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Hi David, I have a practical difficulty while calculating Unexpected Loss of Portfolio as suggested by you in BT Presentation 6.f and Excel 6.f.4 When i take square of UL of Exposure 1 ($ 178,511) in an excel sheet i get the answer as 31,866,177,121 while in texas calculator i get it as...

David, Thanks a lot for all your assistance. I cleared FRM Level 1 in first attempt and I am in the First quartile in all the 4 subjects. Without you and your assistance this would not have been possible...Cheers..Amit

Hi David, I went thru this case and also your and Jacks discussion on the same but i could not get 1 simple concept clear. can you pls help me with a simple example 1) MG had Long position in short term futures. 2) Markets went into Contango. 3) Now if MG is in a long position he is...

Hi David, i seemed 2 b 2 stressed out and am not able to reach to solution to this simple problem. Can you pls help Bank has a cash position of 1M Euro. The Euro exchange rate is 0.95 USD/EUR. The one-day Euro exchange rate is normally distributed with mean 0.95 and standard deviation...

Hi David, How do we calculate the undermentioned in Scientific calculator ?( More specificaly BAII PLUS) What is the Net Present Value of a yearly payment starting at 100 and increasing 2% yearly for 15 years, when the discount rate is 4%? Round to the nearest tenth. Ans is 1260...

Hi David, I have some confusion in the way this question has been answered. It states that "Expected decline in supply should increase further term commodity price" Though i can see that the reason is due to the escalated storage cost taking cost of carry higher and hence in Contango, i...

10. Suppose X follows an AR(1) model: X(t) = 0.1 + 0.8*X(t-1) + e(t), where, E(e(t)) = 0. What is the long term mean of X? B is correct. For a AR(1) model of the form: X(t) = alpha + beta X(t-1) + e(t), where E[e(t)] = 0, the long term mean of X is alpha / (1-beta). For this problem, the...

Hi David, I have 2 questions 1) How did we get this answer? If X(t) follows a lognormal process then the correlation between X(t) and 1/X(t) is: Choose one answer. a. -1 b. 1 c. ½ d. -½ The correct answer is -1 2) What, according to your...

Hi David, Noting the fact that there is hardly 5 weeks left for the FRM 2009 exam, are you planning to set any simulated Level 1 question paper for us to solve. Though i agree that there are various questions which are available on BT site, however 2 full length queestion papers for level 1...

Hi David, I was going thru slide 71 in presentation 1.a.ii and could not very well grasp the concept of qualified model of APT and its properties. Also i could not understand from where the Portfolio Q has come into picture and what it signifies.Can you kindly elaborate a bit on this as it is...

Hi David, I was going thru the BT presentation 1.a.ii on Information ratio and had a doubt on reviewing slides 62 and 63. 1) In Slide 62 the numerator for Information ratio is taken as E(Rp)- E(Rb) 2) In Slide 63 the numerator for Information ratio is taken straightaway as Jenson alpha...

Hi David, I need your assistance in the following question Q) If interest rates rise, a bank with a positive maturity gap will experience: Choose one answer. a. Either a gain or a loss of equity capital. b. A loss of equity capital. c. A gain in equity capital. d...

Hi David, Can you kindly clarify on these points 1)Do all the candidates get the same question paper or there are different sets of questions papers and to avoid cheating different students get different sets of question paper. 2) Do we have to use pencil only while attempting the...

Hi David, Can beta of a portfolio be negative? As beta happens to be the slope of the line my guess is that it can be negative. However to my mind the following case does not intuit the actual practical position Rf =4% Rm= 9% Beta = - 1.5 As per CAPM E(Rp) = Rf + beta(Rm-Rf) = 4% +...

Assume a two-asset portfolio with a portfolio value of $20 million. Each asset weighs 50% of the portfolio. Asset A has a volatility of 10% and asset B has a volatility of 20%. If the desired confidence is 99%, what is the portfolio VaR if (i) the assets are uncorrelated [i.e.., correlation = 0]...

Hi David, I have a doubt in the way this question has been solved in Jorion Handbook. Request your help on this 6. Company XYZ's pension fund has liabilities of USD 100 million and assets of USD 120 million. The annual growth of the liabilities has an expected value of 5% with 3%...

Hi David, Can you kindly clarify if these r testable concepts in Level 1 as the distinction is quite hazy and there is a lot of coverage on VAR. Calculating VaR of options Var Impact of a small project Delta normal Var/Stulz Var impact VAR Mapping Sub-Additive Mapping Options LVAR...

Hi David, Was just going thru ur cram session for 2007 and found it too useful as a final revision. Are you going to prepare something similar for Level 1 FRM exam of 2009? it wud be quite useful as a last minute revision. Thks & Rgds Amit

Hi David, I went thru your screencast on Conversion price and Cheapest to deliver. Believe me its a beauty and u r a master magician as you unwind these concepts. Thanks to your lucid explantion that I have only 1 doubt in this case 1) You say in the screencast that the short has a...

Hi David, I have a doubt in regards to way you have solved Q6.14 hull in your HULL section In your solutions of the 3 Euro dollar quotes given you are saying that the 3rd quote is not required. However if you refer Page 140 of Hull the value which is been taken for Fi is the “forward rate...