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Hi all, Refer to the attached, may I know what are the meanings of reduction in market liquidity and exposure valuation? Correct me if I am wrong, reduction in market liquidity means market becoming less liquid, ie transaction cannot take place fast due to asking and bidding price keep on...

Hi all, Refer to the attached, I have a question to ask. Based on the previous slide which states PV = FV x Discount factor. If I apply it on the highlighted portion, PV will be $100.55, FV will be ($100 + $100 x (0.625/100)). May I know why is FV using $100 as the principal amount? Shouldnt...

Hi all, Refer to the attached, seek your kind assistance on 3 issues that I faced. 1) What does it mean by foreign currency debt funding local currency assets? Correct me if I am wrong. Does it mean earning money through exploiting the high interest rate of local currency by borrowing foreign...

Hi all, Refer to the attached file which covers EWMA, I dont get the paragraph highlighted in blue. If new weight (alpha sub i+1) = lambda x current weights (alpha sub i) where lambda is between 0 and 1, it means that new weights has a lesser weights compared to old weights. For eg, old weight...

Hi all, Seek your kind assistance on this matter. I do not understand the attached 2 files at all. I dont know why left side is shaded green and location of beta are some of the things I do not know. Thank you in advance, BX

Hi all, Refer to the highlight in blue box in the attached file, I have 2 questions to ask. 1) May I know why when calculating Cov(X,Y), the first summation is 0.83? Based on the formula given in previous slides, covariance (X,Y) of the population is (1/n)*summation i=1 to n(Xi-μ)(Yi-μ) where...

Hi all, Refer to the attachment, I dont get why highly rated firm fear investors will run away. Shouldnt it be the other way round? Based on my understanding of commercial paper on investopedia and youtube, commercial papers are unsecured, short term debt instruments issued by firms to pay off...

Okay, thanks for your explanation. I realised what is the meaning of contango already. Expecting a price of asset to drop means expecting demands to drop. Expecting demand to drop means it is contango. Contango graph shows you the future price, not the asset price.

Hi all, Refer to the attachment, may I know what is the meaning of roll cost, positive roll cost and valuation reserve? Based on my understanding valuation reserve is only for insurance company, not banks. Thank you in advance, BX

Hi all, Based on FRM part 1 book 1 chapter 9, learning from financial disaster topic, I do not get why there is gains on the underlying forward contracts with customers for Metallgasellschaft (MG) when MG had short positions of forward contracts with customer when there is a contango? There...

Hi all, Kindly refer to the attach taken from FRM part 1 chapter 5, I have 1 question to ask regarding tracking error. 1. According to the TE formula (TE = SD(Rp - Rb)), may I know why is it Sqrt(30%^2 + 15%^2 - 2*0.014) and not Sqrt(30%^2 - 15%^2 - 2*0.014)? I supposed benchmark refers to...

okay, I understand already. I find it weird that for CDS, we define buyer to be the protection buyer (ie the bank) but for TRS, buyer refers to the buyer of credit risk, (ie the dealer), not protection buyer. Dont have consistency in defining the buyer for each credit derivative. Thank you for...

Hi all, I have a question to ask regarding Total return swap. On one of bionic turtle slides, it says buyer make regular payment of SOFR + bps x notional amount of loan to seller. However, on the next slides, it says seller make regular payment of SOFR + bps to buyer. I am confused. Is it the...