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Recent content by rahul.goyl

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    FRTB How is 99% VaR is approximatley equal to 97.5% ES on Excel

    Hi Shakti/David, Thanks for replying to the post, I somehow not understanding the concept behind doing so. Why are we doing Standard Normal of CDF (Norm.S.Dist) to convert in PDF. Could you please throw more light why is that required in ES multiplier. I don't see any such recommendation on...
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    FRTB How is 99% VaR is approximatley equal to 97.5% ES on Excel

    I come across numerous question about 99% VaR is equal to 97.5%, also some research claim & has also put up the below where 99% Z Value of 2.34 using excel function (NORM.S.INV) Equal 97.5% Z Value of 2.338 using excel function (NORM.S.DIST) or However when using excel functionality I am not...
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    In calculating of the average for ES, should I include the 100th loss?

    I come across numerous question about 99% VaR is equal to 97.5%, some research has also put up the below or However when using excel functionality I am not able to produce the same 2.34 value for 97.5% ES. The below are results which excel 2010 produce, please correct me why am not able...
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    FRM Fun 17 (stock option Var), P1 only

    Thanks a lot Shakti & David.
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    What will be the Delta Normal VaR for a Long Call option & a short Call option

    Please help in understanding the below VaR of a long call option (delta normal) Delta = .75 Position= 50 price= 8 Vol= .25 VaR of a Short call option (delta normal) Delta = .75 Position= 50 price= 8 Vol=.25 Please revert with calculation, I wish to know if the VaR for both is excatly...
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    Credit Risk Exposure

    Hi David, Thanks a lot for such strong intution, understood though PFE is positive (Gain) but still the whole amount is at risk in terms of CVaR context if counterparty defaults. (Correct me If am wrong) Thanks Rahul
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    CVA and RWA Effects on Balance Sheet (IMP Aim of FRM)

    Hi Team, Could you please elaborate on the CVA effects in portfolio context on the Bank BS. (IMP AIM of FRM) Also how the RWA could be adjusted considering CVA netting off at portfolio level. (Not sure if this is possible) 1) Could we show a netoff effect on BS or both CVA and RWA...
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    Credit Risk Exposure

    Hi David, Could you elaborate on Step 2 & 3, what is the intution behind below formula Sigma*Vol (+-) R Thanks
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    FRM 2008 Practice PII question 7 - pfol insurance using index futures

    Hi All, @Ajsa delta-neutral hedge using Only Options, however in the Question we are using Synthitic Hedging using No. of Future Contract * put delta (Negative) a. Buy an amount of index futures equivalent to the change in the call delta x original portfolio value. c. Buy an amount of...
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    Scaling VaR for IR Swap

    Hi David, It was good learning for me to understand this concept better, obviously this make sense, for answer to your last question "what is the daily vol of annual 30% under mean reversion (non i.i.d or A()<>0), for scaling purpose I think we should be using sophisticated models such as ARCH...
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    Scaling VaR for IR Swap

    Hi David, If you look at the link provided by you for calculating the AR, I have replicated the same on to excel. It does takes sqrt in calculation, if you look at the formula pasted by me on my Excel sheet. column 2: daily 1.47% scales to 30% under AR(1) = 0.25 The vol number 1.47%...
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    Scaling VaR for IR Swap

    Hi david, I am still not sure, I want to share my calculation with you. I look at this, if Vols are +ve auto correlated, it follows +ve exponents (Which is Always increasing function) (Vice-Vera for Negative) So if we think in simple terms (Given Positive Auto-correlation) the daily...
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    Scaling VaR for IR Swap

    Hi David, I agree what you say but not with S.R.R, there is again an typo error on the below link. Which change the complete meaning of Positive & Negative Auto-Correlation. Kindly have a look, I have replicated the same. For 20g. If the Autocorrelation = .25 , implied daily vol = 2.43%...
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    Duration will understate the position

    Hi David, I am not sure if am getting this correct, In the below post, Duration will overstate for Negative Yield shock (- 25 Bps) instead Understate & (Vica-Versa) Understate for Positive Yield Shock (+25 Bps). >> http://www.bionicturtle.com/wiki/FRM2009.L1.12/ 12c. If the bond...
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    Scaling VaR for IR Swap

    Hi David, I am refering to your below wiki Link.. I wanted to know the correct measure of scaling VaR in the below case. Your help is always invaluable. http://www.bionicturtle.com/wiki/FRM2009.L1.09/ c. In the answer above, the square-root-rule is employed to scale the daily yield...
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