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P1.T4. Valuation & Risk Models (30%)

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Nicole Seaman
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Errors Found in Study Materials P1.T4. Valuation & Risk Models
2 3
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53
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8,945
pbhalava
Threads
W
ch3. measuring and monitoring volatility
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3
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196
Nicole Seaman
O
unconditional default probabilities
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0
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42
owias
Eustice_Langham
The Coupon Effect
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2
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92
Eustice_Langham
M
How to set a stoploss
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168
Maxim Rastorguev
afterworkguinness
Structural Monte Carlo
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7
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1,389
David Harper CFA FRM
D
Most commonly used market risk models in financial institutions
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0
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300
delalma
T
Delta Neutralisation of a portfolio
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14
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502
Detective
D
Covariance matrix size in delta normal VaR
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0
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113
delalma
H
Historical Simulation
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5
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162
Nicole Seaman
H
Computing delta of an ATM call using N(d1)
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1
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115
David Harper CFA FRM
N
Calculation of macaulay duration and Modified duration
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3
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200
nickkl
mastvikas
Calculate the bond price using forward rates/Par rate
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7
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11,213
vasan_mnm
T
Risk-neutral probability
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4
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1,485
David Harper CFA FRM
Sixcarbs
Monotonicity
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8
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342
ami44
G
Portfolio's Annual Value at Risk (VAR) at a 5 percent probability level
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4
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152
David Harper CFA FRM
Sixcarbs
Interpolating VaR by the hybrid method. Why create a false entry? (Allen)
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11
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314
David Harper CFA FRM
L
CALCULATE LOSS RATE
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5
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250
David Harper CFA FRM
T
BSM Model d1 and d2 and finding applicable z score
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3
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193
Tim_Rogers
T
Two step binomial model
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3
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144
Tim_Rogers
D
Girsanov's Theorem
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4
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270
ShaktiRathore
L
Stress testing and other risk management tools
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3
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234
David Harper CFA FRM
M
Expected and unexpected losses:a practical case
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0
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155
Maxim Rastorguev
S
Normal IV vs. Log-normal IV
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4
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288
Shan Pet
A
Vol swaps versus variance swaps
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0
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155
akrushn2
C
Key rates
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2
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269
ChristofferLoov
M
Hull: binominal trees learning spreadsheet
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8
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398
Maxim Rastorguev
K
General query on probability of default.
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2
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277
kausthub
A
Tuckman Table 5.4: First Five Rows
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2
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362
David Harper CFA FRM
A
Table 5.2: Key Rate DV01s and Durations of 30-year C-STRIP
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2
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507
David Harper CFA FRM
A
Replicating Portfolio, Tuckman Table 1.5
Replies
4
Views
451
arpitasaraswat
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