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Hi @NStha8467 The spreadsheet template aspires to be universally useful (although I see that I can make an improvement with respect to the Confidence Interval: it is only showing a 2-sided CI, which would not be useful to the question!). As you can see, the XLS is actually trying to be...

HI @NStha8467 1) The chi-squared distribution is included for completeness: before GARP "simplified" their econometrics chapters, the four sampling distributions were (normal, student's t, chi-squared, and F-distribution) were foundational. The normal/student's t because they test a sample...

Hi @JGURR5668 I think we had a good discussion about this here at https://forum.bionicturtle.com/threads/bayes-theorem-two-approaches.6784/ and specifically in my last post at https://forum.bionicturtle.com/threads/bayes-theorem-two-approaches.6784/post-82906 where I wrote P[3B|S] is equal to...

HI @collen I apologize but it's a mistake (that I didn't fix) and you (your implication) is correct. Per the source (https://forum.bionicturtle.com/threads/l2-t5-63-fixed-income-mapping-jorion.3617/), if they are both 4% par bonds (c = y = 4%) with maturities of 1.0 and 5.0 years, then I get...

@TatjanaVitkovic I re-read this thread from the beginning and, sorry, I just don't even know what you are asking. I can't related it to the portion you quoted, or to the GARP extract !? On the horizontal x-axis is the strike price such that at-the-money (ATM) is near to the center. In regard to...

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@JackSmith you gave no context/information about your problem. @Nicole Seaman this is strange (weird type of spam)

Hi @Torsleno Interesting question. In my opinion, "diversified VaR" is an FRM term (specifically P. Jorion but also K. Dowd), unlike many terms in the FRM that have universal definitions outside the FRM (is a caveat to acknowledge somebody might disagree with me based on some other source)...

@enjofaes Oh, I see. Given N(z) - 1 = -N(-z), I think [N(d1)-1]*exp(-qT) = -N(-z)*exp(-qT) is the equivalent expression for the put's delta; e.g., if z = 1, then N(z) = 84.1% and N(z) - 1 = -15.9%; N(-z) = N(-1) = 15.9% but -N(-1) = -15.9%. Same as your just with a negative in front, thanks...

dividend-adjusted delta = delta*exp(-qT) such that call delta = N(d1)*exp(-qT) and put delta = [N(d1)-1]*exp(-qT)

Hi @enjofaes If I said that (sorry I'll have to locate the specific video location later), then I misspoke. You are correct: DV01 = (P*D)/10,000 = dollar duration/10,000. I'm actually very happy with my summary note at see...

Hi @xZhan3765 Welcome! I don't think you are alone, this is a question that bugs me because I think it's possible that it might possibly be a harder puzzle to those who are better prepared. The problem, to me, is the first sentence "A financial firm has sold default protection on the most senior...

HI @LeonardoFRMPart1 Agreed, when I last looked, I believed they did get the variance correct for AR(1) but incorrect for AR(p), see https://forum.bionicturtle.com/threads/p1-t2-20-22-stationary-time-series-autoregressive-ar-and-moving-average-ma-processes.23527/post-91654

Hi Brian (@BCott8744 ) Yes, I agree, it's a mistake. In our study notes, when I replicated the 2020 version of the default probability tables, I noticed a couple of similar errors, but the updated version appears to contain more mistakes. I agree with you about the mistaken 2.45%, but it's also...

Thank you truly Camille (@bollengc ). @Randy Moon I think that thread explains exactly the reconciliation you seek ....

HI @aarora89 No excel on the FRM. Sorry. Not yet, anyway. There should be, right? It would be 10x more realistic!

I agree with you @Torsleno and that's helpful! @carloscm Here is the page 4 snippet (new emphasis mine): And I think maybe this is the other reference: The sentence of ours, "economic capital is a fully loaded measure of risk that includes both expected loss (EL) and unexpected loss (UL)"...

Hi Sahil (@Sahil1999 ) Glad it helped! I think you are close but I would rephrase as follows: "because we are measuring the dispersion of a sample mean (i.e., a sample of 40 funds), we look at the standard error which is a standard deviation but rather than for a single fund, it's a standard...

Hi @Sahil1999 Because it's asking about a sample mean, so central limit theorem (CLT) applies. Each fund has μ = 8.0% with σ =10.0%. For a single fund, the Pr(R > 10%) = 1 - Pr[R < (10% - 8.0%)/10%)] = 1 - Pr (Z ≤ 0.20) = 1 - 57.93% = 42.07%. But if we ask about the mean of a sample of 40 such...

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