Dear @David Harper CFA FRM I woudl kindly ask for some literature that could be reference for this topic ( at this moment only have Antonio Castagna, Francesco Fede-Measuring and Managing Liquidity Risk-Wiley (2013) , but there are topics more related to prepayment modelling of mortgages, and...
Dear @David Harper CFA FRM , if you can explained more intuitively this part:
"If the term structure slopes upward on average and yet remains unchanged on
average, it must be that the upward-sloping shape is completely explained by investors’
requiring a risk premium that increases with...
Dear colleagues, I would appreciate few suggestion since I am feeling going to slowly trough material:
1. Tuckman, Chapter 2: Spot, Forward and Par Rates, QS - what is approximate time for you needed to go trough all questions?
2. generally time needed for finishing some other some other QS...
I did pretty bad (3342). I have gone trough all almost all material and mock exams which by the are real representer of exam ( on mine opinion, thanks @David Harper CFA FRM ), still failed due to time problem mostly and maybe exam strategy. I would appriciate support on...
I did not participate exam, but please find bellow what I collected from previous comments, type of question and related comment I found in order to explain question more specific:
1. Calculating ES - "I too remember that loss values in were given in decreasing order...
Dear @Lasberm would you be kind to recall in more details what you meant under following questions:
-arbitrage - was there some specific question or you referring only to arbitrage as essential concept
-Strategy: Bull/bear/covered/protective - more details about specific questions
Dear @Coot I would appreciate if you can recall more details about this question..in specific I am confused since wrong way risk is more part II topic, so this makes me little bit confused..thanks a lot in advance
Dear @Paramveersaini I wolud appreciate if you can recall that question regarding insurance company..it goes to category of "common sense financial questions.." that could be tricky and personally do not like them:)Thanks in advance
Dear Nicole, I wold kindly ask for help regrading finding some spreadsheet example of Monte Carlo simulation. I am sure there are plenty but did not manage to find them by searching by tags? Generally, if I want to search for all available Davids spreadsheets what is best approach?
Sorry, mine mistake, actually it is assumed that portfolio volatility and benchmark volatility are the same 10%.Just according to mine intuition, I was expected that higher return corresponds to higher volatility (at least when we are talking about efficient portfolios),but it looks like in this...
Sorry if missed something, but why do you think that RF should be stated in the question? It could be derived from the equations?
Maybe irrelevant but I am afraid I am missing something methodologically important.
Thanks in advance
Dear Nicole and David thanks a lot for stimulating our participator on forum. Because I am planning to extend mine package to PART II in future or renew mine membership, I will let it accrue for that purpose if it is possible.
Thanks in advance
Dear David ,
I will kindly ask for help regarding this topic. Suppose if I want to quantify market and funding liquidity risk separately.
Under this my first taught is:
- for funding liquidity risk what will be PnL loss in case of utilizing expensive sources of funding ( suppose negative...