study notes

[DavidM]

Are there any bt study notes( with 2010 AIM statements) on Valuation and Risk Models.

 

[David Harper CFA FRM]

David - Here @ http://www.bionicturtle.com/how-to/note/2010_4._valuation_l1/

 

[de]

In the 2011 Study Notes, p18

Multivariate, bullet 3:

Independence => Zero-correlation, but not vice-versa?


Standard Normal Distribution: for the critical values, I find this table more intuitive:

two-tailed one-tailed Critical Value
68% 84% 1.00
90% 95% 1.65
95% 97.5% 1.96
98% 99% 2.33
99% 99.5% 2.58

 

[David Harper CFA FRM]

de -

Property #3 is from the assigned Stock & Watson. You are right to question it; it is not true in general. In general zero correlation/covariance does not imply independence. But here:

"If X and Y are jointly normally distributed, then the converse is also true. This result--that zero covariance implies independence--is a special property of the multivariate normal distribution that is not true in general."

(you were just commenting on the critical Z table-yes? no problem with it?)

Thanks, David

 

[de]

David,

a couple more clarifications please:

p121 - in the section "persistence is = (b+c) or (alpha-1+beta)"; can you elaborate on where the term (alpha-1+beta) comes from

p125 - in the formula for Lv, you have 1-alpha+beta; should this be 1-alpha-beta as on p104/105?