Recent content by IRENA BLAZINCIC

Just to correct your typo: If, say, coupons pay on Jan and July 1st and settlement is April 1st (i.e., 90 days to next coupon under 30/360) So the formula is: It gives P= 1056,73

This formula assumes first coupon payment exactly in 6 mths (180 days = semianual period). It gives P = 1043,76

Passed part II: 2-3-2-1-2

Hi Nicole, thank you for the prize. I would like to redeem my prizes now.

Thank you! Let it accrue. I really enjoj participating forum! For me it is one of the best parts of preparing for FRM exam.

Hi David, Repurchase-to-maturity agreement – this is equivalent to long forward contract, basically they agreed to buy European bonds in the future at price equal to par? Value of RTM agreement = value of long forward = (F - K) exp (-rT) Where F is forward price today, and K is par value of...

Yes. Linear interpolation for Hybrid approach gives -2,63% Var 95% is calculated after solving system of two linar equations (Y=aX+b) where Y1=-2,60%, X1=5,11% Y2=-2,70%; X2=4,79% a=0,313 b=-0,042 so Var 95%: Y (X=5%) = 0,313 X - 0,042 = -2,63%

Hi, just to make sure... I thought that for JPMorgan Whale Trade only Executive summary (pg. 2- 17) is assigned reading. Not all 300 pages! Also, for reading MFGlobal - 75 pages (not 101) From FRM Study guide 2014: 73. U.S. House of Representatives Subcommittee Report on MF Global (through p...

Example on page 67 refers to problem that was set up at the buttom of page 65: "If a trader goes short $100m of Treasury bonds, we can solve for how big a long position she needs to enter into to make the position DV01 neutral." The DV01 neutral hedge calculated on page 65 was $73,33mil...

I would be suprised if GARP is not aware of this issues. But, I could not be sure. As far as I know about EMIR, the following entities are covered by the different provisions in EMIR: Value of the clearing thresholds : - EUR 1 billion* Credit derivative contracts - EUR 1 billion* Equity...

thx for the prize let it accrue

Bond prices are quoted as a percentage of par, such as 99 or 101.5. For bond with par $1000, these refer to the percentage of $1000, and mean $990 and $1,015 per bond respectively. For bond with par $100, these refer to the percentage of $100, and mean $99 and $101.5 per bond respectively. I...

Hi, I agree there is no special treatment of large losses But, If we observe large loss event that today, it will receive a higher weight in next day VaR calculation than under equally weighted HS. It means that age-weighted HS is more responsive to large loss observations, than equally weighted HS.

Hi Nicole, thanks for the price! I will let it accrue.

Are you referring to picture that shows Student's t probability density functions with different degrees of freedom (k)? (my book is 2013 edition) I think that in order to see the peakedness you should compare two distributions with the same variance. Variance of the student's t distribution for...