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It is much easier to remember that VaR is about the worst loss, you should select that sign plus or minus that would produce the highest VaR amount. Any amount less because of the sign'' is a step into wrong direction. That intuitive way, no need to remember 4-5 forms of the same VaR Formula, IMHO

I just wondered why GARP asked us to read only till page 75 of the report on MF Global case, well probably after page 75 interesting conclusions are listed as main causes of MF Global's failure. I Just copied from the contents the titles of paragraphs and labeled them in general terms...

I believe that it's better to think graphically, always picture the distribution shape (bell shape), if expected return is expressed in loss term, it is still a mean & median of the bell shape. To the left of it will be more losses, to the right will be less losses. Since VAR is about worst...

I hope that you could produce fresh new practice exam for part II, more relevant to 2014 sullybus at least one week before the exam date

I thought this question is really about Merton model (or the version in Stulz with subord debt). Under Merton Model, the Debt is equal to PV of zero-coupon bond with par value being equal to value of Debt (=Long a riskless loan of $300 million) + short position in put for company assets (= short...

Ro=beta squarred

thanks for spotting the typo, of course it should be 250 not 2500 days. It is also possible to use 252 days. In such case VAR = 1,919, also I did not rounded numbers, which might also cause some difference in numbers calculated.

I might be wrong but I think for VAR we would need to first scale down parameters from annual to daily, and then deduct from expected return so-many standard deviations as required at given confidence level. Step-1. Daily parameters. daily mu=0.14/250 = 0.00056; daily sigma= 0.19/SQRT(250) =...

As per my understanding, some of the important ideas behind the lengthly Malz' chapter on Liquidity & Leverage in one slide:

A little mnemonic tool to help me and maybe somebody else memorize some of the important EXOTIC OPTION (disclaimer: names of countries and nations are used only in reference to their usage in weird finance world, so no offense) It may not make any sense, but still usefull at least for me :) An...

thanks alot. I would like to accrue it till Nov exams (I hope) :)

I can't get the whole concept of CLN. As I understood, CLN are securities issued primarily by SPE/SPV that pool some sort of cash stream generating assets (mortgage, loans, bonds, ABS, etc) from some reference name and promise to stream those cash flows to the investors, who would subscribe to...

try open http://i62.tinypic.com/30ij8k2.png

For myself I created one page slide with a summary of all (I hope) exotic options of Mr John Hull. Decided to share with you.

It was for me as well. Tuckman's reading was tough one for me. I reread those chapters on interest rate models several times until I could be assured that my brain has some snapshot of so called bird's eye picture of all the stuff. Regarding real world and risk neutral probabilities, it is...

I have a suggestion for BT which may help you to help many to prepare for FRM exam. All of us have smartphones, tablets or other devices. Your notes, videos are really good, and helpful (esp videos, which btw help us to digest some of the really tough and difficult to digest reading part), you...

sorry to bother you again, I wanted to post a reply on the forum https:\\www.bionicturtle.com\forum\threads\p2-t6-303-malz-on-merton-model.6794\ but it reported that i do not have access to it? Could you check it?

I just paid, and thank you, video is playing online on my work PC.

thank you for your reply. I would have to buy Part I + II as one package, probably. Will then I have full access to both parts? One question, I would like also be able to watch instructional videos while at work. However at work access to youtube is prohibited. I hope that videos are hosted...