# Search results

1. ### P1.T2.20.22. Stationary Time Series: autoregressive (AR) and moving average (MA) processes

HI @yLam4028 Say it were unrealistically perfect MA(1) series such that Y(1) = 1.5, Y(2) = 2.0, Y(3) = average(1.5, 2) = 1.75, Y(4) = average(2.0, 1.75) = 1.8750. Then your errors (aka, innovations) are e(2) = Y(2) - Y(1) = +0.50 per your schedule (notice that's the first actual innovation I can...
2. ### F- Statistic Formula Variations

Hi @yLam4028 If you examine the example at https://forum.bionicturtle.com/threads/stock-watson-chap-7.13787/post-58778 ... It refers to a regression with three independent variables: TestScore = Intercept + PctEL*X1 + Expn*X2 + STR*X3 The unrestricted regression (where q = 3) generates a highly...
3. ### F- Statistic Formula Variations

@yLam4028 Your question doesn't make a lot of sense to me (and could be time-consuming to decipher) because if your premise is true (i.e., if restriction = # of independent variables) then why are we applying the second formula with "restricted R^2"? I do not want to get us bogged down in this...
4. ### Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk

Hi @dla00 Great, thank you for those additional comments re translation invariance and homogeneity. I was actually aware of those mistakes because, as part of updating the notes, we go through the cited errors and they have been surfaced. Thanks again!
5. ### Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk

Hi @dla00 Yes that's our mistake in the video, in both cases. It should be as reflected in this video https://forum.bionicturtle.com/threads/t4-05-coherent-risk-measures-and-why-var-is-not-coherent.22464/
6. ### Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk

Hi @enjofaes Yes, agreed, my text was a bit whacked. Thank you! I have edited it to reflect text that matches the exhibit, as follows: Put simply, 97.0% ES is average of 3 worst (3%) losses: (64.28 + 63.27 + 36.41)/3 = 54.65 96.0% ES is average of 4 worst (4%) losses: not discussed 95.0% ES is...
7. ### Course Errors Found in 2021/2022 Study Materials P2.T8. Liquidity and Treasury Risk

David's Notes (2023-01-30) Re #2 [updated file = T8-R61-P2-Ang-Ch13-v9-1] Ang's observed return process: this is an error. Fixed. https://forum.bionicturtle.com/threads/errors-found-in-2021-2022-study-materials-p2-t8-liquidity-and-treasury-risk.23688/post-86952 Re #3 [updated file =...
8. ### Comparing Rates Of Different Maturities

Agree with @gsarm1987 and this ("You are compensated with a higher interest rate for tying up your money for a longer period of time") is interesting to me because I just wrote a fresh PQ set yesterday so term structures are top of mind, see...
9. ### P1.T3.22.31. Term structure theories

Learning objectives: Derive forward interest rates from a set of spot rates. Derive the value of the cash flows from a forward rate agreement (FRA). Calculate zero-coupon rates using the bootstrap method. Compare and contrast the major theories of the term structure of interest rates...
10. ### Completing the Work Experience Process

HI Tejas (@tejasips ) We would love to help you with this, but Nicole isn't allowed to evaluate work experience. Only GARP can do that. I'm sorry :( Thanks and ... good luck, David
11. ### Study Notes and Vital Source

Thank you @gsarm1987 that is such helpful insight (I didn't even think about the font size!) Hi @LBela4498 Welcome! Thanks for the question/feedback. We don't often get the criticism that the notes are too dense. (I will punt the VS question because I don't have an immediate answer on VS)...
12. ### Gregory, Ch3 (Ch9 GARP): Netting

HI @enjofaes I think that's a reference to Gregory's example (later) in "6.4.4. Netting Impact on Other Creditor". See diagram below. The base case (on the left) is without netting where B's position with respect to ... Party A (Derivatives creditors) is Asset = 140 and Liabilities = 200, and...
13. ### YouTube T4-40: Fixed Income: Bullet versus Barbell Bond Portfolio

HI @MAli9983 On YouTube, I pinned my comment that explains those calculations: ... then, of course, once we've solved for 38.26 we can see that $63.763 -$38.26 = \$25.51. I hope that's helpful!
14. ### P2.T5.22.14. Empirical approaches to fixed income hedging

Learning objectives: Explain the drawbacks to using a DV01-neutral hedge for a bond position. Describe a regression hedge and explain how it can improve a standard DV01-neutral hedge. Calculate the regression hedge adjustment factor, beta. Calculate the face value of an offsetting position...

Hi @Shau_2207 Yes, we have some fantastic help on videos (as we speak) so we will be updating Investment Risk (please don't quote me on which exactly WITHIN investment risk but we will update investment risk). Thank you!
16. ### Course Errors Found in 2021/2022 Study Materials P2.T9. Investment Management

Hi @Shau_2207 Re last paragraph of page 51, apologies but I can see we made a mistake and it should match what Ang says (emphasis mine): "The beta anomaly is not that stocks with high betas have low returns—they don’t. Stocks with high betas have high volatilities. This causes the Sharpe...
17. ### P2.T5.22.12. Correlation Properties

Learning objectives: Describe how equity correlations and correlation volatilities behave throughout various economic states. Calculate a mean reversion rate using standard regression and calculate the corresponding autocorrelation. Identify the best-fit distribution for equity, bond, and...
18. ### P1.T3.22.28. More exotic options

Learning objectives: Define and contrast exotic derivatives and plain vanilla derivatives ... Identify and describe the characteristics and payoff structures of the following exotic options: gap, forward start, compound, chooser, barrier, binary, lookback, Asian, exchange, and basket options...
19. ### Futures contract sizes

HI @GEBEN9829 Lately the exam has been giving the contract sizes in any futures contract question; and I continue to believe that a good question provides the assumption so you don't need to memorize. However, among my original list over a decade ago (yikes!) Just to be "safe," I'd still...