I found this article on GARP to be a useful summary of challenges facing market risk modelers in adapting their models to the FRTB
Thought that this was a very timely and relevant article: WSJ Aug. 11, 2016 7:21 p.m. ET
Why ‘Risk-Based’ Capital Is Far Too Risky
A risk-based system inflates the role of regulators and denigrates the role of bank managers.
The risk-based capital system that was long used to...
I don't know where to post this - so thought I would post it here. I am not very clear on the 'Debt Rescheduling' of Mexican/Brazilian/Argentinian debt in the early 80's.
According to Hull "In the early 1980's, many LDC's were unable to service their loans. One option for them was...
In one of your videos covering repo's and the haircuts during the 2007 crisis, you mention that the cash borrowed appears in the Bank Balance sheet as a liability. This caused a run on the shadow banking system.
The example is a bank borrowing say $100 (the buyer of the repo) against...
In the problem below:
Sample mean $22.64
Sample standard deviation $18.14
Sample size (n) 200
Standard error 1.28
Critical t 1.972
Lower limit $20.11
Upper limit $25.17
I don't understand how you get the critical t value to be 1.972. Critical t at 95% two-tailed turns...
#11 above is as follows:
A homeowner has a 30-year, 5% fixed rate mortgage with a current balance of USD 250,000. Mortgage rates have been decreasing. Which of the following is closest to the amount that the homeowner would save in monthly mortgage payments if the existing mortgage...
I am very sorry to be posting my query on this separate thread. It so happens that there is no student forum thread for all questions from Hull in this PQ set.
Hull.07.03: A $100 million interest rate swap has a remaining life of 10 months. Under the terms of the swap, 6-month...
The reason I am posting this question and answer here is that the link on page 72 is not working:)
28.2 Assume a ZERO-COUPON bond with par value of $100 an yield (YTM) of 6%.
a) If the maturity is five years (5 years), use duration to find the DV01.
b) If the...
For the problem below:
316.3. Sarah won a lottery that gives her a choice between two payouts. Neglecting any liquidity or counterparty risk, she simply wants to select the option with the higher present value. Her choices are between an annuity and a perpetuity:
I. The annuity will...
Q. 315.3. Assume the reference term structure, which happens to be the theoretical Treasury spot rate curve, is flat at a semiannually compounded rate of 1.30% per annum. A $100 par bond with a 20-year maturity pays a 4 3/8 coupon (4.375% coupon rate) and has a current price of...
I have the following questions:
(1) Will the FRM require us to apply equation (12.49) on page 226 to data such as those on Table 12-6 pg 223 of Tuckman for yield based convexity?
(2) On time-weighting the Present Value in Table 12-6 by (t/2)*(t+1)/2, I get the convexity = 27.98...
I wanted to find out whether the FRM requires us to know equations of the type (12.34) and (12.35) for yield based DV01 and (12.36) and (12.37) for yield based modified or adjusted duration. I am not very good at differential calculus to arrive at these complicated equations. Will...
I seem to be stuck on Portfolio Insurance not able to move forward unless I understand it thoroughly. This is taking a lot of valuable time from Fixed Income which will be the next topic. Sorry about bombarding you with the same topic.
As referenced above and cited below:
As referenced above and cited below:
A fund manager has a well-diversified portfolio that mirrors the performance of the S&P 500 and is worth $360 million. The value of the S&P 500 is 1,200, and the portfolio manager would like to buy insurance against a reduction of...
As referenced above, problem 18.10 of Hull is:
What is the delta of a short position in 1,000 European call options on silver futures? The options mature in eight months, and the futures contract underlying the option matures in nine months. The current nine-month futures price is $8...