Market Risk Measurement and Management
Hi, I hope you are keeping well.
Any hint in order to calculate a historical Value at Risk of Forward Bond (Goverment Bond 5 years, Bullet semmi-annual, Forward 3 Months)?.
Please your support.
Just passed L1, Any idea on how to go about for L2 preparation for May’19 attempt? study grp would be good…any1?
Any idea on coaching for FRM L2 in Bangalore? what are the options and which 1 is the best?
I’m having trouble understanding the following statement
“If the delta of a call option is 0.4, then in order to hedge the sold call option, the option seller needs to purchase 0.4 stocks for every option sold”
I understand the math behind delta. What I don’t understand is, why does someone hedge a sold call? (While the call itself is a hedge)
Is it to be able to close the short call position and exit their obligation in the event that the spot price of the underlying far exceeds the strike price?
Hi All, I have been reading for days trying to get to the bottom of this question, however I don’t have a solid enough math background to reach the answer. I want to simulate the performance of an asset and I am assuming it is normally distributed and it will behave in a similar manner in the future.
1-) Take the daily changes in an assets price
2-) Apply natural log on those price (LN)
3-) Calculate the Average and Sd of (2)
4) Multiple the average by 250 to arrive at the annual expected return and Sd by Sqrt(250) to arrive at annual volatility
Hello, I found out two different methods to calculate the probability: Here you are the question and answer:
Hello, I’m confused about a very easy question, how to calculate the lognormal Var. Here you are the question and answer:
how is this calculated?
The answer is B. However, I don’t think this is the right answer. My calculation is as follows:
Assuming we should buy x contracts,
That is, x=-1153.
It will be grateful if anyone could point out my mistake in calculation.
I’m studying with the new material from Wiley, but I’ve found some (I think) inconsistencies:
A) volume 1 page 59: the formula at the center of the page should be 1000/(1+0.065/2)=968.52 and not 1000(1+0.065/2)…
Good day! With regards to liquidity risk management in the bank, do you have any knowledge on how to set assumptions for the Maximum Cumulative Outflow (MCO or liquidity gap) in the bank? is there a standard or best practice on setting the assumptions? Many thanks!
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