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    VaR Calculation 2003 FRM Question

    Hello, Try some past exam questions and came to the following. Can anyone explain the calculation? Q (FRM 2003): Imagine a portfolio which holds two binary options, each with the same payoff and probability: USD -100 with a probability of 4% and USD 0 with a 96% probability. Assuming the...
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    Note Market Risk Section II.2.B - Determination of Forward & Future Prices

    Thanks David.
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    Note Market Risk Section II.2.B - Determination of Forward & Future Prices

    Hi David, Couple of items that you may want to review. 1) While reviewing the notes on P.23/166, the formula on the top of the page f=(F0 - K)e^ (-rT) is missing the negative (-5%)in discounting the forward contract value. 2) Normal Backwardation vs Backwardation P25/166. Normal...
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    Quant Question Set Round 1

    David, Thanks for your detail explanations. It's really helpful. -P
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    Quant Question Set Round 1

    Hello, Question regarding the Quant quiz round 1. 1/Could you explain further why "period returns do not tend to be normal, but cumulative leves to tend to be normal"? 2/ Mean reversion in return. The question is "How does a forecast model compare to true volatiltiy, when the forecast...
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    Confidence Intervals for large sample

    Hello David, There are questions regarding the formula on confidence intervals for large samples. In reviewing your notes (Section 1. page 68/82), you have included an additional factor [sqrt( (N-n) / (N-1)) for sampling with replacement or infinite population. I also noticed that in another...
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