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Dear David, In a practice question on information ratio from page http://forum.bionicturtle.com/viewthread/1237/ you s,aid that: 36d. Assume instead the benchmark is a style-based index with beta of 1.5. What is the revised Jensen’s alpha and information ratio? Alpha = 14%...

Dear David, I would appreciate it if you can help me out with the following topic although I'm not sure if it is relevant to FRM exam. Philippe Jorion mentioned on page 288 of chapter 11 Var Mapping in his book "Value at Risk - The new Benchmark for Managing...

Dear David, I was reading http://www.bionicturtle.com/learn/article/value_at_risk_var_2007_frm_part_6_structured_monte_carlo/: The worst-case scenario (WCS) helps "plug the hole" in VaR; i.e., that VaR does not say anything about the loss distribution in excess of VaR. (Note...

Dear David, I have some confusion in regard to EC and regulatory capital. Can you help me out? a) extract from "Best summary yet of operational risk under Basel II" (http://www.bionicturtle.com/learn/article/best_summary_yet_of_operational_risk_under_basel_ii/) •...

Dear David, Can you kindly explain what role does "Factors reflecting the business environment" play in Advanced Measurement Approach for operational risk? Thanks. Cheers! Liming 04/10/2009

Dear David, Thank you for your 49(xiv) from Basel, which is very helpful! Just to double check abut the last point which concerns the lock-in clause. Does it mean that a bank can postpone its interest or principal payment if such payment may impair the capital status of the...

Dear David， The capital adequacy ratio in the example above should be 20/(100*20%*8%) = 1250%, right? thanks. Cheers! Liming 03/10/09

Dear David, In reference to above title from page http://www.bionicturtle.com/learn/article/basel_ii_scope_and_capital_definition/ Can you please explain why some hybrid debt securities and short-term subordinated debt securities can be counted as eligible capital...

Dear David, I have two questions after reading the above-mentioned page (http://www.bionicturtle.com/learn/article/value_at_risk_var_2007_frm_part_7_cash_flow_at_risk_cfar/) please kindly correct me if I am wrong: 1) When you say...

Hi, sorry I recall the first part 1) in my previous post. I now understand the transpose. Please ignore my question numbered "1)". thanks Liming

Dear David, After I watched your video on "CreditMetrics: first building block – 10 min briefcast" (http://www.bionicturtle.com/learn/article/creditmetrics_mapping_transition_probabilities_to_random_normal_variables_1/), I have understood the essence of the creditmetrics...

Dear David, Thank you for your detailed answer concerning the FRA replication ! So for seller of FRA, is my following thought correct? Conversely for seller of 3x6 FRA, he/she is borrowing 100 for 3 months and invests the proceeds for 6 months. The reason for...

Dear David, I would really appreciate it if you can help me out with the following topic: In your 2009 study notes on financial products, you mentioned that a FRA position can be decomposed into 1) Long 6 month bill 2) Short 12-month bill; I've been thing hard about this but...

Dear David, Please allow me to ask you a quite basic question about the “constant volatility” in the GBM and question 4e on pagehttp://forum.bionicturtle.com/viewthread/1146/. “4e. Is it homoskedastic?Yes, the volatility (sigma) is constant; this is a distinct...

Dear David, Is Delta-Gamma valuation a Local-valuation method? I think it is definitely not a full valuation as it doesn't involve full repricing of portfolio in question. So to me, it seems to be a local valuation, just like delta-normal, with the exception of the added...

Dear David, I have a question about the covariance matrix concept presented in page http://www.bionicturtle.com/learn/article/covariance_matrix_65_minutes_frm_quant_video/ . To me, it seems that it has stopped abruptly in the "V" matrix , leaving unsolved the final calculation of...

Dear David, Thanks for your answer and your positive opinion of my study. :) However, I'm feeling that the more I study, the more there is for me to study. :coolsmile: :coolsmile: Can I just confirm with you about the following point, which I guess is the...

Dear David, How are you? May I have your explanation on the following points? I don't understand the necessary link between having a negative correlation and having mean reversion. When I am looking at the auto regressive functions such as GARCH(1,1) and the generic...

Dear David, Can you please kindly explain the formula of UL for a single credit, which you used in the spreadsheet "2008 CREDIT: Portfolio EL & UL (Ong Ch 6)" on page http://www.bionicturtle.com/premium/spreadsheet/2008_credit_portfolio_el_ul_ong_ch_6/ ...

Dear David, There’s something from your note (on page http://www.bionicturtle.com/learn/article/unexpected_loss_ul_for_a_portfolio_of_credit_assets_9_min_briefing/) that I would like to clarify with you, when you mentioned that “My example here (from Ong Table 6.2) only requires a...