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  1. Z

    Exam Feedback May 2019 Part 2 Exam Feedback

    Eu euqities exceeded 18m budget and 16.6 matches the US Var figure
  2. Z

    Exam Feedback May 2019 Part 2 Exam Feedback

    spread is already approximated by spread=PD*LGD
  3. Z

    Exam Feedback May 2019 Part 2 Exam Feedback

    I think mine was 4k too. 50*200-60*100=4k
  4. Z

    Exam Feedback May 2019 Part 2 Exam Feedback

    yes, it's the size of loss, frequency of loss will use binomial, neg binomial or poisson distriution. op risk i chose legal costs.
  5. Z

    Jorion Chapter 6 Question 10

    I was going over the practice questions and got stuck with the equation 6.3/6.4, could you please help me with that? How was LR derived?
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    Mod duration formula

    In the example of Mapping a two-bond portfolio, the spreadsheet used (1-(1+YTM)^-Maturity)*1/YTM, I might've seen this formula in p1 but cannot remember, is this an alternative of calculating mod duration?
  7. Z

    Term structure theories (Hull Chapter 4)

    Can someone help me under stand this solution in a understandable way rather than memorizing it?
  8. Z

    2 scenarios: futures contract with predetermined price or future spot price

    Are you differentiating the underling position by "expressing view"? I am just trying to find another way to help myself understand better. This part has always been hard for me. If seller sells in future at predetermined price, he is betting against price increase which is a short view whereas...
  9. Z

    2 scenarios: futures contract with predetermined price or future spot price

    Hi This is a bit of fundamental but this part has always got me confused. Please correct me if I am not thinking in the right direction: Consider a coffee producer who plans to sell 100 pounds of coffee on a future date under two different scenarios: To a key customer, the coffee producer...
  10. Z

    Errors Found in Study Materials P1.T3. Financial Markets & Products

    In the study notes of Hull chapter 4 p10, the chart is a long call not a long put as stated in the questions?
  11. Z

    Correlation update and volatility forcasting

    In the section of forecasting volatility, a few questions were asking updated correlations by first update volatility of A,B and cov of A,B, then get the updated and cov and correlation. Under GARCH(1,1), is there a reason why some questions are using different w for correlations and volatility...
  12. Z

    Errors Found in Study Materials P1.T2. Quantitative Methods

    Under P1T2, there were supposed to be two formulas calculating volatility which in the pdf refers to equation 10.2 and 10.4 but I didn't find it in the notes nor the practice questions. Could you please point me to the right direction? Thank you
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    EWMA model returns

    Additionally, under Hull's chapter, why would more weights be assigned to recent observations than older? Weight is declining as more recent observations are being added though, changing λ from 0.95 to 0.85 shouldn't allocate more weights, should be less right? Please guide me as I probably...
  14. Z

    EWMA model returns

    Hi, I am reviewing the EWMA model section and found returns were calculated on straight (Pt+1/Pt)-1, shouldn't the returns be calculated on log basis? Also what's the assumption for the test per se?
  15. Z

    Errors Found in Study Materials P1.T2. Quantitative Methods

    In S&W chapter study notes, p36 where it denotes the k as number of slope coefficients. It says in the case for a two-variable regression, k=1. I think it was meant to say in a single-variable regression, k=1?
  16. Z

    Errors Found in Study Materials P1.T2. Quantitative Methods

    Hi, I am looking at R13.P1.T2.Miller study notes and need some help. On page 107, for the 80% non-star manager who are underperformer or just in-line performer, underperformer has the beat/doesn't of 25%/75% while in-line performers have the equal split of 30% vs. 30%. Could you please provide...
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    P1T1 CAPM vs APT, APT not included in study notes

    Hi, I am looking at Elton, Modern Portfolio Theory, Chapter 13 / Study Notes: Elton, Chapter 13 but only able to find CAPM not APT also not in later chapters as I see questions related to APT or APT/CAPM comparisons in the question set under this chapter. Could someone point me to the right...
  18. Z

    IMPORTANT! PLEASE READ: Publishing Process for 2018

    Thanks @Nicole Seaman. One more question, how do I know if all materials under certain section have all been posted and there won't be any new publications. Sorry I am new to the Forum just don't want to miss anything and I am still getting used to the setup. Thanks
  19. Z

    IMPORTANT! PLEASE READ: Publishing Process for 2018

    Hey guys, I am watching the Part I under topic Crouhy, The Essentials of Risk Management, Chapters 1, 2 & 4 and the instructional video but it only has 32 min of chapter 1, where can I find the 2 and 4, also study notes includes contents from 1,2,4 but inconsistent with video. New to the...
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