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Sure no problem @ABSMOGHE Yes you are correct about scaling volatility/VaR under i.i.d. but please note that the monthly simulation (the lower panel) in your screenshot above is a month-by-month simulation (i.e., one month at a time). It could be altered to simulate in two month intervals (where...

Hi @Gareth For the portfolio variance, where covariance matrix is given by cov(x * x) = Σ(x*x) because it must be square with diagonal equal to variances and let's say weights/exposures are given by column vector w(x * 1), what I do in my XLS is: Post-multiply: Σx = Σ(x*x) * w(x*1) = c(x*1)...

Thank you @Flashback much appreciated!

No worries, at all. I appreciate your aren't a native English speaker. I am sorry if I misinterpreted your original postings, I always try to read carefully so maybe i did .... And by the way, among the error corrections we've submitted to GARP over the last decade, no concept cluster has...

You are free to give your opinion. And I am too, and my opinion is that your reply to my effort was not constructive (aka, lame). If you have constructive feedback, me and @Nicole Seaman (I think it's been shown) want to hear it. The unconditional/conditional/joint PD issue is challenging, and...

@Flashback I took some of my time to try and explain the concept. We can't control the exam. If you don't want help, I would appreciate if you just wouldn't ask and I'll save myself some time. I'm certainly not smarter due to your comment. If I just copy the formulas you "need to use" then...

Hi @ABSMOGHE Sure, it's not a stupid question at all. If we use =RANDBETWEEN(-2.33, 2.33) then we will get the outcome of a random continuous uniform distribution between -2.33 and 2.33; for example, a quantile near zero is just as likely as a value near 2.33 (!). But the normal is bell-shaped...

Hi @Flashback We recently discussed this here @ https://forum.bionicturtle.com/threads/p1-t3-702-life-insurance-products-and-mortality-tables-hull.10259/post-70531 in reference to Hull's (RM & FI Chapter 3) Mortality Tables, see below. The default probability analog is: The Joint (aka...

Hi @PJAYAKUMAR when you take the natural log of both sides, on the left you are taking the natural log of a summation but LN(X + Y + Z) <> LN(X + Y + Z). Rather, you are justified in distributing the LN if it were a series of products. That is, LN(X * Y * Z) = LN(X) + LN(Y) + LN*(Z); but you...

@Jaskarn I moved your question, see my response above to this question from last year. I haven't given it too much thought (forum backlog) but let me know if i can try to help further with Meissner's assertion ...

Just to clarify, I did not mean to suggest the ARAROC values are identical. As my linked example above shows, the specific ARAROC values will differ based on the approach. But they serve the exact same test and the result of the test (mathematically) must be the same because, if you'll note my...

Hi @Gareth we replicate this mapping in our XLS at https://learn.bionicturtle.com/topic/learning-spreadsheet-jorion-chapter-6/ It's essentially similar to computing a portfolio variance in matrix version (necessary when there are many positions) where (eg) the portfolio variance, σ^2(P), is a...

Hi @koga This is an example of where a forum search is productive, we have a tag = ARAROC that leads to this thread at https://forum.bionicturtle.com/threads/difference-between-raroc-and-araroc.6669/post-48140 and you can see that these two ARAROCs are identical; i.e.,

@raghav159 I don't think you have the latest (it could be their glitch. GARP's nonchalant approach to the Practice Papers has been very discouraging to many of us). They've had many errors and corrections, so maybe the error reverted. Below is my version. I don't have any other links to share...

Hi @raghav159 I think you are looking at incorrect version of the question. We supplied GARP with a correction such that the most recent version's answer is about 22 million (the practice papers have many mistakes in them; the 2018 practice paper issued three revisions and it still has...

Hi @Jerry Nwoko The volatility of 20% is being squared (notice that we "Assume the riskfree rate is 4% and the expected (overall) market return is 12% with 20% volatility."). For the beta of a portfolio with respect to the Market, β(P,M), the key formula is β(P,M) = cov(P,M)/variance(M) but...

Yes @rana.nadeem I agree! In that scenario, the (unconditional) probability-weighted average loss of the worst 4.0% = (1% * 0 ) + (3% * $10.0 * 65%) = 0.1950 which is a conditional average of 0.1950/4% = $4.875 mm. Thanks,

@CSchmidiger we do not restrict links in the solutions to practice question (@Nicole Seaman can we check those links to which Christian refers, please?). We always want the solutions to be the best they can be, thanks. (re: "then I don't really see any value added by Bionic Turtle," insert...

HI @flex The second instance is simply the cost of carry model that determines a theoretical futures price based on the current spot price, S(0): Theoretical F(0) = S(0)*exp[(r+u-y)*T)] The first instance, Theoretical F(0) = E[S(t)]*exp[(r-k)*T]. relate the same theoretical futures price...

Hi @AlexFrm see Gregory 6.5.3 below: