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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 4
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61
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10,517
David Harper CFA FRM
Threads
R
Key rates defined in terms of par yields infer the hedge position
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2
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93
rohinjain
Eustice_Langham
Hedging Non-Parallel Term Structure Shifts
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2
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100
Eustice_Langham
N
Bond price vs Forward Rate
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3
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351
David Harper CFA FRM
N
VaR for Equally likely outcomes
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2
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139
nag_san
W
ch3. measuring and monitoring volatility
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3
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284
Nicole Seaman
O
unconditional default probabilities
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0
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85
owias
Eustice_Langham
The Coupon Effect
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2
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144
Eustice_Langham
M
How to set a stoploss
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0
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193
Maxim Rastorguev
afterworkguinness
Structural Monte Carlo
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7
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1,471
David Harper CFA FRM
D
Most commonly used market risk models in financial institutions
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0
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328
delalma
G
Delta Neutralisation of a portfolio
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14
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594
Detective
D
Covariance matrix size in delta normal VaR
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0
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140
delalma
H
Historical Simulation
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5
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204
Nicole Seaman
H
Computing delta of an ATM call using N(d1)
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1
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153
David Harper CFA FRM
N
Calculation of macaulay duration and Modified duration
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3
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262
nickkl
mastvikas
Calculate the bond price using forward rates/Par rate
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7
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11,480
vasan_mnm
T
Risk-neutral probability
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4
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1,566
David Harper CFA FRM
Sixcarbs
Monotonicity
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8
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410
ami44
G
Portfolio's Annual Value at Risk (VAR) at a 5 percent probability level
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4
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193
David Harper CFA FRM
Sixcarbs
Interpolating VaR by the hybrid method. Why create a false entry? (Allen)
Replies
11
Views
391
David Harper CFA FRM
L
CALCULATE LOSS RATE
Replies
5
Views
292
David Harper CFA FRM
G
BSM Model d1 and d2 and finding applicable z score
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3
Views
259
Guest 61086
G
Two step binomial model
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3
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181
Guest 61086
D
Girsanov's Theorem
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4
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305
ShaktiRathore
L
Stress testing and other risk management tools
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3
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311
David Harper CFA FRM
M
Expected and unexpected losses:a practical case
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0
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175
Maxim Rastorguev
S
Normal IV vs. Log-normal IV
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4
Views
394
Shan Pet
A
Vol swaps versus variance swaps
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0
Views
213
akrushn2
C
Key rates
Replies
2
Views
327
ChristofferLoov
M
Hull: binominal trees learning spreadsheet
Replies
8
Views
447
Maxim Rastorguev
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