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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
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tattoo
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Delta Neutralisation of a portfolio
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Detective
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Covariance matrix size in delta normal VaR
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53
delalma
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Historical Simulation
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5
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94
Nicole Seaman
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Computing delta of an ATM call using N(d1)
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66
David Harper CFA FRM
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Calculation of macaulay duration and Modified duration
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3
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96
nickkl
mastvikas
Calculate the bond price using forward rates/Par rate
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7
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10,962
vasan_mnm
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Risk-neutral probability
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4
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1,374
David Harper CFA FRM
Sixcarbs
Monotonicity
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8
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242
ami44
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Portfolio's Annual Value at Risk (VAR) at a 5 percent probability level
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4
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86
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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206
David Harper CFA FRM
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CALCULATE LOSS RATE
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5
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183
David Harper CFA FRM
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BSM Model d1 and d2 and finding applicable z score
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3
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118
Tim_Rogers
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Two step binomial model
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3
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92
Tim_Rogers
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Girsanov's Theorem
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4
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201
ShaktiRathore
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Stress testing and other risk management tools
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3
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149
David Harper CFA FRM
afterworkguinness
Structural Monte Carlo
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5
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1,202
danghara
M
Expected and unexpected losses:a practical case
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0
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122
Maxim Rastorguev
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Normal IV vs. Log-normal IV
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4
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225
Shan Pet
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Vol swaps versus variance swaps
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100
akrushn2
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Key rates
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2
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167
ChristofferLoov
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Hull: binominal trees learning spreadsheet
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8
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314
Maxim Rastorguev
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General query on probability of default.
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2
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218
kausthub
A
Tuckman Table 5.4: First Five Rows
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2
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311
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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431
David Harper CFA FRM
A
Replicating Portfolio, Tuckman Table 1.5
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4
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276
arpitasaraswat
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Calculation of the N(-D1) and N(-D2) values for BSM model in the FRM Part 1 Exam
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1
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732
wool
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Hedging with greeks
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0
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183
siddharthmahanty
Jorge.Beca
Parametric VaR
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1
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235
David Harper CFA FRM
H
derivative coupon bond
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2
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491
David Harper CFA FRM
C
WCS worst case scenario
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8
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1,348
evelyn.peng
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