New practice questions
- P1.T2.711. Covariance and correlation (Miller, Ch.3) http://trtl.bz/2yW4ZLG
- P2.T5.710. Bootstrap historical simulation and non-parametric density estimation (Dowd, Ch.4) http://trtl.bz/2z3EDH4
- How the portfolio possibilities curve (PPC) illustrates the benefit of diversification (FRM T1-7) http://trtl.bz/frm-t1-7-PPC-diversifies
- Capital market line (CML) versus security market line (SML) (FRM T1-8) http://trtl.bz/2yPLQsa
- [P1.T1] CAPM says the current price varies to achieve the expected return https://forum.bionicturtle.com/thre...cing-model-capm-topic-review.9785/#post-53802
- [P1.T1] Good CAPM theory questions https://forum.bionicturtle.com/threads/capm-equilibrium-theory.711/#post-54369
- [P1.T3] Hull’s Ho Lee adjustment includes both compound frequency and day count adjustments https://forum.bionicturtle.com/threads/hull-06-21.3781/
- [P1.T3] In the case of a Eurodollar futures contract, it helps to distinguish between the derivative’s maturity and the underlying commodity which is a 90-day interest rate https://forum.bionicturtle.com/thre...rate-futures-ii-topic-review.6050/#post-54284
- [P1.T3] Our currency swap question continues to elicit discussion https://forum.bionicturtle.com/threads/l1-t3-176-currency-swap-valuation-hull.4587/page-4#post-54280
- [P1.T3] Hull’s swap question which increases benefit to both counterparties who are investing rather than borrowing https://forum.bionicturtle.com/threads/hull-07-09.12150/
- [P1.T3] More on swaps and non-flat swap rate curves https://forum.bionicturtle.com/thre...nterest-rate-swap-hull.4593/page-2#post-54347
- [P1.T3] Seems like an example of a bad swap question to me https://forum.bionicturtle.com/threads/swap.12175/
- [P1.T4] What does Tuckman mean exactly by “the trader essentially has on a substantial 5s-30s steepener”? https://forum.bionicturtle.com/thre...ith-key-rates-tuckman-3rd-ed.6963/#post-54351
- [P2.T5] How do we know if the question is asking for risk-neutral price or real-world price? https://forum.bionicturtle.com/thre...nt-maturity-swap-cms-tuckman.3559/#post-54438
- [P2.T5] Sophisticated point on implied volatility made by @381447 https://forum.bionicturtle.com/threads/p2-t5-409-implied-volatility-smile-hull.7568/#post-54287
- [P2.T5] More detail on my question inspired by GARP’s 2017.P2.Q2 on normal versus lognormal VaR https://forum.bionicturtle.com/thre...-at-risk-var-and-expected-shortfall-es.10536/
- [P2.T5] The size of the yield shock in effective duration (or effective convexity) is not especially consequential https://forum.bionicturtle.com/threads/p2-t5-204-fixed-income-i-topic-review.6026/#post-54128
- [P2.T5] Explanation of Malz’ default correlation formula https://forum.bionicturtle.com/thre...l-rank-correlation-measures.10568/#post-54132
- [P2.T5] Visualization of how a cash-or-nothing binary (aka, digital) option is the sum of a short call plus a long asset-or-nothing binary https://forum.bionicturtle.com/threads/l2-t5-16-binary-options-hull.3416/#post-54419
- [P2.T5] Elaboration on compound options https://forum.bionicturtle.com/threads/l2-t5-13-compound-options-hull.3404/#post-54417
- [P2.T5] Dividends effectively discount the asset price over the entire term to maturity, so to speak, of the forward start option https://forum.bionicturtle.com/threads/l2-t5-12-forward-start-option-hull.3401/#post-54416
- [P2.T6] Thank you @QuantMan2318 for explaining how the expected future firm value is calculated in Merton’s credit risk model https://forum.bionicturtle.com/threads/p2-t6-710-merton-survival-time-and-z-spread.10598/#post-54434
- [P2.T6] Thank you @RaDi7 for spotting the mistakes in my question 709.2 https://forum.bionicturtle.com/threads/p2-t6-709-credit-risk-components.10588/
- [P2.T6] The impact of an increase in default correlation in Equity/Junior/Senior tranches https://forum.bionicturtle.com/thre...-and-structured-credit-risk.10604/#post-54468
- [P2.T7] Great point raised by @surbhi.7310 in regard to VaR versus LVaR and daily settlement https://forum.bionicturtle.com/threads/l2-t7-10-crisis-liquidity-risk-dowd.4733/#post-54388
