12.17:
I don't understand how he arrives at a rho of 0.1216. I tried both ways of calculating it (they really deliver the same results) and come up with 0.19278 in both cases.
maybe someone has a clue:)
Hi @David Harper CFA FRM CIPM
For all results in Question 12.6. I get half of the results provided in the solution so I'm wondering if there's something systematic I'm missing (my calculations below the question):
12.6 Estimate the capital required under Basel I for a bank that has the...
So in summary this really is a Bernoulli as we're interested in the verification of the single paramter "default rate" and not a Binomial which would i.e. be looking into the probability of a certain number of defaults (i.e. repeated application of the default rate)?
thanks
A question that popped up regarding this exercise was under what circumstances we would have to account for accrued interest.
I realize we are given spot prices already including accrued interest and no settlement date so we couldn't really calculate accrued interest unless we arbitrarily...
They obiously don't want you to bring USB sticks and provide wifi for others:D
http://www.cnet.com/news/cufflinks-with-wi-fi-hot-spot-turn-you-into-a-digital-007/
Hi Jayanthi
I guess the price changes in the study notes just don't show the decimal places as all daily gains / losses should theoretically be a multiple of 200 in the mentioned example (i.e. price change * ounces(=200)).
For example price from June 8 to June 9 isn't displayed to change but in...
Hi
I have difficulties understanding the following quote regarding the value of a (remaining) mortgage (p. 7 of reading 24):
"Therefore, in case of floating rate (non-fixed) mortgage loans, if rates or spreads rise after origination, the present value of the remaining mortgage payments will...
Hi
I somehow still can't follow your argument. Why / when would accounting ignore hedging?
Being long oil and offsetting the variability of oil prices through derivatives (i.e. short future positions) would rather stabilize accounting earnings than leading to more variability.
On the other...
Hi @ShaktiRathore
I don't understand the following:
"In accounting earnings we are considering actual mkt oil prices which shall not reconcile with the net oil price in cash flows which considers hedging also."
I agree that accounting would consider actual market prices for oil. But wouldn't...
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