Can somebody please explain the meaning of statement: ” If the portfolio is optimal then , marginal contribution to value added (MCVA = alpha- 2*lambda*omega*Marginal contribution to active risk) for a stock should be less than purchase cost and must be ...
SSEI QForum Latest Questions
According to what has been taught, the answer could be (B) or (D) , as it’s a case of volatility skew. But the answer given in the text is (A) . I think that is wrong but I need a confirmation..
Karan Sir has taught in the class that TSECF (Term Structure of Expected Cashflow) increases when we di Reverse Repo. However , in the above question it says Reverse Repo has no effect both on TSECF and TSECCF. What is ...
Why PFE is higher at 99% Confidence Level than at 95% Confidence Level and why it’s increasing in early years?
How come plotting IV vs Delta incorporate option term (while plotting volatility smile), as compared to IV vs K/S ?
We are mapping a two bond portfolio. Both bonds have $100m FV and pay an annual 4% coupon. One bond has a one year maturity , the other has 5 year maturity. If we use Principal mapping what is the ...
To get undiversified value at risk of portfolio do we always add VaR of all positions (be it position in equity or bonds) ? To elaborate let us say I have a portfolio of two ZCB’s where I am long on ...
Since the curriculum have changed for ORM in 2023, Around what time will Karan Sir going to take classes for new topics? Are we still supposed to watch classes for old topics (except Basel) in ORM which are given in the ...
How is long FRA 6*9 mapped to long zcb 6 months and short zcb 9 months? Shouldn’t it be opposite since long fra means contract to borrow and short bond means borrowing?
Please explain the marked portion.