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  1. 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
  2. Dr. Jayanthi Sankaran

    Basel Faces Opposition Buildup as Scandinavia Rejects Risk Plan

    An interesting read on how the Global Minimum capital requirements for Home Loans (across EU borders) is not viable: http://www.garp.org/#!/risk-intelligence/detail/a1Z40000003KR25EAG
  3. Dr. Jayanthi Sankaran

    The Financial Choice Act: A Guide to the Republican-Proposed Do Over for Dodd-Frank

    Here we go again: http://www.garp.org/#!/risk-intelligence/detail/a1Z40000003CZfYEAW
  4. Dr. Jayanthi Sankaran

    Financial System Stability Assessment - IMF Report

    This seems to be a great resource on the FSSA globally: https://www.imf.org/external/np/fsap/fsap.aspx
  5. Dr. Jayanthi Sankaran

    US FDIC Chair Thomas M. Hoenig: Why risk-based capital is far too risky!

    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. 38 COMMENTS The risk-based capital system that was long used to...
  6. Dr. Jayanthi Sankaran

    How to Keep Loans Performing: Business Snapshot 2.3 Hull/RMFI

    Hi David, 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...
  7. Dr. Jayanthi Sankaran

    Repo's and Balance Sheet Liability in Banks during the 2007 Crisis

    Hi David, 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...
  8. Dr. Jayanthi Sankaran

    Ch 5: Miller Study Notes, Pg 79

    Hi David, In the problem below: Sample mean $22.64 Sample standard deviation $18.14 Sample size (n) 200 Standard error 1.28 Confidence 95% 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...
  9. Dr. Jayanthi Sankaran

    GARP 2015 Sample Exam, #11, Page 344 P1.T3.

    Hi David, #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...
  10. Dr. Jayanthi Sankaran

    Dirty Price of US Treasury, page 80, Study Notes, Hull Ch 6 - Interest rate futures

    Hi David, In your study notes as referenced above, I don't understand how you get Years from last coupon = 2.5 years in your example. Would be grateful if you would elaborate:) Thanks! Jayanthi
  11. Dr. Jayanthi Sankaran

    Pg 5, PQ set, Saunders Reading 22

    Hi Nicole, The link on Page 5, PQ set, Saunders Reading 22 is not working. I did do a search for it but could not find it. Would be grateful if you would fix it. Thanks a tonne:) Jayanthi
  12. Dr. Jayanthi Sankaran

    Hull 07.03 Pg 183-184 - Financial Markets and Products - PQ set

    Hi David/Nicole, 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...
  13. Dr. Jayanthi Sankaran

    Pages 71-72 of Tuckman - PQ set #28.2

    Hi David/Nicole, The reason I am posting this question and answer here is that the link on page 72 is not working:) Question 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...
  14. Dr. Jayanthi Sankaran

    Pgs 59, 64, 66, 68, 70, 72, 76 - Tuckman PQ set

    Hi David: 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...
  15. Dr. Jayanthi Sankaran

    Terminology - Bond equivalent basis

    Hi David, 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...
  16. Dr. Jayanthi Sankaran

    Application of Yield Based Convexity to Table 12-6 pg 223 Tuckman

    Hi David, 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...
  17. Dr. Jayanthi Sankaran

    Yield Based DV01 and Duration - pg 222 Tuckman - GARP Handbook

    Hi David, 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...
  18. Dr. Jayanthi Sankaran

    Pg 105, #18.20 Hull, Chapter 19: The Greek Letters - PQ set

    Hi David, 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: Question...
  19. Dr. Jayanthi Sankaran

    Pg 101, #18.17 Hull, Chapter 19: The Greek Letters - PQ set

    Hi David, As referenced above and cited below: Problem 18.17 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...
  20. Dr. Jayanthi Sankaran

    Problem 18.10 pg 95 PQ set Hull Chapter 19: The Greek Letters (Hull Text Q & A)

    Hi David, 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...