Search results

Very busy my friend. I miss the BT forum! Hope you're well - I know you are!

Rats! It would have been so much more fun if you found an illegitimate certificate holder! :)

Thank you David - I miss you, Nicole, and the students here a great deal. As always, I appreciate the help. Respectfully yours, Brian

Hi everyone - long time. Potentially weird request here. I already have the FRM and I own the hard copies of the 2015 GARP exam books - I purchased them when I was preparing for the exams. Anyone know where I can find soft copies? Thanks, Brian

I miss the forum! Keep your focus and you will reach your goals! You can do it! Best, Brian

At time t, the coefficient is the expected value of S at time t, e.g. S_t

The sub 0 indicates time 0. So F_o is the forward price now, e.g. at time 0, so we could more accurately call this the prepaid forward price. This prepaid forward price must equal the current stock price to avoid arbitrage. We know the stock price now so there is no "expectation". This...

I think that is a very interesting question and suggests that you are incredibly insightful @juhsu. The upper bound for European calls is NOT the same as the upper bound for American calls. Indeed your intuition is precisely correct. For American call options, the upper bound is the reference...

The authors could be a bit more precise, in my opinion. I look at it this way: The arranger is the entity that is "arranging" the deal. It is most often the investment bank that is leading or underwriting the deal. The arranger is not the SPV. The SPV doesn't actually exist until the deal...

Never doubted you my friend! Congrats!!!

Incidentally, the application of u = exp(sigma*root(h)), etc. is only true for Cox-Ross-Rubenstein trees (and for forward trees applied to futures I think). It is not necessarily the case, as this question illustrates, that u = exp(sigma*root(h)). As additional examples, consider lognormal...

I surgest that you review the definition N(*). It is notation for the Normal CDF and the prometric calculator is used specifically for this purpose, so you would need to be able to determine N(*) given *.

From an actuarial perspective, (to which I tend to assign the most weight,) I would recommend Loss Models by Stuart Klugman for VaR coverage. It is the assigned material for actuarial exam C (construction and evaluation of actuarial models).

Nice surprise! Thank you!

@David Harper CFA FRM and friends, I am curious as to whether anyone here has any experience with ALM, specifically as it relates to retail banking mortgage businesses. I am curious a to whether anyone could provide some thoughts on methodologies related to FTP (Funds Transfer Pricing), TLP...

Thanks!!! :)

They are different. Var (X + Y) is like taking the variance of 1 random variable Z which is defined as Z = X + Y. So it is a regular variance. Covar (X,Y) describes the co-movement between X and Y, whereas X and Y are separate and distinct random variables (they are not combined in any way)...

I'll look when I have a few minutes too! :)

If it helps, I remember reading something along these lines too!