David, is it correct to say that while RAROC adjusts returns for only non-systemic/firm-specific risk (by deducting the expected loss), ARAROC adjusts for both systemic and non-systemic risk (by also deducting the equity beta)? Thank you!
Has anyone been able to find the 3 Mark Carey ORR assigned readings (from the GARP Risk Institute) online? A search does not bring up anything. Is my understanding correct that the content covered in those readings is exactly what is in Hull Chapters 15 & 16? Thank you!
I believe this is an error (can someone please confirm?)
Reading: Rose & Hudgins Chapter 7
Page: Top lines of page 26
Error: The 4 words with a strike out in these lines should read the opposite.
Essentially, if the leverage duration gap is positive, then a parallel change in all interest...
Reading: Ang, Illiquid Assets (Chapter 13).
Page 16
In the third equation, the coefficient on the lagged observed return is missing a theta in the numerator.
@Nicole Seaman This might be a silly question, but is there any difference between P1 and L1 in the question names? Is it just a name change from 'Part' to 'Level'? In other words, are both P1 and L1 questions relevant for part 1 prep? Thanks!
Thank you David. You're right! I was indeed thinking about distribution of a univariate sample mean. Makes sense that for the regression's slope coefficient, the variance would embed the sigma^2/n term but also include the variance of the explanatory variable.
Hi David, the solution to this problem says that for a test with size alpha, the probability of including a single irrelevant regressor is 1-alpa. Shouldn't this probability be alpha instead, which is basically the probability of making a Type 1 error (reject a true null is equivalent to...
Hi David, Equation 7.11 in the 2020 GARP Book 2 says that per the CLT, the estimate of the slope coefficient (beta_hat) follows a normal distribution with mean centered around the true slope and the variance = sigma^2/[n*sigma_x^2]. If this is true, then why do we assume the variance of beta_hat...
Thank you to all those who took the exam this weekend and remembered some of the stuff. Good luck to you all! Were there any questions on exotic options? And in statistics, did they test on time series and on the less common distributions (other than binomial, passion, uniform and normal)? Seems...
@David Harper CFA FRM Thank you, David! I understand now why the discount rates are so much more important than the spot rates. The discount rates are unique by maturity, the interest rates depend on the compounding freq. Its a bit discomforting to realize that I picked up this key concept this...
@David Harper CFA FRM I have a question on the Law of one Price. Since the discount factors incorporate the compounding frequency information, a d(1) with annual compounding is NOT equal to a d(1) with semiannual compounding, correct? Mathematically, the first one is 1/(1+r), the second one is...
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.