Option Pricing: I do not remember exactly question on pricing option with lognormal instead of implied volatility but I think that the answer was that you get lower prices for both equity and ccy option
CVA running estimate: I calculated it as EE * spread.
On the PD for two years I get 8%...
don' t worry, this time I'm wrong !
405.1: now I get the correct interpretation for the market timing score. I was wrongly calculating the correct forcasts, because I took into account the overall underlying period of 14 years and not 7 years. In addition the question clearly states...
Hi BT Team,
in 405.1 :
I do not understand if we have to compute the proportion of corrects forecasts of bear/bull markets over the seven or the fourteen years period.
I was comuting P(1) and P(2) over the overall period and having differents observations:
P(1) = 4/4 and P(2) = 7/10
score = P(1)...
I'm a little confused about question n° 5
Question: A risk manager is analyzing a 1-day 97.0% VaR model (an uncommon confidence level, you probably noticed). Assuming 250 days in a year, what is the maximum number of daily losses exceeding the 1-day 95% VaR that is acceptable in a...
Hi, in Readings for Regulatory Reference 2014 we have also the following:
Nadine Gatzert, Hannah Wesker, “A Comparative Assessment of Basel II/III and Solvency II,” Working Paper,
Friedrich-Alexander-University of Erlangen-Nuremberg, Version: October 2011.*
It seems that this is an old (from...
Hi BT Team,
concerning Credit Risk Management, GARP has assigned readings on the Gregory - new edition 2012, covering an important part of CR material:
R45 > Jon Gregory, Counterparty Credit Risk and Credit Value Adjustment: A Continuing Challenge for Global Financial Markets, 2nd Edition
If I'm not wrong, in the "Suggested" study planner we have already about 8 PQ pdf files related to most of T4 topics.
Let me take this occasion to asking @David if for May 2013 exam we will have PQ on Tuckman new readings, specially chapters 5-6.
exactly I was working on PDF file. I apologize for submit you a question already existing, but I did not found path as in the pdf.
In any case, I really appreciate your complementary explanation, for a better understanding of VaR's subadditivity violation.
Thank you very much.
Concerning PQ 29.1 VaR Coherent risk measure ,I do not understand the reasoning about Prob of zero default=[95%^3].Is alpha considered as the prob that the bond will not default?
Given the PD bond, I'm tempted to measure the prob of no default as [1-PD].
Thank you very much four your...
Suzanne thanks for your promt response.
I ask you just one more clarification: we have to collect all practice questions from prevoius years and "today quiz" or BT provide us with refreshed questions for topic T1, T2, T3 and T4 ? I mean, last week you published different docs with questions for...
I have the following question about 2013 study planner:
In order to reach a complete preparation on each topic and practice the maximum questions, optimizing the time remaining to the exam day, do you advice going through practice questions and videos published for previous...
regarding question 12.11.6 pag.133 - option stategy, with given data
I don’t get the same profit as in your answer. It seems that Kput used to calculate net profit in the answer is different from data provided in the question...