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  1. J

    Spreadsheets on liquidity & treasury risk

    Hi David, As I'm havent purchased subscription to FRM P2 yet, let me ask about which excel spreadsheets are you planning to offer within liquidity and treasury risk topic. Lastly, are you offering FRTB spreadsheet within market risk topic? Thanks
  2. J

    DV01 neutral hedge

    Hi David, Can you tell where to find spreadsheet model that you show in video "R39.P2.T5_Tuckman Ch6 empirical" (attached goes image). Thanks much!
  3. J

    Bivariate gaussian copula

    Hi David, In spreadsheet "R38.P2.T5_Meissner-Correlation-v10" (sheet "Gaussian copula (Meissner)") the bivariate gaussian output in cell Q17 is not working. Can you help me with that? Thanks!
  4. J

    Derivation of modified duration formula for par bond

    In which study guide or video can i find the derivation of the formula of modified duration of par bond? I understand MD formula for par bond is: MD=[1-(1+y)˄-maturity] / y But still searching for derivation..
  5. J

    Tuckman's effective duration

    Hi, I want to ask in what excel file is the attached Tuckman's effective duration example. I only see a slightly different one in "P1.T4.c_2012_XLS_bundle_bonds_v0413.xlsx" sheet "4c.3 Effective Duration & Conv". Thanks!!
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