New practice questions
- P1.T2.713. Uniform, binomial, Poisson distributions (Miller Ch.4) http://trtl.bz/2jp1GX7
- P2.T5.712. Backtesting value at risk (VaR) exceptions http://trtl.bz/2yJIytN
- Information ratio (FRM T1-11) http://trtl.bz/2AElOrH
- Downside risk measures: semi-deviation, downside deviation, and Sortino ratio (FRM T1-12) http://trtl.bz/2zTrMsz
- [general] Very common question, Will the exam provide N(d1) or do we need to know how to calculate http://trtl.bz/2yNSX7T
- [GARP.2017.P1.51] https://forum.bionicturtle.com/threads/garp-2017-p1-51-garp17-p1-51.12366/
- [P1.T1] The Treynor exceeds the market’s excess return by exactly alpha/beta, α/β https://forum.bionicturtle.com/threads/treynor-measure.12367/
- [P1.T1] Thank you @berrymucho for awesome explain of information coefficient and alpha https://forum.bionicturtle.com/threads/information-ratio-v-t-stat-on-alpha.8860/#post-54911
- [P1.T1] How mathematically the non-systematic component reduces to zero as portfolio granularity increases http://trtl.bz/2ypqqkH
- [P1.T1] Relationship between the single-factor model and CAPM https://forum.bionicturtle.com/threads/r10-p1-t1-bodie_ch10_single_factor_model_vs_capm.12355/
- [P1.T1] How is the SML arbitrage portfolio determined? https://forum.bionicturtle.com/threads/r10-p1-t1-bodie_ch10_portfoloio_arbitrage_sml.12356/
- [P1.T2] What does the F-stat signify in a multivariate regression? https://forum.bionicturtle.com/threads/multiple-regression-coefficient-testing.12368/
- [P1.T3] What determines whether it is optimal to early exercise an American style option? https://forum.bionicturtle.com/threads/american-option.12328/
- [P1.T3] Fun, short question wrong-way risk https://forum.bionicturtle.com/threads/highest-exposure-question.12363/
- [P1.T4] Good exploration of the assumption that single-factor sensitivities imply parallel yield curve shifts http://trtl.bz/2iSWBCv
- [P1.T4] On the sometimes counter-intuition of why the mean return (in Hull’s lognormal property of stock prices) scales DOWN with time http://trtl.bz/2hSP4nJ
- [P1.T4] Thank you @QuantFFM for spotting a typo in our hybrid historical simulation (HS) exhibit that could create confusion https://forum.bionicturtle.com/threads/calculating-revised-var-hybrid-approach.9857/#post-54787
- [P1.T4] Good summary of swap rates as par rates by @jcklam http://trtl.bz/2i0pjSf
- [P1.T4] Backward induction in the binomial option pricing model https://forum.bionicturtle.com/threads/backward-induction-calculation.12317/
- [P1.T4] What is the impact of an increase in volatility on option delta? https://forum.bionicturtle.com/threads/p1-t4-400-option-delta-hull.7651/page-2#post-54870
- [P1.T4] Questions about option theta (TBD) https://forum.bionicturtle.com/threads/p1-t4-403-option-theta-hull.7686/#post-54868
- [P1.T4] It’s hard to get the units right in portfolio volatility based on shocking key rate ‘01s (KR01s) https://forum.bionicturtle.com/thre...rward-buckets-tuckman-3rd-ed.6975/#post-54973
- [P1.T4] My VaR aggregation cheats on the HS VaR by using Excel’s PERCENTILE() function https://forum.bionicturtle.com/threads/return-aggregation-var.12365/
- [P1.T4] Understanding why changes in coupon rate would impact yield https://forum.bionicturtle.com/threads/r10-p1-t1-bodie_ch10_portfoloio_arbitrage_sml.12356/
- [P1.T5] Which measure of convexity is correct? https://forum.bionicturtle.com/threads/p2-t5-206-fixed-income-iii-mbs-topic-review.6044/#post-54843
- [P1.T5] Which non-parametric HS measures are “semi-parametric,” and which can produce a VaR/ES estimate in excess of the worst loss https://forum.bionicturtle.com/threads/l2-t5-80-filtered-historical-simulation-dowd.3699/
- [P2.T6] Why exactly is credit exposure like a short option position? https://forum.bionicturtle.com/thre...risk-terms-continued-gregory.7125/#post-54816
- [P2.T6] A classic GARP-type question on credit default swap (CDS) that requires a careful reading https://forum.bionicturtle.com/threads/practice-exam-2017-p2-5.10428/#post-54760
- [P2.T6] Realistically it is unlikely that you will need to CALCULATE marginal CVA http://trtl.bz/2ypjYu5
- [P2.T7] The difference between P/L and L/P in VaR and ES https://forum.bionicturtle.com/thre...iew-of-the-trading-book-hull.9768/#post-54991
- [P2.T7] More discussion about Malz’ representation of an option (derivative) position on the economic balance sheet http://trtl.bz/2AzB89b
- [P2.T7] On the interpretation of Hull’s worst case default rate (WCDR) in the one-factor Gaussian copula model of time to default https://forum.bionicturtle.com/thre...-capital-under-basel-ii-hull.8480/#post-54773
- [P2.T7] Thank you @uness_o7 for identifying the equivalence between Dowd and Hull’s expected shortfall (ES)! https://forum.bionicturtle.com/thre...iew-of-the-trading-book-hull.9768/#post-54774
- [P2.T7] Is Hull’s Worst Case Default Rate (WCDR) the same as credit VaR (CVaR)? https://forum.bionicturtle.com/thre...-capital-under-basel-ii-hull.8480/#post-54773
- [P2.T7] Does OpRisk VaR include expected loss? https://forum.bionicturtle.com/thre...onal-risk-basel-topic-review.6895/#post-54790
- [P2.T9] Why might a monetary sovereign prefer to default rather that inflate (aka, print money) to avoid default https://forum.bionicturtle.com/threads/corporate-debt-in-emerging-economies.12338/
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