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Hi, Actually CVaR is calculated as: CVaR= Unexpected Loss= Loss at (alpha or significance level) - Expected Loss Hope this helps.

I agree Ninja. CAPM has very strong assumptions. For example, it is a one-period model that does not incorporate any priors which may feed into shaping future betas and the state of the market. Clearly, it does not include all risk factors and that's why we have other factor models. Models can...

Hi Ninja, If I am getting your question right, since beta is related to the covariance of a firm's stock or assets with the market and the variance of the market, betas will change due to an external shock (covariances and variance of market will change). Also, demand elasticity for various...

David's explanation for portfolios with nonlinear payoffs is more important than the linear case because an exam question on this topic is more likely to test the nonlinear case which requires a deeper understanding.

It will underestimate the true VaR because, delta-normal method assumes that the return distribution is normal, that is, it assumes that large negative returns are less likely compared to a fat tailed distribution. Hope this helps.

My take is that, he is referring to a, in my own words, structure of mean reversion parameter. That is, some news are long-lived (smaller mean reversion parameter) and some are short-lived (larger parameter) and in that regard it is important how the mean reversion parameter is determined to...

Replace the "earlier" with "sooner" since it may sound as if there is early exercise in European options which is not the case.

arkabose, When interest rates are high, European put options with less time to expiration are more desirable so that one can sell the underlying earlier and invest the proceeds at the high interest rate.

It becomes less desirable indeed. But it is not a big problem as long as multicollinearity is not severe.

When it comes to correlation among regressors, the most desirable situation is when the regressors are not correlated at all. But this does not say anything about the level of R^2. Collinearity impacts a regression through standard errors, meaning that statistical significance of regressors will...

Yes, flat volatility term structure is same as constant volatility over different time horizons. However, in reality, interest rates are more volatile in the short term (the volatility term structure is downward sloping) than the long term. A mean reverting model (e.g.; Vasicek Model) conforms...

Hi MSharky, It is because the demand for products with high demand elasticity is more volatile than inelastic goods. For example; when economy is good (e.g.; low unemployment, higher wages) households will more likely consume luxury goods but they will also quit consuming these goods first when...

Yes, emails are out.

Based on this information, can we say that employment as a Research/Teaching Assistant during Ph.D does not qualify?

Thank you Salonica. Congratulation on your pass too! Hard work paid off for us.

Exam results link is available once again.

Thanks man! It's a great day:) I will def party at least twice as hard :)

Exam results link is available once again.

No. Today's results would not change. I was watching the website since the results were out and information were uploaded slowly. First the pass/fail info became available for Part 1 only. Then the performance analysis for Part 1 became available. Same thing happened for Part 2 as well. In...

Performance analysis was available for an hour or so. Then it disappeared all of a sudden. Glad I saved mine in pdf.