SkipE99 Wrote: ------------------------------------------------------- > autocorrelation positive is type 1 and negative > type 2 no? Yes this is correct.
Direct Quote in USD USD/JPY and JPY:USD Ha!!
Factors Influencing Option Value Div: higher Div, lower call value, higher put value Int: higher interest rate, higher call, lower put V: higher volatility, higher call, higher put Underlying: higher underlying asst price, higher call value, lower put Time: longer time until expiration, higher call, higher put Strike: higher strike price, lower call, higher put. DIVUTS
“sexy pamela is an x-rated cougar” S + P = X/(1+r)^t + C
CFAS Contago=Futures Above Spot
Here is a summary of the Treynor Black model extracted from my notes. You can download it from the following location: ttp://www.sendspace.com/file/oa4stg ttp://www.megaupload.com/?d=VYRRWKRK ttp://rapidshare.com/files/234387235/treynor-black.pdf.rar.html It is based on CFAI text practice problem 1 in reading 69. The password is analystforum.
Very scholarly
SS4 Theory of (contest)able markets - it is like a ‘contest’ for lower prices - When barriers because of regulation removed, competition spikes up and contest for lower prices between firms
^ The number of firms in the industry doesn’t matter. I think it’s because if they raise prices and more profits are made, then new entrants will come in to make economic profit = 0. I think the point Schweser is trying to make is that there is a ‘perceived’ equilibrium where all the firms fear raising prices. Kind of reminds me of the kinked model or whatever that thing was called…
Investment Objectives Risk n’ Return Investment Constraints LLTTU Liquidity, Legal, Time, Tax, Unique Careful, I could easily see the CFAI mixing these to confuse us.
Nominal spread ~= Z-spread = OAS + Option value. Z-spread is added to treasury spot rates (when using as discount rates for bond valuation), whereas OAS is added to interest rates in binomial trees. Since Z-spread includes option value, it is no good to be used in valuation of bonds with embedded option. For a z-bond, Z-spread = OAS.
SEE = SqRt MSE Think about driving down the highway, looking at a speed limit sign (MSE… “Mph Sign” which is “square”) If I don’t have my contacts on, the sign is big (blurry, imprecise) and I’m very uncertain about how fast I should go (dependant variable) If I do have my contacts on, I can SEE clearly, and the sign is small (clear, precise), I’m pretty certain about how fast I should go. Big SEE = Bad (uncertain abt dependant variable) Small SEE = Good (certain) Just something I thought of… might help you, might not, and I hope I’m not explaining something that’s blatantly obvious Conditional Heteroskedasticity… Heteroskedasticity sounds like a weird pagan ritual (Detect with Breusch-Pagan test) Now think about a heterosexual white guy you know (chances are, you are one)… so you use white-corrected errors for heteroskedasticity… keeping in mind this hetero white guy… Heteroskedasticity results in too many Type I errors. hetero white guys have a body part that looks like a I (use your imagination) But what the hell is a Type I/Type II error?? So the hetero white guy with the I is at a nightclub… he’s a really good guy, but he gets rejected by some hot chicks (type I error= rejecting a true (good) null (guy) Now there’s a really hot, super drunk chick at the same club… she’s so drunk she goes home with a toothless old pervert (TWO-thless)… she “accepted” a bad guy (type II error= accepting a false “bad” null) The Hansen method not only corrects Serial Correlation, it also corrects Conditional Heteroskedasticity So not only is the band, Hansen (mmm bop), on the cover of a cereal (serial) box… but if you listen to them too much you’ll turn gay. Therefore, Hansen “corrects” your heteroskedasticity (makes it homo)
When calculating interest coverage ratio (EBIT / interest expense), the denominator should include capitalized interest.
“So not only is the band, Hansen (mmm bop), on the cover of a cereal (serial) box… but if you listen to them too much you’ll turn gay. Therefore, Hansen “corrects” your heteroskedasticity (makes it homo)” hhhhhhhhahahahahahahahahahaha niiiiiicee
> SPE: must consolidate under IFRS; don’t have to > under GAAP unless it’s also a VIE > > VIE: doesn’t exist under IFRS; must consolidate > under GAAP > > QSPE: doesn’t exist under IFRS; under GAAP, way > for a sponsor to relinquish control of the > subsidiary by giving up risk rewards and therefore > don’t have to consolidate under GAAP > > any errors? Just reviewed it, and you’re right! You may want to look at the conditions for consolidating a VIE while it’s fresh too. insufficient at risk investment <10% sh lack decision making rights sh do not absorb losses sh do not receive expected residual returns Any violation of the above makes an SPE a VIE and it MUST be consolidated then. A QSPE that avoids consolidation must; (and by avoid consolidation, it means the company logs it via equity method right? Please advise) independent and legal separate entity from sponsor total control over assets only hold financial assets sponsor must have limited financial risk
- RECOVERY - cyclical-stocks, commodities, other risky assets 2. EARLY UPSWING - stock, real estates 3. LATE UPSWING (BOOM) - interest-sensitive-stocks, bonds 4. ECONOMY SLOWS - interest-sensitive-stocks, bonds 5. RECESSION - commodities and stocks (have noted late in cycle for both)… i guess here you just sit in cash or short the crap out of the market! Draw a picture; C words are at the bottom. Bonds/Interest sensitive stocks are near the top. Stock/RE are only on the upswing. M&A Pioneer/Growth: Horizontal and Conglomerate Rapid Growth: Horizontal and Conglomerate Mature Growth: Horizontal and Vertical Stabilization: Horizontal Decline: All three Horizontal for all Vertical for Mature Conglomerate only in early years Decline, all three - vultures swarming
Ethics - What you are allowed to do; Use info from recognized stat sources w/o attribution Be wrong as long as you had a reasonable basis all along Use nonmaterial nonpublic info to form reco (mosaic theory) Say, I have earned the charter, passed Level 1, taken Level 2 if you really have. Seek guidance from supervisor, firm compliance, outside counsel (usually that order) Dump records after 7 years Accept referral fees and gifts from clients as long as you disclose properly Call big clients first after emailing a reco to all clients Get crunk while not as work and commit misdemeanors that do not involve theft, fraud, deceit Get on AF and p!ss and moan about how hard Level 2 is and how the CFAI is run by a bunch of morons Use soft dollars for investment decision making items that directly benefits the client Include options in a portfolio under New Prudent Investor rule Delegate duties under New Prudent Investor Rule
Cant say you are level 2 candidate unless you have registered for exam
TheAliMan Wrote: ------------------------------------------------------- > Cant say you are level 2 candidate unless you have > registered for exam no
that’s incorrect or are you agreeing with that statement?