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Hi, David I have question from Jorion's chapter questions. It is number 65.2. Which of the following is a true statement if we are benchmarking fixed-income portfolio relative to a fixed-income index? a) minimizing absolute VaR will also tend to minimize tracking error VaR b) zero...

Hi, David I have question from jorin's chapter. It is about calculating VAR under duration mapping, and it is question number 63.2. Risk at 2 year maturity= 1.923*1.65=3.16% Risk at 3 " = 2.885*1.65=4.75% Risk at 2.885 = (4.75-3.16)*(2.885-2)+3.16=4.563% In...

I got lots of little questions from Hull's and Tuckman's chapters. 1. Do I have to use BSM to calculate call or put on the exam? 2. DO I need to calculate cdi or cdo directly by using N(d1) or N(d2)? 3. Is the volatility means variance or standard deviation? 4. one of the answer...

I have question about number 31 from file of T5.Tuckman, CH6,7,9&21;. This is about parallel shift and the performance off bullet and barbell. There is a difference between answer and explanation. Answer says under small parallel shift in the yield curve, Barbell outperforms bullet...

Dear David, I am confusing answers about the volatility smile. I'm working on file T5.a.Hull-Chapters-18-&-24. I don't understand answers between questions, 18.01 and 18.05. 18.01's answer says that heavier right tail leads low prices for out-of-money calls and in-the-money puts...

I have contacted BT two days ago asking questions but never gotten answer so hope someone in the forum could help me ! 1) are online provided FRM materials printable at my convenience? It is because I don't prefer to study on screen. 2) where can I find 2011 production calendar for...