Search results

  1. David Harper CFA FRM

    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. David Harper CFA FRM

    F- Statistic Formula Variations

    Hi @yLam4028 If you examine the example at ... 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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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
  6. David Harper CFA FRM

    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. David Harper CFA FRM

    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. Re #3 [updated file =...
  8. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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...
  15. David Harper CFA FRM

    IMPORTANT PLEASE READ: Publishing Process for 2023

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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. David Harper CFA FRM

    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...
  20. David Harper CFA FRM


    HI @PMcAt5366 Yes, the intention is to include all spreadsheets, but to be candid, I'm a behind on updating them. It is something I am currently working on: updating the XLS to include all of our best work. Will keep you posted ... Thanks!