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Hello BT members, If someone wants to work in a Model Validation team of a Financial Institution, what knowledge must have?

Hello david what is your proposal regarding the 2 years work experience? I m just thinking to use part of my resume..as already mentioned in my previous query but im not sure about it. Ps i use only bt material plus some of the garp books(eg hull...) and i got q1 to all parts of level2...

Hello there and congrats for the results. I also pass the second part but i wonder how to submit my working experience...i m thinking to copy part of my resume related to the risk related work experience..is it ok?

Hello David, I hope you are OK. I need your assistance regarding the close formula you provide for IRS valuation into the Irate-swap-mcs.xlsx. Could you please provide me a reference? Thank you in advance, PL

In regards the first one ....I'm also have an issue with the "effective" since effective duration is the yield of a bond assuming that coupons are reinvested (source investopedia....http://www.investopedia.com/terms/e/effectiveyield.asp#axzz27gfzB8II) But what coupons in a zero bond...

Hello suzzane, please let my amazon card accumulate. Thanks again

Hello David, According the Merton model....equity value of the firm can be calculated assuming that is a call option with underlying the value of the firm (S=V) and strike price the face value of the debt(X=F). Call pricing d1= {ln(S/X)+(r+0.5*sigma^2)(T-t)}/{sigma*srt(T-t)} .....call value...

Thanks a lot Great addition

Hello Alex, The use of OIS as discount factor - i think - comes from the fact that most of the OTC transactions are fully covered under the CSA (daily exchange of collateral). From my point of view we should use different discount factor in cases of no collaterilized transactions versus...

Congrats to all of you! passed level 1 Q1-Q1-Q1-Q1 :D Thank you David, Suzanne and all of you members in the forum Now lets start Level 2 ....

Good luck to all of you, I have already found (quite sure) some false answers from previous posts :( (around 6 : e.g. 1.GBM : I used directly the random number and didnt transpose to N(0,1) random 2.persistence to long run volatility : I chose the answer with the less a+b --> greater gamma...

The use of average, arized from the dynamic - rebalancing hedging..

Dear both, thanks a lot. I will follow your strategy (picking the low hanging fruits first) in the 2012 GARP mock exam. PS This strategy reminds me a professor's strat "hit - and - run" :)

Hello David, I have just complete the two sets of 2011 GAPR practice exams (level 1) and I have the following questions (as usual :rolleyes:) a. At least 90% of the questions are quite easy to solve them if there is no time constraint. Ignoring the time constraint is this level of difficulty...

Hello David, Two questions regarding the issue: a. In case we are in a position to calculate the expected value of the portfolio at the maturity of the hedge (lets say through a simulation method) the appropriate value of the portfolio to use in the aforementioned formula is the expected...

dear both thank u for your prompt & detailed replies. from my point of view -now - i understand that 1. market portfolio is still efficient, 2. zero beta is not and 3. investors do not hold the same risky asset portfolio (now its a function of how risk averse or not is the investor).

Hello David, according to your notes: If we assume there is neither riskless lending nor borrowing, CAPM still applies except borrowing (lending) at the riskfree asset is replaced by shorting (going long) the zerobeta portfolio. This is the zero-beta CAPM; The zero beta portfolio is not...

Hello again, 2. My portfolio...Lets suppose that we want to "neutralize" the portfolio on a daily base. 3. Basically, I do not know how to translate the Delta to USD...

Hello Aleksander, Thank you for your reply. Regarding the FX Swaps it was my first thought, but the time I tried to set up an example in my mind I found out that I didnt know what amount/Principal to hold for the FX Swaps....Suppose a dummy position on EURGBP with face 100 mil EUR and strike...

Dear all, If a US bank enters in a EURGBP option how the Bank could hedge this position (Delta Hedging) in dollars? Thank you