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David.. The following may be considered as proxies for mean loss rates 1.credit spread, 2. default swap rate paid bythe protection buyer in a credit default swap agreement. But diff between bond yield and treasury yield is not considered. There is an explanation or this bit I am ubable...

DAvid.. Assume a portfolio consists of two loans of $1000 with a correlation between loans of 0. Also assume the only twao outcome for each loan with equal probablity are a loan loss of $8 or $12. Note that average loss for each position is $ 10 and the expeceted loss on theportfolio is $ 20...

David.. A portfolio manager has a $ 15 million mid-cap portfolio that has a beta of 1.3 relative to S&P 400. S&P 500 futures are trading at 1150 and have a multiplier of 250. The most significant risk this manager faces in attempting tohedge his position is: I. correlation risk resulting...

David.. i had earlier written to you on a note in a public forum of a course provider that less than 70 % anwers correct might even make you a winner. I reproduce below a clarification by them on this : Quote Answering 70% of the questions correctly is usually considered a good gauge for a...

David.. Look at this qn: If Frim X owes $3 million to Firm Y in one contract but Frim Y owes $ 4 million to Firm X in another contract, net credit exposure to Firm y is 1. -$1 million 2.$0 3.+1million 4.+7million The stem looks tricky. is'nt it? venkat

David.. I am uncomfortble on the mechanics of this problem ten Lowest No of Past Rank returns %t periods Hybrid weights 1 -4.3 7 0.0318 2 -3.9 10 0.0282 3 -3.7 15 0.023 4 -3.5 20 0.0187 5 -3 17 0.0212 6...

David.. For computaional purpsoes what number of trading days are to be consdiered? 250 or 252 days? Esp in VaR calculations, some place use 250, some 252. venkat

David.. I have enclosed a spreadsheet that gives: Domain wise AIMs ranked on 1. testabilty, a must coverage topics being colour coded. these rankings are based on some of course providers perception based on their practice exmas, lectures etc. I gathered. may I have your ranking in...

david... In the following GARCH eqns 1. σ2 n-1= .83 + .05µ2 n-1+.93σ2 n-1 2. σ2 n-1= .06 + .04µ2 n-1+.95σ2 n-1 3. σ2 n-1= .60 + .10µ2 n-1+.94σ2 n-1 4. σ2 n-1= .03 + .03µ2 n-1+.93σ2 n-1 locate among the following choices the CORRECT statement: I. Equation 1 is a...

David. Consider a pool of mortgages that were issued exactly 22 months ago(they are beginning 23rd month) Whatis the CPR and what is the SMM assuming 150 PSA. CPR SMM A. 4,2 % ,74% B.4.1% .48% C.4.6 .59% D.4.9...

David.. Please look at this: Locate from the following that is NOT a criteria of a coherent risk measure? 1.homogeneity-larger positions bring larger risk 2. Monotonicity- larger returns come with ;arger risks 3. sub additivity- the ris of sum is more than or equal to the sum of the...

David.. how about this? Identify the most accurate statement that is TRUE. 1.reinvestment risk forbonds is: 1. Long term bonds should be purchased if the investor anticipates higher reinvestment rates. 2. If the investor anticipates lower reinvestment rates , higher coupon bonds...

David.. Here is a qn. A regression equation with 4 independent variables is estimated using 20 data points. the R2 is .46. An anlysit is testing to see whether all of the coefficients are equal zero. The p-value for the test is: a. lower than .25 b.between .05 and .10 c. between .025...

David.. Please help me in soving this with details. y=1 y=2 y=3 x=1 0.05 0.05 0.10 x=2 0.05 0.10 0.15 x=3 0.15 0.15 0.20 Use the above joint probability distribution to answer the foll: 1. The expected value of Y is closest to a. .2 b. 1 c...

David... Thanks for the speed without comprising quality and coverage for Level II. I read that High Yield Bonds exibit positive conexity owing to lower quality bonds with large coupob payments thus causing a large potential for Interest rate risk when interest rate fall . I am a bit...

David.. If time permits,can u publish a short video on CMO in particular PAC, its relevance, its mechanics with focus on exam AIM. Thanks venkat

David.. Your tutorials on key rates are a treat to watch. your spreadsheet on key rates is explicit and very well undersatandable. I have the foll qn In the cols wherein you detail how rates are shocked under various periods(after 2 year,5 year etc.,, 1.What is the rationale(logiic)...

David.. Comared to FRM 2008 to what extent FRM 2009 scope for full exam has increased in terms of development in Basel in 2009 and the AIMS.I Is your 2008 videos sufficient? venkat

David.. I have a fundamental doubt. In your spreadsheet on basis risk, when you say at time zero say May,09 spot rate is $ 2.00 you say futures is at say 2.05. In sep09 suppose spot goes up to 2.05 and futures at 2.05. My question fundamental is in May 09 whenyou say futures is 2.05, what...

David.. I request you to to eloborate the term means reversion. What it exactly means and how it impacts VaR. Your editgrids are indeed elegant and educative. But unlike your webcasts exclusively I find it hard to follow (although I reapeatedly watch them) and learn. You indeed touch upon...