=d(VaR of option) delta*(VaR of stock)=(VaR of option) from derivation above its clear that we don't require option price to...

long call P/O= max(S-X,0) short call P/O= premium-max(S-X,0)=premium-long call P/O...A from A, vol(short call)=-vol(long call)...1 also from A above, delta(short call P/O)=-delta(long call P/O)...2 1 => Value*vol(short call)=- Value*vol(long call)....3 Multiply 2 and 3 => delta(short...

Equity Swap is used to exchange cash flows between equities and equity indexes. They can be floating for equity or equity for equity leg. .For e.g. Mr X holds stocks of company C and sees negative fall in returns of the stock in future but does not want to loose the voting rights in the company...

check this file. I have made some changes.

Oh i misread the term distributions.If the above are distributions to be compared (i mistook for comparing means)than we have to use chi-square test as explained by aadityafrm It s the chi square test that finds the goodness of fit for each of the data of each region and compares if...