Hi @gargi.adhikari did you tried solving this, with converting dividend yield to continuous? I tried this and I got answer 1313.06521, I think difference is not that much, that's why they are not converted(my logic, @David Harper CFA FRM can elaborate more!). On actual exam I don't think there...
Hi @Angelinelyt you are assuming rate are continuously compounded, but rates are discrete compounding, read question carefully it says 4% rate per year, it means you should use formula Forward = Spot x (1+domestic interest rate)/(1+foreign interest rate), so 1.25*(1.04/1.07)=1.21495 or round to...
Hi @Angelinelyt Ft =S0 * e(r-rf)T should be used when rates are continuously compounded and, Forward = Spot x (1+domestic interest rate)/(1+foreign interest rate) should be used when rates are discrete compounding (yearly, half yearly). Hope that helps you!
Thank you:)!
Hi @frmqiu it is conditional default probability it should be calculated as default in 2nd year - default in 1st year/survival in 1st year = 0.27385-0.14789/0.85214=0.14782. Hope that helps.
Thank you:)!
Answer of 3rd question should be C, because 44.9*1.0137=45.52 and 45.52-44.9=0.61513 or 0.62 simply means we have to sell additional 0.62 to hedge position completely. Hope I am right.
Thank you:)!
Hi @frmqiu I think you are using old practice exam. David has reported garp this issue and garp has updated many of the answers, I can see A as a answer in my practice exam. Try to download it again.
Thank you:)!
Hi @emilioalzamora1, as you know var is the worst expected loss. As question stated there is 1/90 chance of lossing 1000000 that clear means that var is non zero because there is some loss chance. Confidence level is estimated as 100%*(1-p), chances/probability is given as 1/90. Hope that...
Hi @no_ming you are right! (for more clarrification view https://forum.bionicturtle.com/threads/individual-var-vs-component-var.1373/). In this question you do not need to apply defination of component var here ( I think question wil clearly ask you to calculate component var, not sure @David...
Hi @no_ming what I understands from question is that what will be the reduction in portfolio var? We are not asked portfolio component var here. They are simply asking if you drop the asset 1 from portfolio what will be reduction in portfolio var they are not asking what will be portfolio var...
Hi @David Harper CFA FRM Thank you for sharing this. I wonder how do you manage your time and do all the work (including forum support)! Thank you for everything:)!
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