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@David Harper CFA FRM what is your opinion on the answer to this question please?

Hi David In the notes of Jorion, Chapter 7 - Portfolio Risk: Analytical Methods we are given a table with the risk and return - optimising positions where we are given the Final position weight w(i). Are we expected to be able to calculate this in the exam? and if so, how is it calculated...

Hi David, In our notes (Correlation Risk Modeling and Management), we are told that another way of buying correlation is to buy call options on an index and sell call options on individual stocks of the index. I haven't quite understood this concept - i.e why it should result in a positive...

Hi David, Page 5 of Chapter 14: Portfolio Construction (Grinold) states the following Consider for instance, an Information Coefficient (IC) of 0.05 and a typical residual risk (volatility) of 30 percent would lead to an alpha scale of 1.5 percent (0.05 x 0.3 = 1.5%). In this case, the mean...

Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine

Hi David, Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk) On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...

Hi, One of the "downs" of risk management is the following: It's proving difficult to make truly unified measurements of different kinds of risk and to understand the destructive power of risk interactions (e.g credit and liquidity risk). Could someone kindly explain "the destructive power...