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    Impact of Netting on Exposure

    Thanks, however you mean to say that with negative correlation the contract 2 would go down by 5,right ? Also, starting with Initial +ve MtM will be more beneficial , could you explain that part too?
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    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.
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    MG Case Specifications

    Thank you so much, David. Although, I am still not being able to comprehend their strategy but I shall refer to the resource link shared by you. Thanks for your time.
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    GARP.FRM.PQ.P1 Doubts with DV01. (garp09)

    I am sorry, I couldnot track it earlier. Thanks a lot, David. Makes it clear now.
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    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...
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    GARP.FRM.PQ.P1 VAR Exceedances (garp10-p1-39)

    Thanks a lot, David. Appreciate your effort. In your opinion,is this one of the tricky questions of GARP or is it the regular standard based?
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    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...
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    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...
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    Option Greeks

    Thanks a lot, Shakti. This is very helpful. Thank you for your time. Thanks, David. However, I am unable to view the same due to lack of appropriate permission.
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    Option Greeks

    Thanks a lot, your explanation makes it very clear. However, when faced with such questions in the exam we'd need quick thinking and I hope you could shed some light on the second part of my question . I understood the first one given by you.
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    Coskew and Cokurtosis in Miller Chapter 3 (P1 FRM)

    David, your explanation is very helpful. Thank you for your efforts. I have one request,if I may, could you please explain the meaning of co skewness and co kurtosis in very simple terms? Also, what are their implications and uses in practical work scenarios in very brief. Just couldn't catch up...
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    F-statistic and T-statistics

    Thank you so much David. This is very helpful.
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    GARCH equations

    Could someone please provide me with the formula of covariance calculation for GARCH and EWMA model when estimating the changed correlation? There are two assets A and B with change in their prices and previous day's volatities and correlation. I have calculated the changed volatities but...
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    GARP.FRM.PQ.P1 FMP

    Thanks David and Dr.Jayanthi . I think the main reason for my confusion was the flaw in the question with respect to the no parity of the discount factors across the bonds. But I think its solved now.
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    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...
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    GARP.FRM.PQ.P1 FMP

    @Jayanthi Ma'am : So, the answer to this question must pertain to the price of the coupon bond which is 101.30, right? Also, this question is flawed as pointed out by David but in an ideal situation we should equate the X% long position in the 5% coupon bond and (1-X)% long position in the 8%...
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    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...
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    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...
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