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Recent content by Plirts

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    Hypothesis to test B0 and B1 in regression analysis

    It was very helpful, thank you!!
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    Hypothesis to test B0 and B1 in regression analysis

    Hi! Sorry, I have another Qn from Schweser Practice Exam I do not understand. The last from me, hopefully. Qn 74, Practice Exam 2: Greg Barns and Jill Tillman are discussing the hypothesis they wish to test with respect to the model represented by Yi=B0+B1*X+ei. They wish to use standard...
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    Which duration should be used for hedge calculation?

    Hi! Qn: You hold a $75 million portfolio with a duration of nine and a one-year hedging horizon. There is an appropriate one-year futures contract quoted at 104-13 with a duration of eight and a contract size of $100,000. Which is hedge for small changes in yield? (Source: Schweser Practice...
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    Does HB lead for mechanical pencil classify as "soft lead"?

    Hi! Could someone please advice with technical qn... I would like to use mechanical pencil, would it be OK with HB lead? GARP says: "Pencils (#2) or mechanical pencils (soft lead)". Thanks
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    CVA valuation using Monte Carlo

    Hi! Probably it will be explained in video and my apologies for the question. But I'd like to understand 2nd step. "If A default, it is gain/loss for B and B's losses/gains are positive/negative"? How can loss be positive? And if cpt default, the only gain I could think of is the case where B...
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    option on a dividend paying stock

    Thanks, it is clear now. My main point was in case of cont. dividend if "ln(S/K)" remains as it is but I did not think about double reduce. Thanks, Plirts
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    option on a dividend paying stock

    Hi! I hope we will not need this formula on the exam, but still... Would it be enough to reduce stock value by the present value of dividends (i.e. S = S0-PV of all dividends) and use this new stock price in d1 OR will the dividend rate q also appear in d1 formula in part (r-q+sigma^2/2)? Thank...
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    Ethics: less strict local law vs Code: follow local law?

    Hi! Could pls someone confirm that it is different from CFA (where " In the event of conflict, Members and Candidates must comply with the more strict law, rule, or regulation."). GARP member should: "Where local requirements conflict with the Code, such requirements will have precedence."...
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    Basket CDS Value & Correlation

    David, many thanks indeed! It helped a lot! "Spread" was the most confusing part/word for me, "premium" makes more sence. Best, Kaari
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    Basket CDS Value & Correlation

    Hi! Thank you for this explanation, was very helpful, indeed. But I still have some Qn on this topic, hope you can clarify. Lower correlation --> senior tranches less risky, lower CDS premium, fine. But is this CDS premium yield+ (in this case according to price/yield relationship, price should...
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    RAROC formula in study notes, example #1 on page 5: a mistake?

    Hi! Just to check... RAROC formula, Example # 1, page 5: COF should be 50 MM (instead of 47.5MM) and RAROC 10% (not 15%) or is there a trick to obtain COF of 47.5MM? Thanks, Kaari
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    How to derive forward interest rates from spot rates (Hull vs Tuckman)

    Hi! I'm confused about forward interest rate calculation, Hull (ch 4) uses RF=(R2T2-R1T1)/(T2-T1), Tuckman (ch 2) instead computes from formula (1+r(0,2)/2)^4=(1+r(0,1.5)/2)^3+(1+f(1.5,2.0)/2)^1. I'm sure the answer is just here but I can't see... Is it about compounding? Should I memorize both...
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    Hi! Sorry, but I couldn't post my question into forum. No box for message... I'm confused about...

    Hi! Sorry, but I couldn't post my question into forum. No box for message... I'm confused about forward interest rate calculation, Hull (ch 4) uses RF=(R2T2-R1T1)/(T2-T1), Tuckman instead computes from formula (1+r(0,2)/2)^4=(1+r(0,1.5)/2)^3+(1+f(1.5,2.0)/2)^1. I'm sure the answer is just here...
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