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Hi David, How can we correctly count the number of days in for Day Count Convention? For example in Hull's Drill practice question page 149, A US Treasury bond pays a 7% coupon on January 7 and July 7. How much interest accrues per $100 of principal to bondholder between July, 2004, and...

Thanks! Oh yes..area under curve, how can I miss that? :confused:

Hi David, The question: A credit asset has a principal value of $6.0 with probability of default (PD) of 3.0% and a loss given default (LGD) characterized by the following probability density function (pdf): f(x) = x/18 such that 0 ≤ x ≤ $6. Let expected loss (EL) = E[PD*LGD]. If PD and LGD...

Clear-cut explanation. Thank you!

Hi David, What is the difference between the two convexity formulas? C= 1/P* ( V+ + V- -2V0) / (chg y)^2 C= 1/P* ( V+ + V- -V0) / (chg y)^2 Which one should we use? Thanks!

I got it thank you!

Also could you kindly explain on how to derive the answer for question 17? I was looking through the z-table but I don't understand how to get 0.0228 for 82.5? Assume that a random variable follows a normal distribution with a mean of 100 and a standard deviation of 17.5.What is the...

Hi David, For Question 15, shouldn't duration be (106.3 - 106.1)/106.3/ 2 x .0002 ? Thanks!

nice!

Hi David and Shakti, What does it mean by empirical VS parametric non-normal VaR and its indication on heavy tails? I'm looking at question 29.2 of Dowd Valuation and Risk Models. Thanks

Hi David, Can I check how do we derive $50.77 for question 1.5? Thanks

thanks!

Hi, I'm referring to Hull, Chapters 11,13 & 17, question 13.04, how do we actually get 0.4045 for N(-d1)? Thanks

I got it.Thanks David!

Hi David, In L1.T4. Valuation & Risk Models, Option Greeks For question 8.5, why does Rho (put) = -K*T*exp(-rT)*N(-d2) ? I am kind of confused by the computation of this formula, I mean like why -K? Thanks in advance!

Hi David, So for question 7.4. in L1.T4. Valuation & Risk Models, Option Greeks, The answer should be A instead? (long 6 shares) Rgds

Oops I got the answer. Kindly ignore thanks!

Hi David, Why should it be a minus instead of plus the convexity for this formula? Forward = Futures - 0.5 x standard deviation^2 x T1 x T2? Thanks in advance!

To think of it, is zero rate always discrete?

Thank you!