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  1. Dr. Jayanthi Sankaran

    2015/2016 Curriculum Change Analysis

    Thanks so much @emilioalzamora - helped me a lot!
  2. Dr. Jayanthi Sankaran

    Happy Easter David to you and to your family :)

    Happy Easter David to you and to your family :)
  3. Dr. Jayanthi Sankaran

    Wow - Brian - very impressed!

    Wow - Brian - very impressed!
  4. Dr. Jayanthi Sankaran

    Yes - Singapore is heaven on earth. So clean and full of greenery all over! This is my second...

    Yes - Singapore is heaven on earth. So clean and full of greenery all over! This is my second visit after five years. My brother and his family are Permanent residents of Singapore. Have a well deserved vacation in Japan :)
  5. Dr. Jayanthi Sankaran

    Off to Singapore for three weeks for a much needed break!

    Off to Singapore for three weeks for a much needed break!
  6. Dr. Jayanthi Sankaran

    Great - so happy to hear :)

    Great - so happy to hear :)
  7. Dr. Jayanthi Sankaran

    Thanks David - yes - am doing some very interesting work now!

    Thanks David - yes - am doing some very interesting work now!
  8. Dr. Jayanthi Sankaran

    Happy Birthday David!

    Happy Birthday David!
  9. Dr. Jayanthi Sankaran

    Week in Risk Week in risk (ending Jan 15th)

    Wish I had the time - but somehow have to make the time! Thanks:)
  10. Dr. Jayanthi Sankaran

    Hearty congrats! You deserve it for all the hard work you put in :)

    Hearty congrats! You deserve it for all the hard work you put in :)
  11. Dr. Jayanthi Sankaran

    Merry Christmas and a Happy New Year folks :)

    Merry Christmas and a Happy New Year folks :)
  12. Dr. Jayanthi Sankaran

    Very nice! Thanks for the info - appreciate it.

    Very nice! Thanks for the info - appreciate it.
  13. Dr. Jayanthi Sankaran

    MFE - Masters in Financial Engineering? From where?

    MFE - Masters in Financial Engineering? From where?
  14. Dr. Jayanthi Sankaran

    Happy Thanksgiving to you and to your family Brian!

    Happy Thanksgiving to you and to your family Brian!
  15. Dr. Jayanthi Sankaran

    So great to be back!

    So great to be back!
  16. Dr. Jayanthi Sankaran

    VaR question from past GARP sample exam

    Hi @monachima505, I don't find any problem with the wording of the question. It says that the "worst 5 losses in the past 100 trading days". Also, although not explicitly mentioned in the question, sometimes the portfolio is traded less actively, and some of the instruments in the portfolio are...
  17. Dr. Jayanthi Sankaran

    GARP.FRM.PQ.P1 FMP

    Hi Priyanka, There are two parts to this question: (1) Finding the price of the 7% coupon bond which is $101.30, and (2) Finding the price of the 4.5% coupon bond which is $96.55* *Please note that you can get the $96.55 price for the 4.5% coupon bond whether you go, *Long 5% coupon plus short...
  18. Dr. Jayanthi Sankaran

    GARP.FRM.PQ.P1 FMP

    Hi Priyanka, 5X + 8(1-X) = 4.5 5X + 8 - 8X = 4.5 -3X = -8 + 4.5 = -3.5 X = 3.5/3 = 1.1667 1-X = 1 - 1.1667 = -0.1667 This gives us: 1.1667*(97.50) + (-0.1667)*(103.2) = 96.55 Yes, you are right - my mistake:oops: Instead of 1.1667, I wrongly typed in 1.6667. Thanks for pointing that out! What...
  19. Dr. Jayanthi Sankaran

    Just bought this book - The title is "Professional Financial Computing Using Excel & VBA by...

    Just bought this book - The title is "Professional Financial Computing Using Excel & VBA by Tung, Lai, Wong and Ng." Need to set aside time!
  20. Dr. Jayanthi Sankaran

    Model Risk Management and the FRTB regime

    I found this article on GARP to be a useful summary of challenges facing market risk modelers in adapting their models to the FRTB http://www.garp.org/#!/risk-intelligence/detail/a1Z40000003LViKEAW/model-risk-management-under-frtb-regime
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