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Agreed, I can't find this question, we really like to know the source (especially when it's this busy)

@msun09 Last year I sent an email to our GARP contact (Bill) specifically about the optional readings; I wrote: His reply was: ... in case this is helpful. I still believe the Basel reading assignments are too loose; i.e., it's hard for candidates to know exactly how much time to spend and...

@MisterDiaz It's a good point, while I don't think I've elsewhere taken the time to find/do the proof, I do observe that YES the lognormal VaR is always less than the normal VaR. It's easy to test; e.g., there is an XLS I did for GARP's P2.Q2 at...

Hi @DescartesTyapa Please see page 115-166 (Appendix A: Derivation of Unexpected Loss) in Ong: https://forum.bionicturtle.com/resources/internal-credit-risk-models-by-michael-ong.131/ (it was previously assigned in the FRM)

Hi @alvaro Yes, agreed, but $1,043.76*1.025^(90/180) = $1,056.7 does already implement FV = PV * (1 + r/m)^(m x n) in this way: FV = PV * (1 + 5.0%/2)^(2 * 0.25), except we are working with days and a day count convention of 30/360 such that the 90/180 is the fraction of a semi-annual period...

Hi Karen, Yes only 7 (pretty sure we've posted that above somewhere). Current Issues swaps out entirely each year (e.g., too fast for GARP to write any PQ themselves). I wrote the set T9.800 to .807 to give coverage. IMO, there's no utility is GTD or video unless/until GARP adds some stability...

I agree with 0.20 (see below), I entered it into my XLS. @emilioalzamora1 isn't the Spearman's also + 0.20? (here is my xls https://www.dropbox.com/s/24bcqkmyqw9o3nm/0512-kendall.xlsx?dl=0)

Hi @gaurav_ry if it were a correlation matrix, then the diagonals must be 1.0. But this is a covariance matrix such that covariance (A,A) = variance (A) = 0.010 and covariance (B, B) = variance (B) = 0.040. So σ(A) = 10.0% and σ(B) = 20.0%. Thanks!

Yes @theapplecrispguy certainly ... thank you again!

Hi @theapplecrispguy Sorry that's just a mistake in the text (cc @Nicole Seaman ) We've somehow inserted all those extra words uggh :(, it should be much simpler: So it should read: "The Macaulay duration of the bond is the sum of the time-weighted present values ($477.7621) divided by the...

Hi @Galaxy Yes, I agree with your (1) and (2) but question: how is your third different from your (1) exactly? i.e., if "active active return divided by tracking error" assumes TE = σ(active return), then it's the same as (1), yes? If TE is something different, then I agree it's a 3rd, but i'm...

Hi @trivzca I moved your question to this thread. Below is a screenshot of Malz Table 8.1 (here is the XLS https://www.dropbox.com/s/dikemuzlk0tdcp2/0511-malz-cvar.xlsx?dl=0) Similar to the above discussion, I retrieved 28 defaults with =BINOM.INV(1000, 0.02, 0.950) = 28.0, which is an inverse...

@Karim_B Sweet, thank you for taking the time (which i realize is limited) to help make improvements!

Excellent @Nicole Seaman ! Yes @FlorenceCC I don't perceive the sentence to be confusing futures with options. In general, derivatives (including but not limited to options and futures) provide leverage simply because they are not funded. This is thematic. If you buy a stock the old-fashioned...

Awesome thank you @emilioalzamora1 (if you mean this book https://amzn.to/2ws1Enp then I've got it in my library, i just am not in the habit of referring to it). Thanks!

@emilioalzamora1 okay awesome thank you! And the CFA paper is helpful! And the F. Lhabitant's book, too. If I understand you, you are saying that not only is notationally IR = α/TE okay to use, it is probably the most common notation. But we just want to be mindful of what they each represent...

Right @emilioalzamora1 but help me out here, if you don't mind. We've worked hard to get GARP to be consistent (if nothing else so candidates know what to expect). As reflected finally in their in their practice question 2012.P1.3 (and wherever it recycles), the agreement is ratio-consistency by...

Hi @lRRAngle Forwards sort of do have a strike price (aka, delivery price). In both cases (options and forwards), the strike/delivery is a predetermined, fixed price to be paid in the future. I suppose there are a few ways to think about it; e.g., delta is a ultimate first partial derivative...

@maga If we use Gregory's (2nd edition) notation, then the essential relationship is: Risky value = RF value - bCVA = Rf value - (CVA - DVA). It's important to be really careful who is who, but I'll assume "we are the Bank" and we are calculating the Risky value for ourselves such that our...

@Karim_B I sincerely appreciate that only because I have been sending them several issues per week (my backlog seems to exceed their capacity; my memo recommendations include a PM ticket system) but I think, you as a customer (not to mention an informed customer) has special weight. About De...