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P2.T5. Market Risk (25%)

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Nicole Seaman
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Errors Found in Study Materials P2.T5. Market Risk
3 4 5
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20,830
evelyn.peng
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OAS spread
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464
Headfield
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Dv01 for interest rate swap
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17,574
msoler96
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Evolution of short term interest rates (Construction of Tree in case of upward sloping curve)
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69
imran88
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Delta of Short EUR Call Option
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8
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2,188
Nicole Seaman
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Black-Scholes the cumulative normal distribution function parameters d1 and d2.
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13
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9,675
San955
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Market risk internal model input in capital adequacy ratio
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87
delalma
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L2.T5.43 Multi-period binomial interest rate tree (Tuckman)
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5
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210
David Harper CFA FRM
A
P2.T5. Jorion - VAR mapping - currency futures - Practice question number 19 on page 57
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4
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246
Nicole Seaman
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Calculating Expected Shortfall
2
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22
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19,863
David Harper CFA FRM
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DV01 neutral hedge
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Jose V
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Bivariate gaussian copula
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2
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Jose V
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jorion chapter 11 mapping var
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txiong
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Risk neutral Probability calculation - Three step process
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158
PJAYAKUMAR
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Kurtosis with stochastic volatility
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170
vasvet
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Kurtosis empirical evidence
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0
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117
vasvet
S
Vasicek model recombining tree
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3
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874
Rohit
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P.2 T5 Dowd study notes pg 10 confidence intervals
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10
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1,084
txiong
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Is Variance monotonious
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12
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619
David Harper CFA FRM
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Var% in currency forward VaR
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0
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182
delalma
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Logistic Distribution
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6
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267
sapozan
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[VaR Mapping] Cash-Flow Mapping
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13
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1,945
David Harper CFA FRM
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Var of a loss
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6
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276
sapozan
S
Formula
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4
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289
sapozan
N
Optimal hedge ratio with futures which expire later than holding period
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0
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156
notifygsingh
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Clarifying Understanding for Ch 4 - Backtesting VAR
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2
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229
frm_prep
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Non-parametric methods of calculating VaR and ES.
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1
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233
David Harper CFA FRM
Q
Curve shape based on Vasicek model
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1
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379
Matthew Graves
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Backtesting
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6
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446
delalma
A
Practice question 3 - Backtesting VaR
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10
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4,944
David Harper CFA FRM
E
Comparison of VaR methods
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9
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3,866
hp97
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