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Hello David Here I have developed an spreadsheet (see attachment) which calculates VaR of an equity Portfolio based on the CAPM model. Here we are making several assumption. My question is what is the standard practice followed by financial institutions world over while calculating VaR of the...

Hello David The terms Stress and scenario analysis has been repeatatively appearing in the entire FRM, irrespective of risk type, i.e., market or credit. In most of the texts these are seperately explained, sometimes bundlged together, no specific definition or vaguely broadly defined. As...

Hi friends, I have also passed 2008 FRM. congrats to all who are through

Hi David and forum members Please see spread sheet I am uploading an excel spreadsheet, where I have calculated delta, gamma and vega but I could not get theta formula through or could not understand from what David has done. Can any one help for calculation of theta, rho or any better Idea...

Dear Avi and David I am uploading a fresh excel spreadsheet. I was getting a huge differential in case of put value due to my mistake in spreadsheet. Sorry for the inconvenicne. Now I could tally both results with almost same results using both BSM and binomial model It automatically...

Thanks Avi for the prompt reply. I think its great learning and sharing platform. regarding your views; 1) Time factor: in BSM I am using 1 year and in Binomial, I am creating four lattices each of 3 months to get more accurate or closer valuation to that of the BSM. and See in my spreadshit...

Dear David I have created one spreadsheet where I am valuing put and call option with undernoted assumption. ( please see uploaded excel spreadsheet as well)stock 150 Strike 100 Volatility 5% Rf 5% T 1 With the above assumption, I am getting call price of Rs.54.88 with...

My best regards to David for the awsome presentations and lucid voice-over movies which still reverberate in the back of my mind. It was more than 70 hours listening, hours of excel practices, and continuous sliding of your flash slides on my laptop. Amazing product and great interactive...