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Page 7 of the Acted Notes (section: Approaches to modelling Credit Risk) quotes the Core Reading: "Structural models are explicit models for a...
I am looking at Q8 in the April 2019 paper and I am unclear about the calculation of VaR under ii) so if our 99%VaR= -t |P(1000000*(1+i)<t)=0.01...
Hi, Please could I have help with understanding part (i) to this question. From the notes I attempted to solve this using d < e^r < u, however...
Hi I am writing this to get my understanding clear on the question 6 from CT1 which is now part of CM2. For part b, Calculate the probability that...
Hello All: My apologies if this question has already been asked and answered - I couldn't understand the solution to this question. Why are we...
Hi, I have a specific and general question on this topic: 1) Specific - Please can you provide examples of the 'acceptance' and 'segregation'...
Hi, does anyone knows if usually there will be a major change in the CMP / study materials for different year sittings ? I plan to order CM and CS...
Hi - Appreciate answers to either or both of the quick queries below on Chapter 18 term structure of interest rates: 1) pg 13 introduces "a bank...
I understand the lognormal model etc but I was wondering where it gets the name 'geometric' brownian motion. What does it mean that the share...
Can anybody that has passed CM2 provide some tips on how to effectively study Paper B? I have been completing the material on the online classroom...
Hi, In question 6.7.ii we are asked to calculate the equation of the efficient frontier using the Lagrangian function. The solution finds the...
Hi, I refer you to page 24 of chapter 16 for CM2 of the acted combined notes package 2021. The value of the portfolio at time t-1 =...
Hi, Regarding Step 5 on the 5-step method in discrete time. I am little confused on the derivation of øt(j), see below (please refer to page 23...
Hi, I am reading the examination guidelines for 2021 September exam and I find it very confusing to understand whether or not copying and pasting...
Can someone please explain the below line. what does it mean? "a low value of p reduces risk relative to uncertainty in the risk-free rate of...
In Chapter 14, under state price deflator, it is stated that p > q. Can someone please explain will the price of an option will be the same under...
Investment returns (% pa), X , on a particular asset are modeled using the probability distribution: X Probability -7...
Can someone please explain why downside semivariance is half of the variance? The question is given on Page 7 of chapter 4.
Hi there, one of the properties of the Wiener process W_t is that it returns infinitely often to 0, or indeed to any other level. What does this...
I'm struggling to understand part 2 of this question - value of VaR and TailVaR. From my understanding for Company AA, VaR(X) = -t where...
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Hi, The report mentions the following formula for the calculation of the changed option price - dV = delta*dS + 0.5*gamma*(dS)² + theta*dt I even...
Hi I am struggling with some of the concepts for a discrete variable with question 1, part (c) of part (ii). Here we are asked to find the 95%...
I'm doing a number of calculations in Excel while practicing for CM2 Paper A. I wish to use a similar approach for the exam, but am not sure if...
As there are no sample papers available for the new online format of Paper A, there is lot of anxiety around the nature of questions especially...
Hi everyone, Please find the below question Suppose Investor A has a power utility function with y = 1 , whilst Investor B has a power utility...
Hi, I was having trouble understanding the following statement and after some investigating I think there is a mistake: Chapter 2, Section 3.2...
Hi, any of you know where to get the past papers before 2010 and how do you practice for CT6 topics that are now part of cm2? Thanks, Anees
Hello, I'm currently studying for CM2. Is CM2 the toughest of all the CT papers . Having done the other ct papers . So far , I found that CS2 was...
Gutted to find out that I failed the last sitting of CM2. The pass rate was c30%, with examiners keeping the past mark at 60. Perhaps this is the...
Has anyone any throughts on the most likely topics to come up on this paper. Given its nature some chapters and concepts will naturally work...
Hi Guys I have been working through the revision booklet for Chapter 5 (Stochastic Models of Investment Returns) and there are a wide variety of...
Hi, I'm planning on sitting CM1 in April 2019 and I want to sit another paper alongside it but I can't decide between CM2 and CS2, (I have...
