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Hi @gprisby and @Flashback I can see that we can do a better job in the notes explaining this (Hull does explain it, I think, but it's maybe not focused on the explicit comparison between call versus put of the American lower bound). A way to think about the European lower bond is via put call...

@Amos I really do appreciate your polite tone. Please understand, I'm here every single day answering questions, which is very time consuming, and subtracts from the time i can spend on content. We barely have enough time to handle domain-related and true logistical questions. So i just have a...

@Amos We don't make any specific timing commitments, currently we are working on new Focus Review videos. You don't need to use this forum to apply pressure. I've got way too much experience to answer the question, "Are the videos forthcoming?" (because you'll be bugging me constantly if we...

@jaivipin Agreed, answer should be "Pearson's"; e.g., Kendall's and Spearman are both ordinal (rank) correlation measures, so even if the language's intent is misleading (e.g., it the meaning were somehow that she "wants to incorporate outliers without too much sensitivity [sic?]" , the...

Hi @FlorenceCC You hopefully noticed that we are just following Tuckman's example in Chapter 5(I replicated in my XLS @ https://learn.bionicturtle.com/topic/learning-spreadsheet-tuckman-chapter-5/, there is some slight rounding differences). We closely follow Tuckman's presentation, although I...

@Vaishnevi good question, but no, in order to predict A conditional on B, E(A|B), in the regression we do not need to assume, nor do we require, that either variable is normal. This is so stringent a requirement. Now, the linear regression model does make several assumptions, but none that...

spent all morning in the forum catching up. Need to write practice questions and prep video, back tomorrow. Have a good Sunday!

@Vaishnevi Yes, sure totally! I read yours as a simple application of the univariate regression. I solved it with (simple) univariate regression, relying on the property that the OLS must pass through {E(A), E(B)} to solve for the intercept, such that using the regression we can say that...

I've been in the forum all morning, I need to record a video now. I will check back tomorrow AM (Sunday) to respond to new questions. Have a good weekend!

@agattik I agree, both symbols are R(i). It's a mistake; we'll report to publisher/Bodie (cc: @Nicole Seaman ) and update here if/when we get feedback.

Thank you @Matthew Graves @Jaskarn Below I copied (i) the relevant section from Jorion and (ii) the explanation by Carol Alexander: Jorion, VaR 3rd Edition: Carol Alexander, MRA, Vol IV:

Hi @janicekg I think the easiest approach is to sketch the probability matrix; see below, yellow are the given assumptions (XLS is here https://www.dropbox.com/s/g3izk6tceezr25q/090518-bank-xyz.xlsx?dl=0). I hope that's helpful!

Hi @jlahuerta Dollar convexity (as the 2nd derivative) can be defined as the rate of change of dollar duration (with respect to yield). Dollar duration is the slope of the tangent line; duration divides this dollar duration by price; but it can be helpful to visualize the slope of the tangent...

Hi @flex in my option, it is not necessary to specify European/American style: in the binomial tree, if it were American with early exercise, this would be reflected in a MAX() as each node such that the delta calculation remains Δc/ΔS. Put simply, because we are given the fully specified tree...

@Franjey I don't have it handy sorry. Because you are not a paid subscriber, can i kindly ask you to address questions to the general audience rather than me directly (I am totally willing to help where I can, or where it benefits FRM candidates, but my priority must be paying subscribers. I...

Hi @agattik Excellent feedback, I agree! (although I think you mean the final could be "e.g., 8.81 %^2" ?). In regard to the arbitrage solution, I think the problem is that it's not obvious that the given return assumptions--i.e., the E[R(i)] = 10%, 12% and 14%--are given as gross returns...

Hi @agattik Thank you, the source question (P1.T2.203) is here at https://forum.bionicturtle.com/threads/p1-t2-203-skew-and-kurtosis-stock-watson.5223/ ... But is the qualifier "same variance" a sufficient condition? Yes, that would imply peakedness for a student's distribution, but the question...

Hi @JulioFRM Yes, I absolutely agree, it is our mistake in the text. Thank you, and apologies for any confusion. It can be difficult to follow Stulz's confusing language, but it should read: "If the debt is risky, the debt holders are not guaranteed full repayment of the principal amount, F...

I'm back from 3-day vacation to Austin, TX ... catching up on forum questions!

HI @Suky Dehal i moved your question to this FAQ. The exam will not provide formulas; at most, you can expect the normal Z reference/lookup tables. Also, see GARP FAQ https://www.garp.org/#!/frm/frequently-asked-questions (emphasis below is mine) I will just add: notice how GARP's 2018...