TYPE

• Delta normal stock option [practice, valuation] 19 Mar 2010

  34. The current share price and daily volatility of a stock are USD 10 and 2%, respectively. Using the delta-normal approximation, the 95% VaR on a … read more

• Random variable variance [quantitative] 19 Mar 2010

  AIM:  Define, calculate and interpret the variance of a random variable. The expectation of a random variable X is called the mean and typically denoted by … read more

• EV of random variable [quantitative] 19 Mar 2010

  AIM:  Define, calculate and interpret the expected value of a random variable. Expected value is the weighted average of possible values. In the case of a … read more

• Metallgesellschaft L1 [practice, foundation] 18 Mar 2010

  33. In late 1993, Metallgesellschaft reported losses of approximately USD 1.5 billion in connection with the implementation of a hedging strategy in the oil futures … read more

• Statistical independence [quantitative] 18 Mar 2010

  AIM:  Explain the difference between statistical independence and statistical dependence. Statistical independence is when the value taken by one variable has no effect on the value … read more

• Marginal versus conditional probability [quantitative] 18 Mar 2010

  AIM:  Describe marginal and conditional probability functions. Marginal probability A marginal (or unconditional) probability is the simple case: it is the probability that does not depend … read more

• Does risk management add value L1 [practice, foundation] 17 Mar 2010

  32. There are many reasons why risk management increases shareholder wealth. Which of the following risk management policies is least likely to increase shareholder wealth? [source: … read more

• Univariate versus multivariate [quantitative] 17 Mar 2010

  AIM:  Distinguish between univariate and multivariate probability density functions A single variable (univariate) probability distribution is concerned with only a single random variable; e.g., roll of … read more

• Density functions: pmf/pdf [quantitative] 17 Mar 2010

  AIM:  Describe and interpret the probability mass function, probability density function, and cumulative density function for a random variable. A random variable is characterized by a … read more

• Cotton forward price L1 [practice, products] 16 Mar 2010

  31. The current spot price of cotton is USD 0.7409 per pound. The cost of storing and insuring cotton is USD 0.0042 per pound per … read more

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