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    bad luck = type I error?

    Hi David, I wonder in Basel rule for backtesting, is the "bad luck" scenario viewed as type I error? Thanks.
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    About Foundations of Risk Management

    sorry David, what is RAPM?
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    About Foundations of Risk Management

    HI Darshan, Could you share the source of that piece of information (there will be 100% formula based questions on Foundations of risk management)? Thanks.
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    expected shortfall

    Hi David, Could you explain why in ES fomula it needs to be divided by (1- quantile)? also the wighted sum of weighing function of risk spectum is 1, why can assinging 1/(1-quantile) to tail loss in ES can satisfy that? thanks.
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    unexpected loss

    Hi David, You defined unexpected loss as the SD of asset value for bank loan. I wonder if SD(asset value)=SD(EL) given that I think asset value's mean has already factored in EL? Also, since UL is a fraction of AE according to its fomula, I wonder if UL+EL=AE? Thanks.
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    Stress testing & scenarios analysis

    Hi David, Is scenarios analysis part of stress testing? or what is the difference between the two? Is the correlation breakdown a limitation or a strengh of scenario analysis? what are the "implications" as the AIM indicates? thanks.
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    use delta-gamma approxamation to calculate the VAR

    Hi David, could you elaborate how taylor approxamation (or delta-gamma approxamation) calculates the VAR (for non-linear derivatives)? thanks.
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    Implication of mean reversion in returns and return volatility

    Hi David, What summarized concepts we should grasp about the implications of mean reversion in returns and return volatility for forecasting VaR over long time horizons, given that square root rule only applied to iid?
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    Synthetic Option

    Hi David, Sorry for the confusion, here is the AIM: "Describe how portfolio insurance can be created through option instruments and stock index futures." It is in John Hull, Options, Futures, and Other Derivatives, Chapter 17, but I have found it is hard to follow when reading it.. Thanks.
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    Synthetic Option

    Hi David, I was actually asking about buying insurance through a synthetic put through index futures (AIM 47.7). I read the reason synthetic option is better than regular option is it can customize the strike and maturity. If we borrow cash to fund a protective put, we still have the same...
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    Synthetic Option

    Hi Syaiful, I am not sure. but creating an option using Put-Call parity still needs another option, right? Do I miss anything? Please provide a quick reference if you think otherwise. There is an AIM requesting to create a synthetic option using index futures.. thanks.
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    Synthetic Option

    Hi David, Could you explain how to create a synthetic option using index futures? Thanks.
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    Delta of portfolio?

    Hi David, Is the delta of portolio the weight avg of delta each options with the same underlying? What weight would we use? The option's market value? or underlying's market value? thanks.
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    Schedule Concern

    Hi David, sorry I am confused. Are you saying BT plans to cover only Level I this year? Foundations of Risk Management Quantitative Analysis Financial Markets and Products Valuation and Risk Models Or what should we expect in the next 3 months? (it is ok if you and your colleagues are...
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    Schedule Concern

    Hi David, I was talking about the plan for the November exam, as i registered for the full exam. I surely like to go through your spreadsheets, the only thing is my time is limited as a full time professional. (That is also why I love notes, I can study them over and over in office, at bus...
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    Schedule Concern

    Hi David, Please please please keep the Notes... it is an integral / organic part of BT's product line and student's learning cycle, and the Note is critical for student to review (repeatedly maybe), digest, and practice after viewing video tutorial. Another nice thing about BT's Notes is...
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    Schedule Concern

    I just consulted with my colleague. For what it's worth, we can save many hours by eliminating the planned live focus reviews (i.e., divert that extra time to the tutorial production). In the interest of the schedule, then, I will probably cancel those... ..and since the forum takes up a lot...
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    Option questions

    Hi David, 1. could you explain why the difference between an American call and an American put (C–P) is bounded by the inequality on p86: S - K <= C - P <= S - K*exp(-rT) ? Also does this inequality imply C>=P for American option? 2. is it true that An American option on a dividend...
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    The level and shape of the YC and the CTD decision? (p61)

    David, thank you so much for your time and patience! You are the best!
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    relationship between forward and futures prices? (p49)

    David, thanks for the convexity adjustment explaination. That is very clear.
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