What's new

Search results

  1. S

    Dollar Duration -- is there a Macaulay and Modified version of this also?

    Believe it or not, I am actually having to use my FRM-BT knowledge in my work:-) I know what are D-Mac and D-Mod and also that DV01 is the same as "dollar duration." Question for you: Is there actually something called Macaulay Dollar Duration and a Modified Dollar Duration?
  2. S

    Your blog entries?

    Hi David: I am visiting your site after a while. In the old days (2008. 2009) you used to maintain a blog or a running list of some items (not forum, not screencasts) -- but things you've noticed in the current financial environment, interesting links to articles you may have read, books...
  3. S

    Tutorial material for ALM and Counterparty Credit Risk

    Hi David -- I am former student for yours (FRM 2008) -- always enjoy your site and the materials therein. I am looking for "David Harper" quality tutorial materials for ALM and Counterparty Credit Risk. I notice that you've advertized KESDEE (sp?) which appears to sell such stuff. Do you know...
  4. S

    ABS Valuation spreadsheet?

    Hi David, This is a FRM 2008 graduate and a former and current subscriber to BT: do you know of an article or a XLS that illustrates how to price a bond whose coupon and principal are funded by pools of credit card receivables. The pools are tranched into senior, mezzanine and equity...
  5. S

    KMV Portfolio Manager -- Learning Spreadsheet

    David, Just renewed my premium membership....Do you have a XLS that illustrates the end to end process for computing Economic Capital for a portfolio of loans? --sridhar
  6. S

    Are the 2009 Early Bird Webinars archived?

    David. I couldn't find the recorded webcasts of the two webinars in the Home or Premium sections? I must be lookin at the wrong place. --sridhar
  7. S

    FRM 2008 -- passed....

    David, Will you be at the GARP convention in NY Feb 9-11th? If you do, come stop by the SAS booth...I will be there. It will be a great honor to actually see you in person... --sridhar
  8. S

    FRM 2008 -- passed....

    David: Thanks for your response...Again, many thanks to you. Now I've a confession to make...I started my prep in June of last year and started reading Gujarati and Hull and spent a lot of time with it...Finally in mid-July, I started reading Tuckman for fixed-income and couldn't make any...
  9. S

    FRM 2008 -- passed....

    Hi David: Today was a momentous day....I live in North Carolina, but joined thousands of others on the national mall in Washington DC, for Barack Obama's inaugural...As he was being sworn in at noon on Jan 20, I kept looking at my blackberry for incoming email -- the email signal was sporadic...
  10. S

    Calculating duration

    I saw a practice question from the FRM Practice 2007 (I got these either from your site or from the back of the FRM Handbook CD)– please see below. In the explanation – it says that the approx duration is 7.0. How is this calculated? --sridhar 74. Hong Kong Shanghi Bank has entered into...
  11. S

    Quick ? on cost of carry

    I refer to a slide in the CRAM session (pages don't seem to be numbered when I printed it out...anyway...) You say: Cost-of-carry = r + u -q If we are given the convenience yield can we just subtract it from the above to compute the cost of carry? --sridhar
  12. S

    Practice question on portfolio insurance

    Question from FRM 2006: "You want to implement a portfolio insurance strategy using index futures designed to protect the value of a portfolio of stocks not paying any dividends. Assuming the value of your stock portfolio decreases, which strategy would you implement to protect your...
  13. S

    FRM 2008 Handbook questions _ should I take a look at it?

    David, You are so comprehensive and thorough! Your response is very helpful. Let me seek clarification based on your response: 1 I want to take a whack at the in-chapter questions based on my studies so far. You recommend, I try the questions from 2001 and later....Correct? Skip questions...
  14. S

    FRM 2008 Handbook questions _ should I take a look at it?

    I am starting to focus on practice tests, Bionic quizzes etc. Perhaps this is not the time to ask this -- but should I also try to set aside time to attempt the questions in the body of the FRM 2008 Handbook. I don't want to overdo the exams from multiple-sources at the expense of coherence and...
  15. S

    Fast method of pricing an American call option for a non-dividend paying stock

    In my previous post, when I said "I can always SELL the call", I meant I can always SELL back the call i bought. In fact my discount broker allows a "SELL to CLOSE" option. Closing off my long call.
  16. S

    Fast method of pricing an American call option for a non-dividend paying stock

    David: I am a little puzzled at your answer. Also puzzled at your "not particularly useful, nobody acts this way" comment. Hull gives a detailed explanation for why an American call option (on non-div stock) is never optimal to exercise. If I buy a CISCO Jan 2010 call at a strike of 20, I...
  17. S

    Fast method of pricing an American call option for a non-dividend paying stock

    David: Please clarify something. I came across a problem asking to price an American call option for a non-dividend stock using a 2-period model. Since this is non-dividend, we can use the exact same procedure as if we are valuing a European call option, correct? Since it is never optimal...
  18. S

    Investment Grade ratings

    Is there an easy mnemonic to remember what grades and above constitute investment quality? From Credit Risk A screencasts (30-33) it seems like BBB and above is investment grade for S&P;? What is the corresponding demarcation for Moody's? --sridhar
  19. S

    Your LVaR briefcast

    (I had trouble posting a comment on the briefcast page. I always get screwed by that word I am supposed to type that matches the one in the image. Don't know what I am doing wrong...) Anywho.... David: I just saw your screencast here...There might be a small boo-boo in your XLS. When you take...
  20. S

    Question on volatility of equity

    On page 51/79 in the formula sheet -- at the very top, you have a formula for the volatility of equity... What is "E" in the denominator -- I checked in the study notes.. You've it there as well, but no explanation of what "E" is? --sridhar