bid-ask-spread

  1. Nicole Seaman

    P1.T3.22.15. Foreign exchange (FX, forex) quotes

    Learning objectives: Explain and describe the mechanics of spot quotes, forward quotes, and futures quotes in the foreign exchange markets; distinguish between bid and ask exchange rates. Calculate a bid-ask spread and explain why the bid-ask spread for spot quotes may be different from the bid-...
    • Nicole Seaman
    • Thread
    • bid-ask-rates bid-ask-spread economic-risk foreign-exchange-market forward-quotes forward-transactions futures-quotes spot-quotes swap-transaction transaction-risk translation-risk
    • Replies: 0
    • Forum: FRM® Practice Questions
  2. Nicole Seaman

    P2.T7.807. Estimating liquidity-adjusted value at risk (LVaR) (Dowd)

    Learning objectives: Define liquidity risk and describe factors that influence liquidity, including the bid-ask spread. Differentiate between exogenous and endogenous liquidity. Describe the challenges of estimating liquidity-adjusted VaR (LVaR). Describe and calculate LVaR using the constant...
  3. LeeBrittain

    Critical z-scores for bid-ask spread component of LVAR

    Hi David, In your notes you specifically mention that we should assume a one-tailed test for the z-score component when we are valuing the exogenous spread cost, however in the Schwesser practice exams they use a two tailed score. I assume that they are incorrect in using this? Has GARP...
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