Search results

In Schweser Notes, under the heading there is one line " One study suggests that default swaps of SHORTER maturities than the maturities of the bank loans can provide effective CDS protection if the default risk is concentrated near or at the maturity of the loans" Please explain how SHORTER...

David, From HULL, in the chapter on Properties of Options there is a table , which shows the effect on the price of STOCK option of increasing one variable(e.g. Current Stock price, strike price, interest rate etc. ) while keeping others constant. My question is for BOND or any other...

David, In a Backwardation market , the discount in Forward prices relative to the Spot price represents a positive yield for the commodity consumer or the commodity supplier? Who is the commodity consumer and who is the supplier in this market?

David, This one is from FRM Exam 2000(Question 55) BO enters into a 5 year swap contract with M Co. to pay LIBOR in return for a fixed 8% rate on a principal of $100 MM.Two years from now, the market rate on the 3 year swaps at LIBOR is 7%. At this time M Co. declares bankruptcy and...

David, If someone says " A company will/over be in default after 3 years" then what do you conclude? Does it mean that it can be in default after 1/2 3 years? so 3 mutually exclusive cases?

Hi David, What are the methods for retiring a bond before maturity? Thanks,

David, Is there anything called "Variance of Basis"? If yes then how is it defined? Thanks,

David, I got the following question from Jorion: Ques: Which of the following positions has the same exposure to interest rates as the receiver of the floating rate on a standard interest rate swap? a. Long a floating-rate note with the same maturity b. Long a fixed-rate note with the...

David, We know that T period spot rate can be written as (1+RT)^T=(1+R1)(1+F1,2).......(1+FT-1,T) Now if R1 is for first 3 months, then F12 is the 3-6 FRA rate,.....FT-1,T is the 9-12 FRA rate then how to us ethe above formula to get RT i.e. the 1-year interest rate???

I just copied the question from that book. It seems it was an FRM 1999 question( Question 109)

David, I couldn't understand under which section I can put this question. So I started this new forum. While reading the chapter on Hedging Linear Risk from Jorion there was a question: Q: Roughly how many 3-month LIBOR Eurodollar futures contracts are needed to hedge a position in a...

David, I am back again with VaR. If we are given 2 day VaR then can we calculate 10 day VaR just by multiplying it with Root over 5?

David, To be more specific my question is : If it is stated that "A portfolio has underperformed its benchmark by 5%" then can we conclude anything about the ALPHA? I am sorry for asking questions on this again and again. Thanks, Sucheta

David, Thanks for your reply. But now I need some more clarifications. Let me be more specific: 1. ACTIVE return and ALPHA are different? 2.A portfolio has outperformed(underperformed) the benchmark portfolio DOES NOT always mean that the given portfolio has positive(negative) ALPHA...

David, I have some questions about Jensen's Alpha. 1. When it is given that a portfolio has underperformed its benchmark then will ALPHA be always negative? Or can we conclude anything about ALPHA? 2. Suppose a portfolio has a very high ALPHA. Now how will it behave with market if it...

David, I have a doubt. Leptokurtic distributions always have fat tails? Is T distribution leptokurtic? I know that it has the property of fat tails. But I am little confused about Schweser notes. It says that the greater the DF , the greater the % of observations near the center of...

When will the forum start on 2010 FRM L1 exam prep?

Can we say anything about the expected life of Perpetuity? If YES then what information do we need ?

David, I am sorry for asking question on the same topic again and agian. But , this is the last. Suppose in the exam there are two questions: Ques 1: There are two asstes A and B. C is the combined ortflio of these two assets. Then which one is the correct a. VaR(C) < VaR(A) +...

So, in reference to my first question..if nothing is specified then we can NOT (rather SHOULD NOT) conclude anything about the VaR(C). It can be gt/lt/equal to VaR(A)+ VaR(B). Right? Another question: We know that if we increasing the confidence level the VaR increases. Can we draw any...