What's new

Recent content by filip313

  1. F

    Interpretation of Yield-To-Maturity

    Thanks David. It is clear now. The worked example makes it really easy to understand!
  2. F

    Interpretation of Yield-To-Maturity

    Hi, I have a question on the assumptions behind Yield-To-Maturity. I have read the Yield-To-Maturity (YTM) chapter on the Tuckman (chapter 3 on my edition) that explains why YTM is a measure of the realized return to maturity of a bond. My understanding of the explanation is as follow: If...
  3. F

    par yield, YTM, and spot rate

    Thank you David. That's exactly what I mean. Without an explicit indication of the compound frequency and of the type of yield , the generic concept of yield/yield curve is not precise.
  4. F

    par yield, YTM, and spot rate

    Hi everyone, When I think about yield curve I get really confused on how yield/rates are reported on the curve. In this article for example: https://blogs.cfainstitute.org/insideinvesting/2013/01/07/i-can-tell-what-interest-rates-are-supposed-to-be-in-the-future-can-you/ The basic chart at...
  5. F

    VaR not Subadditive , Coherent Risk Measure

    Thank you David. I think I understand, but can we solve this using the conditional probability formula? i.e. P(A|B) = P(A∩B) / P(B) where P(B) = 0.0125 and P(A|B) = 0.01 Or this does not make sense?
  6. F

    VaR not Subadditive , Coherent Risk Measure

    Hello, Here there is a really good explanation of why VaR does not satisfy the sub-additivity condition of coherent risk measures: http://www.risk.net/risk-magazine/technical-paper/1506669/var-versus-expected-shortfall (If the page does not load try to stop the loading and then refresh it)...
  7. F

    2014 Part 1 Published Materials

    Thank you very much David.
  8. F

    2014 Part 1 Published Materials

    Hi David, I have started the review (Part 1 Exam on the 17th) and I am looking for the best way to test my knowledge, but I am not sure I'll have time to do all the exercises available. So far I have completed only the global topic drills for the 4 sections. Based on the fact that I have a...
  9. F

    P1.T2 Miller Question Sets general question

    Thank you for the explanation David!
  10. F

    P1.T2 Miller Question Sets general question

    Hi, I have done the Miller question set (T2.301 - T2.308). For some of the exercise is required to calculate integrals and derivatives. I understand that they are pretty basic and that they support the comprehension, but my understanding is that there are no querstions in the FRM part 1, which...
  11. F

    R8.P1.T2.Miller_v3 - 209.1

    Hi Alex, Thank you for the explanation. I think i understand now. I was a bit confused at the beginning because of the default rate and also because on my text the formula for the standard error is actually Std Error = Std Dev/SQRT(n). Thanks, filip
  12. F

    R8.P1.T2.Miller_v3 - 209.1

    Hi, I red the explanation in the thread, but I still can't understand the trick of the Standard error in 209.1. I do not understand how do you go from n*p(1-p) to p(1-p)/n ? Why do you divide by n^2? Could someone please point me in the right direction? Many Thanks
  13. F

    Help with GARP Sample exam questions - Quantitative Analysis

    Thank you for the clarification. So what I am wondering is why GARP left the 2 questions in the official material of 2014. They give you only 10 sample questions for the entire Quantitative Analysis book and 2 out of these 10 are not relevant... I understand the one with the square root rule...
  14. F

    Help with GARP Sample exam questions - Quantitative Analysis

    Hi, Could someone please explain the answers to these 3 questions in the second book af GARP official material (Quantitative Analysis)? 6. You simulate the price path of stock HHF using a geometric Brownian motion model with the fiollowing parameters: Drift = 0 Volatility = 0.2 Time step =...
Top