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@Amos you don't need to repost (ie, in repetition) over the weekend. Please see https://forum.bionicturtle.com/threads/labor-day-weekend-no-forum-support-back-on-tuesday.14096/ We haven't prioritized the De Laurentis because it is such a flawed reading (mistakes galore), but I think we have it...

Hi @Giulia.Geraci (X - µ)/σ = (92% - 10%)/50% = 1.64, where 50% = sqrt(30%^2 + 40%^2 + 0), as ρ=0

Hello members and visitors, FYI, Nicole is on vacation and I am going to enjoy the 3-day weekend in Austin, Texas (the coolest city in the US!). Although most weekends I try to give support in the forum, it will not be the case this weekend (Sat - Monday, Sep 1st to 3rd). Both @Nicole Seaman...

Hi @Jose (@jjtejadad ) In general we are using (and any good FRM question should use) what Tuckman calls the basis point volatility, and further it most cases it should be expressed in per annum terms (aka, annual basis point volatility). That means if we consider the classic duration...

Hi @SP_SK This can be very challenging but the way that I look at it is: the 2nd version (10th edition) is the more natural. I think it is more natural to start with that valuation: in this second version, we are given the discount rates (OIS rates; 3.8%, 4.3% ...) which will discount future net...

Hi @SP_SK Yes, that is possibly confusing. I copied each below. In the 9th edition, he is bootstrapping to infer a 2-year zero rate (notice the "R") but in the 10th edition, emphasis mine, notice he provides the 2-year (OIS) zero rate and goes on to solve for the 2-year forward rate (notice...

Hi @evelyn.peng Yes I agree that the inclusion of "expected loss" is bad, when describing the steps to retrieve the unexpected loss contribution (ULC). It looks like we picked this up from Schroeck page 179, notice his first bullet (EL is implicted indirectly, but that's very confusing!): I am...

Learning objectives: Describe and calculate LVaR using .... the exogenous spread approach. Describe endogenous price approaches to LVaR, their motivation and limitations, and calculate the elasticity-based liquidity adjustment to VaR. Describe liquidity at risk (LaR) and compare it to LVaR and...

Learning objectives: Compute the value of a European option using the Black-Scholes-Merton model on a non-dividend-paying stock. Compute the value of a warrant and identify the complications involving the valuation of warrants. Define implied volatilities and describe how to compute implied...

Hi @Dips Welcome! Your #firstpost coincides with the first workday of our new upgraded forum, yipee! :cool: Yes, that's yet another confusing element. It's really because the DV01 is denoted like duration: e.g., DV01 TIPS of +0.075 refers to "when the yield drops by 1 bps, the bond price...

@Franjey I have not seen it before; this pattern is not something you'd seen on the FRM. It actually raises a few questions for me. I don't know, I'd guess 3,000 also but, either I'm missing something (very possible) or the question is naive: is asks us to minimize the "price of my production"...

@rnavarro yes understood, but (per the link I shared to you) does it still also contain numerator ... µT + 1/2 σ(a)^2; i.e., missing the final "T"? I don't know how many of the many errors we've contributed have been corrected

HI @rnavarro Yes, see above https://forum.bionicturtle.com/threads/errors-found-in-study-notes-p2-t6-credit-risk.8759/post-54812 You are correct, but also the source text contains an error too (actually the source De Laurentis is a mess of errors)

Hi @emilioalzamora1 Your version just parses out dr = Δr = r(t+1) - r(t). Tuckman's formulas gives the expected change in the short-term rate, which in constructing the tree, does need to get added to the current short term rate. So these look identical to me. Your attached could be re-arranged...

Hi @AlexFrm Yes, in my view statement (B) is true. The theory is non-trivial (link to member discussion below, but I copied a relevant section). A big reason this has caused confusion is that Ang's beta is not the CAPM beta as readers seem to expect. The point of "The higher the expected payoff...

Thank you @JulioFRM It's mostly a forum upgrade (and behind the scenes update) but I'm really happy with the improvements which, you may have noticed, includes a faster forum :) This work was done by our fantastic partner Ivan at https://www.todo10.com/en/

Hi @Franjey Thank you for the kind words, I agree with @PRITHWI and @gprisby. See below, i also get a margin call of MXN 1,010,000 to be paid (note that's a margin call in Pesos of course, per the specification of the maintenance margin and the general USDMXN format assumed here where MXN is the...