linear-derivatives

  1. Nicole Seaman

    P1.T4.24.4. VaR, ES, and Linear Derivatives

    Learning Objectives: Describe and calculate VaR for linear derivatives. Describe the limitations of the delta-normal method. Explain the Monte Carlo simulation method for computing VaR and ES and identify its strengths and weaknesses. Describe the implications of correlation breakdown for a VaR...
  2. Nicole Seaman

    P1.T3.21.8. Derivatives for hedging

    Learning objectives: Define derivatives, describe the features and uses of derivatives and compare linear and non-linear derivatives. Describe the specifics of exchange-traded and over-the-counter markets, and evaluate the advantages and disadvantages of each. Differentiate between options...
    • Nicole Seaman
    • Thread
    • arbitrageurs derivatives exchange-traded-markets forward-contract-payoffs forwards futures-contract hedgers linear-derivatives non-linear-derivatives option-contract-payoffs options over-the-counter-market speculators
    • Replies: 0
    • Forum: FRM® Practice Questions
  3. Nicole Seaman

    P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen)

    Learning objectives: Explain and give examples of linear and non-linear derivatives. Describe and calculate VaR for linear derivatives. Describe the delta-normal approach for calculating VaR for non-linear derivatives. Questions: 805.1. A fund manager's $1.0 million bond portfolio contains...
  4. G

    R25.P1.T4.ALLEN_Ch 2& 3:Topic:VAR_LINEAR_DERIVATIVES

    In reference to R25.P1.T4.ALLEN_Ch 2& 3:Topic:VAR_LINEAR_DERIVATIVES :- In cases, where the Delta is a constant, is the value of the constant always 250 or do we have different valued constants for Different- " Types " of Linear derivatives..? Like say 350 for a "Oil Futures" Contract..?
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