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Another question: When I am asked to calculation diversified VAR of a portfolio with 2 assets and Expected Return (ER) is provided, can I do the following: step1: VaR(a) = (-ER + SD x z ) x value(a) VaR(b) = same Step 2: Diversified VAR = sqrt (VAR^2(a) + VAR^2(b) + 2 x VAR(a) x...

Hi David If I were to come across a question that provide the following and asked to provide the daily VAR, Annual expected return Anuual std dev Is it right to compute the annual VaR first [i.e. -Annual ER + Annual SD x Z] and then convert the annual VaR to a daily VAR? Or should...

I see! Interesting about the liquidity cost! Thanks!

Many thanks for your quick response, David. 1 more question and this is about VAR delta normal calculation. In the previous part 1 FRM exams, I was taught to use the following formula to calculate delta normal VaR (caveat: I was not in bionic turtle for Part 1 but I did come across one of...

Hi I have some queries on some questions in the GARP practice exams: Ques 28 Is there some error in the answer? The answer provided is b) KMV's PortfolioManager. The question is asking which model builds on transition probabilities determined by marco factors but the explaination says that...

Hi This is wrt to topic Basel II: Intl Convergence of Capital Measurement and Capital Standards. It says that in the Standardised approach, collateral is not deduct from EAD. But for Foundation and Advanced approach, collateral is accounted for in LGD hence it should NOT be deducted from...

Hi David In the Stulz reading, Formula 1 should be used to solve Credit Spread (CS): Formula 1: CS = -[1/(T) x ln(D/F)] - rf This formula is actually taken from forumla 2: Formula 2: D = F x exp-(rf + cs)T. However, in the earlier chapter, I learnt that to calculate current...

Hi David Is the error corrected in the spreadsheet link below? I tried opening the link that you have provided but it is not working. http://www.bionicturtle.com/how-to/spreadsheet/6.c.1_merton_model_pd_equity/ Also, in the Servigny example, I see that the total ST and LT debt is $13 and...

Hi I saw the screencast below and would like to download the editgrid. Please direct me to where can I get it? http://www.bionicturtle.com/learn/article/monte_carlo_simulation_gbm_9_min_screencast/ Also, I tried to send my comment in the same webpage and it didnt allow me to. Do you...

Hi David I was using the same example in your editgrid to calculate the Moving Average on my own spreadsheet. I learn that you have derived Moving Average Variance (also called Historical Variance) by take the average of the squared returns. Hence the formula is (sum of u^2) / 10...

David, I downloaded the study notes of Part 1/5 - Quantitative Analysis but I am unable to print it. I tried a number of printers and all of them only allow me to print from page 1 to 3. Is there any security block hence the printing problem? I hope not as it is definitely a lot more...