Hi David,
I have a practical difficulty while calculating Unexpected Loss of Portfolio as suggested by you in BT Presentation 6.f and Excel 6.f.4
When i take square of UL of Exposure 1 ($ 178,511) in an excel sheet i get the answer as 31,866,177,121 while in texas calculator i get it as...
David,
Thanks a lot for all your assistance. I cleared FRM Level 1 in first attempt and I am in the First quartile in all the 4 subjects. Without you and your assistance this would not have been possible...Cheers..Amit
Hi David,
Thanks for the brilliant explanation in layman's terms..Now the concept is crystal clear to me. I missed the point that Spot was also moving and the contango or backwardation is not a static concept but it is a dynamic situation which keeps on happening on a month on month basis...
Hi David,
I went thru this case and also your and Jacks discussion on the same but i could not get 1 simple concept clear. can you pls help me with a simple example
1) MG had Long position in short term futures.
2) Markets went into Contango.
3) Now if MG is in a long position he is...
Hi David,
i seemed 2 b 2 stressed out and am not able to reach to solution to this simple problem. Can you pls help
Bank has a cash position of 1M Euro. The Euro exchange rate is 0.95 USD/EUR. The one-day Euro exchange rate is normally distributed with mean 0.95 and standard deviation...
David,
I carry the same confusion as in your excel sheet 4.a.1 you have specifically mentioned the undermentioned words in your comments to scaling factor.
" don't worry about this formula, the point is that autocorrelation increases the VaR "
Pls clarify
Thanks & Best Rgds
Amit
Hi David,
How do we calculate the undermentioned in Scientific calculator ?( More specificaly BAII PLUS)
What is the Net Present Value of a yearly payment starting at 100 and increasing 2% yearly for 15 years, when the discount rate is 4%? Round to the nearest tenth.
Ans is 1260...
Hi David,
I have some confusion in the way this question has been answered. It states that "Expected decline in supply should increase further term commodity price"
Though i can see that the reason is due to the escalated storage cost taking cost of carry higher and hence in Contango, i...
10. Suppose X follows an AR(1) model: X(t) = 0.1 + 0.8*X(t-1) + e(t), where, E(e(t)) = 0. What is the long term mean of X?
B is correct. For a AR(1) model of the form: X(t) = alpha + beta X(t-1) + e(t), where E[e(t)] = 0, the long term mean of X is alpha / (1-beta).
For this problem, the...
Hi David,
Thanks for the clarification, I did not have any explanation. The source had only given answer directly. So sorry i dont have anything additional which i can share.
Thanks and warm rgds..Amit
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