On last FRM exam, there was a question like:
Portfolio of 68 bond equally weighted, each 2 million worth. 6 defaults were expected and defaults were independent.
What is 95% Credit VaR?
The answer I have found was:
6*2 - 2*68*0.04 = 6.56mil
I suppose the binomial model is used here but...
i am little confused with short&long hedge difference.
In the notes, it says short hedge is agreement to sell in the future.
In later notes, it says key difference is whether future price is determined.
What's the connection between these two statements?
e.g. for the coffee bean farmer...
Could you recommend some textbooks related to how to deal commodity such as the crude oil, silver, corn.......
what's the nature of the commodity, process, delivery,settlement.....
I'm curious in that stuff and think it might be a good stuff to read about.
i noticed that the Topic 5 review video mentioned some topics that are not covered in the chapter notes, such as OAC, CPR....
Does that mean the content is removed from the test because the video is outdated (2012)?
The learning objectives in the notes does not cover such topics in the...