What's new

Search results

  1. M

    Refining Alphas - Scaling and Trimming Alpas - AIM 53.2

    Sorry for my poor choice of words (this is not my native language). This was in no way meant as a criticism towards you. Like in the specific example at hand what I was referring to were the - probably few in number, but very large in consuming my time - cases where there is simply not enough...
  2. M

    Refining Alphas - Scaling and Trimming Alpas - AIM 53.2

    Thanks for taking the time! My subjective impression was that this problem was less prevalent in the literature for Part 1. However, in Part 2 basically every other page I come across some ambiguous wording. Then I draw my circles around the BT notes, BT forum, the original literature, Schweser...
  3. M

    Errors Found in Study Materials P2.T8. Investment Management

    Study notes R76.P2.T8: whereas the book says:
  4. M

    Refining Alphas - Scaling and Trimming Alpas - AIM 53.2

    I have the same question. Also, in the study notes you mention, volatility, IC, scale and score. Then there is a table where "modified alphas" are presented: However, there is no definition for "modified alpha". Is it the score, i.e. alpha divided by the scale? Also, the notes suggest that...
  5. M

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk

    In the finalizing Basel III chapter (R69): According to the Basel paper: NOTE: Fixed and updated in the study planner
  6. M

    Risk adjusted pricing (De Laurentis)

    The "cost of capital" in the RAROC numerator does not include the "cost of shareholders' capital" which is part of the EVA definition, correct?
  7. M

    Definitions of probability of default vs. cumulative or marginal probability of default

    Thanks, this makes a lot of sense. I got stuck on the formulas so that I did not see table 4.5.
  8. M

    Definitions of probability of default vs. cumulative or marginal probability of default

    Hi, in book 2, chapter 4 (or the BT study notes), the following definitions are presented: I do not understand how to read the second definition. [t, t+k) is a continuous set. Therefore, I do not see how the numerator is supposed to be defined here. Even if I assume that we simply iterate...
  9. M

    P2.T5.504. Rank correlations: Spearman's and Kendall's

    You are right, of course. Thanks :)
  10. M

    P2.T5.504. Rank correlations: Spearman's and Kendall's

    Hi! The LO does not say anything about calculating the correlation measures. Do we need to do this in the exam?
  11. M

    Exam Feedback May 2019 Part 1 Exam Feedback

    With regard to my studying: 250-280 hours I used the Schweser books for all the LOs, concepts etc. If in question I referred to the GARP books, sometimes also the BT study notes. I found the Schweser notes most accessible due to the very clean formatting and typesetting. Also the way they were...
  12. M

    Exam Feedback May 2019 Part 1 Exam Feedback

    Mine as well. For the moment I'm at 1111 and pass. I hope it will be the last flip for this time.
  13. M

    Exam Feedback May 2019 Part 1 Exam Feedback

    Mine shows 4444 and passed. I'm very certain that my real quartiles are better than that.
  14. M

    Definition of network risk: Ch. 7

    Thank you very much for your detailed response, this makes a lot of sense to me!
  15. M

    Definition of network risk: Ch. 7

    In chapter 7 of book 1, network risk is defined. However, I do not understand it or the example that is given. This comes directly from Brunnermeier (2009) since it is identical to the book. In the given example Goldman has a swap agreement with the hedge fund which in turn has a swap...
Top