Search results

Hi David, Performance analysis is to test the significance of the attributed returns. but i could not find an example. Is it basically to test beta(i) is significant with t-stat of (beta(i) / (standard error(i))? Does each factor have an “info ratio”? I am asking because Schweser says “the...

Hi David, I have found it is hard to understand the impact of volatility smile on the calculation of the greeks.. could you pls explain? how does implied vol affect greeks like delta or vega (or the 2 sticky rules)? thank you!

Hi David, Thank you very much for your encouragements!!! They are HUGE for me! "i assume independence (an issue avoided by the question!) " That is actually my another confusion.. Since EL% = PD * LGD and the portfolio’s EL is the sum of each postions’ ELs, does it assume ELs are perfectly...

Hi David, 1. For these distributions Fabozzi lists, are they all fat tailed? at least Lognormal is not, right? so does it mean they need to be combined with EVT for severity loss distribution? If so, why normal distribution cannot be used? Because it is not skewed? 2. In GEV, if the shape...

Hi David, Could you take a look this pls? I am also confused. Does it mean diversification makes both EL and absolute VAR increase, while it makes relative VAR decrease? But according to Ong, the portfolio's EL is the sum of each postions' ELs. so I feel EL should not change. (Here does...

Hi David, sorry I did not get it.. are you saying Typically banks estimate risk capital using "ES”? (why?) or you are saying this statement using conditional VaR is problematic? Thanks.

Hi David, I read "Typically banks estimate risk capital using conditional VaR". How should I understand it? Thanks.

Hi David, Could you expalin which distribution(s) can be used to model loss severity? I think it does not mean EVT since it should cover HFLS as well. I saw Weibull can model it in a practice exam question BTW is it true that Possion distribution assumes a correlation among occurances...

Hi David, For the following question, 1. is there a relationship between Nominal spread and z-spread? is Nominal spread always larger than z-spread? 2. I think OAS should compare to the z-spread rather than Nominal spread of the comparable option free bond. 3. using OAS to decide relative...

Hi David, If we need to delta-neutral hedge a long stock, we can either short call or long put with their corresponding delta, right? so is there any preference which option to use in this case? Thanks.

Re: why increasing an asset’s position will decrease its Marginal Return/ Marginal Risk? (like asset 1 and 4) because the assets are part of the portfolio! as they increase in weight, like their portfolio betas tend toward 1.0, their RC tends toward portfolio volatility David Hi David...

Hi David, Could you explain the Risk Contribution here? How is it calculated? it seems to be different from the RC of Ong.. Also why increasing an asset's position will decrease its Marginal Return/ Marginal Risk? (like asset 1 and 4) Thanks! 37. You are given the following...

Hi David, I see.. so this is called insurance, than hedging.. right? Thanks!

Hi David, I have one more confusion.. so we long call to hedge short underlying.. the other way to view this is we short underlying to hedge long call.. so how can we hedge a short call? I am asking because in the delta neutral hedging (using S to hedge C), it seems we do not care about...

Hi David, Thanks! so if i have a short position on the underlying I should long a future using the delta of the call option instead, is it right? Thanks.

Hi David, Also it says "change in the put delta times original portfolio value". According to your spreadsheet and Hull's formula, it is not simply 'the put delta times original portfolio value' or "change in the put delta times original portfolio value",,, so this is not really a delta...

Hi David, Could you explain why B is incorrect (Sell an amount of index futures equivalent to the change in the call delta X original portfolio value)? “to create an option synthetically that involves maintaining a position in the underlying (or futures underlying the asset) so that the delta...

Hi Rahul, So I still wonder why a is incorrect? Or what is the difference between hedging using call and put? Thanks.

Hi David, could you elaborate "GARP says that will set the pass as a ratio of the top 5%"? that is impossible for me. :) BTW I wonder what I should assume for the following in case the question did not specify? 1. for 95% VAR, should I use 1.65 or 1.645? 2. should I assume continuous...

Hi David, So it seems regardless bond or loan, the asymmetric property is persistent if we consider default.. so it is not a distinction? Thanks.