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  1. M

    P1.T4.321. Fixed income single-variable regression hedge

    Good afternoon, everybody, here are the answers (in case of blunders please correct, thank you beforehand): 321.1 c 321.2 d 321.3 b
  2. M

    P1.T4.319.Hedging positions with key rates, Tuckman 3rd Ed.

    Ok, David, thank you for your help, then I don`t quite understand answer c "A negative key rate exposure must be the result of a short position and cannot be the result of a long position". As far as I understand Key Rate 01 is a measure similar to DV 01 and indicates whether prices inhance or...
  3. M

    P1.T4.319.Hedging positions with key rates, Tuckman 3rd Ed.

    Good day everybody, as far as I understand the answers are as follows (please correct me if it`s not cumbersome in case of an error): 319.1 d 319.2 d 319.3 d
  4. M

    P2.T6.309. Default correlation, Malz sections 8.1 and 8.2

    If I am not mistaken the answers are as follows (I am almost sure about first two and not quite sure about last one): 309.1 c 309.2 b 309.3 c But I`ve got a question: Malz tells us that as the number of positions increases the number of defaults also increases, but I don`t understand how he...
  5. M

    P1.T4.318. Key rates exposures (Tuckman 3rd edition)

    Thank you very much David for virtually chewing it over! Now I understand that key rate shifts are of course multifactor due to adverse changes and to the effect of one key rate affecting the others that are for longer maturities. But what I still don`t understand is how it can be the KR01 are...
  6. M

    P2.T6.308. Credit default swap (CDS) spread curves (Malz section 7.3)

    By the way - it`s a great question David! Thank you for it!
  7. M

    P2.T6.308. Credit default swap (CDS) spread curves (Malz section 7.3)

    Well - I do think that it is the portion of the spread premium that the protection buyer must pay to the protection seller in case of default happens somewhere between the quarterly payments and in order to approximate this amount we put 1/2 in front of this term. But I have another small...
  8. M

    P1.T4.318. Key rates exposures (Tuckman 3rd edition)

    Well then the answers are: 318.1 c 318.2 a 318.3 I am dubious either d or b (sorry not quite understand the crux of this question)
  9. M

    P2.T6.308. Credit default swap (CDS) spread curves (Malz section 7.3)

    The answer to the first task 308.1 is c if I`m not mistaken...
  10. M

    P1.T4.318. Key rates exposures (Tuckman 3rd edition)

    Good afternoon - please could you be so kind to prompt me - it is FRM Part 1 program or FRM Part 2? Cause I don`t quite remember anything like this from FRM Part 1 program topics? Thank you beforehand for your answer... Regards
  11. M

    P2.T6.307. Hazard rate (Malz section 7.2)

    Taking into consideration that marginal default probability is 1-exp^-Lt here are the answers: 307.1 c 307.2 d 307.3 b
  12. M

    P1.T2.303 Mean and variance of continuous probability density functions (pdf)

    Yes of course I understand that, I`m not yet paid for the service because I haven`t yet registered for the FRM - so it just a matter of time... Thanks anyway:) I fully understand that it`s hard to write these questions and then to check everything...
  13. M

    P2.T6.306. Credit spreads and spread '01 (DVCS; Malz section 7.1)

    The answers are (if I am right?): 306.1 c 306.2 c 306.3 a By the way could you be so kind to explain why the spread '01 (DVCS) is generally a decreasing function of the z-spread level? Is it due to convexity? The larger the z-spread - the lower the price of the bond compared to the initial...
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