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I have an interesting problem regarding VaR for two assets. Instead of having binomial distribution the assets are subject to occasional shocks with e ~ N(0,1). However, I don't understand the answer of it. I hope anyone could shed some light on it. Here you go, consider two assets, X and Y...

I wonder what is the number after "Pass". I did not pass the examination and could not tell what does it mean.

I don't know how to interpret my performance analysis with pass rate. In Nov 2015, the pass rate of Examination I is 49% , does it mean if I score better than 50% in each section I would pass test? I hope any one could shed some light on this. Thanks, Ted

On page 7 of Diebold note, AIC formula is given as EXP (2k/T) * (SSE/T). However, there is another formula as T * LN(SSE/T) + 2 K. Are they the same ? Thanks, Tedphy

Thanks for your explanation. Tedphy

Hi Mani, Thanks for your reply. I think OAS does not include the spread for prepayment option. In other words, OAS only has spread for credit risk, liquidity risk, etc. Market price for MBS with embedded prepayment option I think it should be OAS + spread of prepayment option. Thanks, Tedphy

I have trouble understand the following statement from page 19 of R24.P1.T3.Tuckman_v5.0.pdf. I hope you could give more context around the relative value, model value and model price below. " Option-adjusted spread (OAS) is a widely-used measure of the relative value of a (MBS) security, that...