I agree 100% with you. As a result, I did only the quantitative part and passed the exam in May 2016. But not sure if it will work every year with every one.
To summarize
1. For "clean" hedge scenario SIGN determines strength or weakness. + sign (i.e. > 0) means 'strengthening' '-' sign ( < 0 ) means "weakening".
2. For non-hedge scenario the DIRECTION matters.i.e. if B(T) > B(0) means 'strengthening' else "weakening".
3. For un-clean scenario use...
David, Can you please validate following observation.
For VAR adjustment for gamma(2nd order) it could be an altogether different story. A positive gamma (i.e. a long call/put and long plain vanilla bond) increases value of the derivative(i.e. option, bond) , hence reduces risk. Hence the...
Somehow I find it hard to remember formulaes and try to solve a question by just using primitives ( these may include very basic formula), e.g. I was able to solve most questions by just using
(1+r/m)^m*n= [(1+3.1%/m)^((x+n)*m)/(1+1%/m)^(x*m)]. Even if prices are given, I would still go from...
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