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  1. K

    Errors Found in Study Materials P2.T9. Investment Management (OLD thread)

    Hi, Minor typo, R76.P2.T8, Mirabile page 7. "... as little as $750" (vs S750) Rgds,
  2. K

    Errors Found in Study Materials P2.T9. Investment Management (OLD thread)

    Hi, Minor typo in the slides R73.P2.T8 Bodie, page 21, R_M vs R_m (R_M is used across the entire document and this is the only occurrence of R_m) Rgds,
  3. K

    Errors Found in Study Materials P2.T9. Investment Management (OLD thread)

    Hi, Thanks for the confirmation. I was using the following webpage for a quick verification: http://matrix.reshish.com/multiplication.php Rgds,
  4. K

    Errors Found in Study Materials P2.T9. Investment Management (OLD thread)

    Hi, R71.P2.T8 Jorion, Study Notes page 13, the calculation seems incorrect. should give us and x = In all cases, shows a dimensional problem as number x matrix = matrix (not number). Rgds,
  5. K

    Errors Found in Study Materials P2.T9. Investment Management (OLD thread)

    Hi, R70.P2.T8 Grinold page 9 of the slides Mathematically, given the that r_pa= theta_p + beta_p x r_b (3rd equation in the image below), it seems that the first equation in the screenshot below is incorrect. The first equation says: theta_p = r_p - beta_p x r_b but reckon it should be...
  6. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, R68.P2.T7 page 11, typo in the formula (note that the same typo is reproduced in the Formula sheet P2_v3 page 91). It should be sVaR t-1 instead of sVaR t+1 Rgds,
  7. K

    Win prizes for forum participation!!

    Thanks Nicole, much appreciated. I still have some docs to read in part2 and many more posts to view before the exam, so I will let it accrue for now. Thanks again, Rgds,
  8. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, Re the working of the leverage ratio. It says that the minimum should be 3% but mathematically it is expressed as Leverage Ration <= 3%. Mathematically it seems the this is translated as the maximum should be 3%. If the minimum is 3%, should not it be Leverage ratio >= 3% ? R64.T2.P7...
  9. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, Minor typo in R64.P2.T7, Hull Study Notes, page 27, the "}" character is not needed. Rgds,
  10. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, Minor: something wrong with the "bookmark not defined" in R63.P2.T7 Study Notes, page 2. Rgds,
  11. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, I think there is a typo in R61.P2.T7, Study Notes page 26, with Liabilities $100 instead of $50 ? Rgds,
  12. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, Typo in R64.P2.T7 Hull Study Notes page 6: " Solution: Referring the table 2 above for fetching the add-on factor which comes out to be 0.5% for the Interest Rate swap contract with remaining maturity (of 3 years) falling in the 1-5 years bucket. Now the credit equivalent amount can be...
  13. K

    Errors Found in Study Materials P2.T7. Operational & Integrated Risk (OLD thread)

    Hi, It seems like the end of the sentence was not properly published. R61.P2.T7, Study Notes, page 32. Rgds,
  14. K

    Netting factor

    Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
  15. K

    Netting factor

    Hi, Page 65, R46.P2.T6. Gregory Notes it says that the netting factor is given by: netting factor = NF = sqrt(n + n*(n-1)*rho-bar)/n While I see that if rho-bar = 1 (no netting benefit) then NF = 100% and of rho-bar=0, then NF = 1/ sqrt (n), I do not see how NF can be 0% with perfect...
  16. K

    Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

    Sorry, pasted the wrong image, should be read as:
  17. K

    Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

    Hi, Typo in the graph page 41: should be: Rgds,
  18. K

    Kendall's T, which is correct?

    Hi, I just realized that Kendall T = (C-D) / (C+D) Correct me if wrong, but this seems like an easy way to calculate Kendall T is: Maybe it is actually the same method, but it looks easier because one only counts the the numbers higher or lower than then the number of reference. C(i)...
  19. K

    Errors Found in Study Materials P2.T5. Market Risk (OLD thread)

    Minor Typo: The theory is elegant and has the advantage of reducing multidimensional pairwise default correlations--by assuming shared exposure to a common market factor--into a simple but powerful mathematical model. But due to the Global Financial Crisis (CFC) Should be (GFC) Rgds,
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