What's new

Search results

  1. P

    Impact of Netting on Exposure

    Why will the netting benefit be the greatest when a party enters into a trade with positive initial MtM and negative correlation? Can someone please explain the link between the two? Thanks a lot in advance.
  2. P

    GARP.FRM.PQ.P1 Doubts with DV01. (garp09)

    Assuming other things constant, bonds of equal maturity will still have different DV01 per USD 100 face value. Their DV01 per USD 100 face value will be in the following sequence of highest value to lowest value: a. Zero coupon bonds, par bonds, premium bonds b. premium bonds, par bonds, zero...
  3. P

    MG Case Specifications

    Hello, my doubt is with regard to MG's much widely discussed hedging strategy failure. Although I am aware of their hedging strategy but I would like to ask the meaning of a particular explanation I came across,' MGRM offered the customers contracts to buy fixed amounts of heating oil and...
  4. P

    GARP.FRM.PQ.P1 VAR Exceedances (garp10-p1-39)

    In 2006, UBS reported no exceedences on its daily 99% VaR. In 2007, UBS reported 29 exceedances. To test whether the VaR was biased, you consider using a binomial test. Assuming no serial correlation, 250 trading days, and an accurate VaR measure, you calculate the probability of observing n...
  5. P

    F-statistic and T-statistics

    1)For a sample of 400 firms, the relationship between corporate revenue (Yi) and the average years of experience per employee (Xi) is modeled as follows: Yi = β1 + β2 Xi + εi, i = 1, 2,...,400 You wish to test the joint null hypothesis that β1 = 0 and β2 = 0 at the 95% confidence level. The...
  6. P

    Option Greeks

    I.Portfolio Manager Sally has a position in 100 option contracts with the following Greeks, theta=+25000 , vega=+330000 and gamma = -200 . Which of the following additional trades, utilising generally ATM options will neutralise (hegde) the portfolio with respect to theta, vega and gamma ? 1...
  7. P

    GARP.FRM.PQ.P1 FF Model

    According to Bodie, Kane, Marcus each of the following is true, could someone please explain me how is it so? 1. While SMB (Small Minus Big) and HML (High Minus Low) are not themselves the candidates for relevant risk factors , the argument is that these variables are proxies for fundamental...
  8. P

    GARP.FRM.PQ.P1 Please solve these questions.

    1) Which of the following loans has the lowest credit risk? The table data file is attached. It was asked in the quiz.Please explain Question 8 Choose one answer. a. Loan A Incorrect b. Loan B Incorrect c. Loan C Correct d. Loan D Incorrect The correct answer is C The 1 year probability of...
  9. P

    PQ-external Hedging, Bonds & Yield Based Hedging

    Hello, Please help me with the following questions : What is value required to hedge a key rate exposure of $27.5 with another security with key rate exposure of $9.75, both having similar face value? Choose one answer. a. 35.45 Incorrect b. 282.05 Correct c. 37.25 Incorrect d. 268.13...
  10. P

    Explanation needed for Tuckman's Partial 01s exposure.

    Hello, I am confused between key rate exposures, bucket exposures and partial 01s with reference to multi factor risk metrics. Could someone please help me by summarising these topics? Also, highlight the key differences between them. Thanks a ton. Priyanka.