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Hi David, I hope you are well, I can not find your articles, many of them disappeared... Please could u post some of them for a short term ? I need one about Cholesky decompos, Many thanks Indira

Hi, David, Hope everything is going well for you, I have a question on basel II rules. Calculating the credit risk RWA for the equity (asset class): Standardized Approach requires 100% Risk Weight according to the BIPRU 3.4.47 Simple IRB requires 190%, 290% or 370% for different types of...

Sounds clear now, thanks for the MBS example! :)

Hi David, Could you explain what is the motivation of Amortizing IRS? And what is a step-by-step procedure to value them? Many thanks, Indira

Many thanks again, Indira

Hi all, I have a question on how behaves the put price when maturity tends to infinity. According to Hull as the time to expiration increases, options become more valuable. When I check this with the Black Scholes formula: Put=Kexp(-rT)N(-d2)-SN(-d1) It appears that N(-d2) tends to 1...

Hi, ShaktiRathore, Many thanks for this demonstration. Just a small note why do you define β=σ(p)/σ(m)? I thought β=cov(p,m)/σ²(m)=ρ(p,m)σ(p)/σ(m). [ρ is correlation] Finally do you understand the economic sense of this conclusion? Best Wishes, Indira

Hi David, Glad to hear your prompt feedback, Sure, we can post it on the FRM Fun questions, Thanks for the star from you, Have a good week-end, Indira

Hi David, I hope you are well. On an interview I was asked what is the sensitivity of the Sharpe's ratio to the volatility, The interviewer told it is almost zero... Could you give a hint please? Many thanks, Indira