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  1. H

    Beta/Asset's weight

    got it. thank you!
  2. H

    Beta/Asset's weight

    63.2. Your colleague Robert uses a two-factor model in order to estimate the volatility of a Portfolio. He specifies the covariance matrix as follows: equity factor, bond factor equity factor 0.09, 0.072 bond factor 0.072, 0.16 The Portfolio has the following...
  3. H

    CAPM, SML, CML

    Got that! How about Efficient frontier? How does the efficient frontier relate to CML, SML, risky asset and riskless assets on mean variance framework? Specifically the relationship between efficient frontier and CML. Thank you
  4. H

    Distance to Default

    40.1 Assume Stulz’ hypothetical firm Pure Gold will sell one million ounces of gold at the end the year, then will liquidate. The one-year forward price of gold is $1,200 per ounce and the gold price risk is UNSYSTEMATIC but has (normally distributed) volatility of 20%. The riskfree rate is...
  5. H

    Downside Risk

    Got you. However, isn't based on the information presented, gold is normally distributed with mean of 10% and standard deviation (volatility) of 10% - Not standard normal distributed since it mean not equal to 0, and s.d. not equal to 1 and it hasn't been transformed into a Z score. Since a...
  6. H

    Downside Risk

    Assume the spot and one-year forward price of gold is $1200 per ounce; i.e., neither contango nor backwardation in gold forward curve. Assume the (initial) margin requirement for a gold futures contract is 10% of the notional. Gold has an expected per annum return of 10% with continuous...
  7. H

    BT Materials Sufficient?

    Hi, I have a few questions: a) Is BT materials alone sufficient to take the FRM Part exam? I can't afford to purchase any of the combo of BT, schweser and GARP textbooks? b) Do we need to know the derivation of any/all the formulas or just understand it conceptually and able to utilize it...
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