non-linear-derivatives

  1. Nicole Seaman

    P1.T4.24.3 Linear and non-linear portfolios and the delta-normal approach

    Learning Objectives: Explain and give examples of linear and non-linear portfolios. Describe and explain the historical simulation approach for computing VaR and ES. Describe the delta-normal approach and use it to calculate VaR for non-linear derivatives. 24.3.1 Lenny runs a...
  2. Nicole Seaman

    P1.T3.21.8. Derivatives for hedging

    Learning objectives: Define derivatives, describe the features and uses of derivatives and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each. Differentiate between options...
    • Nicole Seaman
    • Thread
    • arbitrageurs derivatives exchange-traded-markets forward-contract-payoffs forwards futures-contract hedgers linear-derivatives non-linear-derivatives option-contract-payoffs options over-the-counter-market speculators
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Nicole Seaman

    P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen)

    Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains...
Top