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Thank you (again) @Karim_B ! @Nicole Seaman yes, as can be confirmed on page 333 of Malz (Chapter 9), Karim is correct. Thank you,

I just read them off our learning spreadsheet at https://learn.bionicturtle.com/topic/learning-spreadsheet-tuckman-chapter-7/ . I was just trying to overcome the conceptual issue. You can see the XLS for the exact calcs; also, our notes show the calculation, and Tuckman the source explains very...

Hi @Laely It's important to understand that, no, VaR is most definitely not premised on the mean-variance framework that assumes normality. CLT tells us the average of a sequence of i.i.d. variables tends to be normal, so it might apply: for example, it is a decent justification for assuming...

Hi @Skewed oh wow, huge. I did not know about this. Thank you, thank you!!! Always learning something new. We will share this helpful tip in the "Week in Risk"!!

Hi @sm23 There is a lot to say about your brief questions, which are very good, but much of the substance of the answers is thematic in Tuckman's Chapter 9 and 10. Further, it's hard to just talk about these concepts, they are best understood in the spreadsheets. But briefly, We want to...

HI @Karim_B Okay that's good to know (about summaries) and it makes sense. I think it's a worthwhile objective and will discuss with @Nicole Seaman (in the long-run the key determinant of this is the degree of GARP's syllabus churn: they didn't change the syllabus last December, really, after...

Hi @Karim_B Yes, thank you for noticing but that's because I recorded Chapter 6 last Thursday; Nicole will edit and publish in the upcoming week. We are currently recording the Gregory videos. We've recorded up to Chapter 6 and next week we will do 7 and 9, then the week after that 12 and 14...

Hi @nikogeorgiev Glad to help! Re: Are option contracts always for 100 options or we are making an assumption here based on what is common in the market place? We do seem to assume that. Hull says "In the United States, an option contract is a contract to buy or sell 100 shares." (Chapter 1) and...

Hi @FRM candidate To recap Hull's EOC Question 10.2, he asks: If he were seeking a 95.0% VaR, then he'd use 25.0%*1/sqrt(250)*1.645 because VaR is always one-tailed. But here he's looking for a two-sided confidence interval, where the 95.0% two-sided deviate is 1.96. So he's solving for...

Hi @nikogeorgiev Keep in mind that each call option contract is for 100 options. Ralph starts with 10,000 owned shares, each with delta = 1.0, so the shares have position delta = +10,000 * 1.0 = +10,000. The key formula is Quantity * %Greek = Position Greek; e.g., if you write 300 call options...

Hi @Karim_B (belated, sorry). Yes, thank you. Where σ is the annual basis point volatility, in general the standard deviation of the rate change applies the square root rule with σ*sqrt(dt) or σ*sqrt(Δt). I will task us to ensure these phrases are explicitly addressed in the revisions...

@Nicole Seaman Oh wow, thank you so much for doing this (on a day you are supposed to be off, sorry! :(). Thank you, thank you for the background information on Microsoft, that is very interesting! ... clearly you are on top of this.

Hi @Jsong616 I see the email you sent today. I don't know why you are having such problems. (We are experiencing some issues with hotmail/outlook, but they haven't been too dramatic to my knowledge). I will ask Nicole to contact you tomorrow and/or just set you up with a fresh login. Sorry for...

Hi @cynthiahuang Yes, you are correct. Per the source thread here at https://forum.bionicturtle.com/threads/l1-t1-32-tracking-error-sharpe-sortino-amenc.3465/ , this was a question I wrote (based strictly on Amenc) before we explained to GARP the problems created by an ambiguous information...

Hi @lRRAngle Yes, agreed, for sure mathematically the lease rate is a benefit of ownership: its positive value decreases the theoretical forward price. My current interpretation actually is that the lease rate is a special case of the convenience yield (i.e., the convenience yield generalizes...

HI @ziminli1228 Yes, exactly. Imagine you are the producer. If you are very confident the future spot price will be high, you do not want to guarantee the future sale at only $3.00. If you are confident the future spot price will be low (e.g., $1.50), you do want to guarantee the future sale at...

Hi @FlorenceCC The F-statistic applies to the test of a joint hypothesis that several regression coefficients are equal to zero, according to the null. See our exhibit below, which replicates S&W's example. This is an regression with three independent variables such that TestScr = b0 + b1*PctEl...

Hi @lRRAngle Thank you, I do apologize but our text has a mistake. The numbers look okay, but the May purchase at 99.725 is met with a decline to 99.615 in June, so the study note should read: "The difference between this initial and final contract price is the loss of $275 on this long...

Hi @FlorenceCC Yes, you are exactly correct. And well-stated! This is true: "Wouldn't the appropriate critical value be the t at n-k-1 df?." To reduce the theory to bare bones: the OLS regression assumptions allow for us to assume the regression coefficients are normally distributed if we know...

Hi @[email protected] looks like I worked this out in the exhibit above last year. See above. I hope this helps!