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cm2

  1. S

    CT8 September 2012 Question 9

    Hi, for part iv) please may you explain why we could not say 100% in asset A to get a return of 0.2? Is it because we know that all efficient portfolios lie on the capital market line, and the capital market line goes through the y-axis (risk free asset), therefore we know the investor must...
    • s16455441
    • Thread
    • cm2 ct8 question 9 september 2012
    • Replies: 1
    • Forum: CM2
  2. B

    Chapter 19 Credit Risk

    Page 7 of the Acted Notes (section: Approaches to modelling Credit Risk) quotes the Core Reading: "Structural models are explicit models for a corporate entity issuing both equity and debt. They aim to link default events explicitly to the fortunes of the issuing corporate entity.... An...
    • Bill SD
    • Thread
    • cm2 credit risk structural model
    • Replies: 2
    • Forum: CM2
  3. E

    April2019 Q8

    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 which results to t= 544740 shouldn't our VaR be -544740? In the solutions we are given 99%VaR = 1010000-544740 =465260 where 1010000is the expected...
  4. S

    Subject CT8, April 2012, Question 3

    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 the solution is di < 1+r < ui. I'm struggling to get my head round this and hoped for an explanation. Thanks
    • s1645544
    • Thread
    • binomial model cm2
    • Replies: 2
    • Forum: CM2
  5. J

    CM2/CT1- April 2010 Q6

    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 the accumulation of a single investment of £1 will be greater than its expected value 20 years later Why have we considered S20~LogN(20mu,20sigma^2)...
    • Jatin Taneja
    • Thread
    • cm2 ct1
    • Replies: 0
    • Forum: CM2
  6. S

    CM2 Assignment X2.6.iv

    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 using a 99.5% value from the tables, the question asks for 99% confidence interval? In the solution the value used is 2.5758. Any reasonable...
    • snerap@gmail.com
    • Thread
    • assignment x2 cm2
    • Replies: 2
    • Forum: CM2
  7. B

    Chapter 3 - Behavioural Finance

    Hi, I have a specific and general question on this topic: 1) Specific - Please can you provide examples of the 'acceptance' and 'segregation' operations in the editing/framing process. (Acted provide 2 examples in the notes on pg 11 (Chapter 3) but unsure if refer to 'acceptance' and...
    • Bill SD
    • Thread
    • behavioural finance chapter 3 cm2
    • Replies: 8
    • Forum: CM2
  8. J

    CM and CS 2 Syllabus / CMP notes 2022/23

    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 2 this month, but will only sit for exams next year, i.e. April 2023. Thanks !
  9. B

    minor queries on Chapter 18 term structure of interest rates

    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 or money market account process" and defines dBt = rt*bt*dt. Where B0=1. Are we discussing a regular bank savings account and What does this formula...
    • Bill SD
    • Thread
    • chapter 18 cm2 interest rates
    • Replies: 1
    • Forum: CM2
  10. J

    What does 'geometric' mean?

    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 prices tend to drift geometrically upwards? I thought that geometrically has something to do with shapes and geometry?
    • Jonathan
    • Thread
    • cm2
    • Replies: 1
    • Forum: CM2
  11. J

    CM2 Paper B - Studying Tips

    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 but have just done the Mock Exam 2 and found it to be very difficult. Would it be better to keep doing the online classroom material or start doing...
    • Jonathan
    • Thread
    • cm2 cm2b excel paper b studying
    • Replies: 0
    • Forum: CM2
  12. A

    Chapter 6 Question 6.7.ii

    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 partial derivatives, determines equations for x1 and x2 and substitutes this back into the expression for variance of portfolio returns. Do we not also...
  13. D

    CM2 - Chapter 16 Page 24 - Step 5 of The 5 Step Method

    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 = phi,t*St-1 + psi,t*Bt-1 = exp(r*[t-1])*(phi,t*Dt-1+psi,t) = exp(r[t-1])*Et-1 = Vt-1 (Could someone please explain the rational/substitution, in particular why...
  14. D

    CM2 - Chapter 16 Page 23 - Step 4 of The 5 Step Method

    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 of the acted combined notes package 2021 set): We are told that: øt(j)=change Et(j)\change Dt(j) (this is fine, I understand this)...
  15. Y

    Is copying and pasting from R/Excel to Word allowed?

    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 from R/Excel to Word is allowed. On page 8, bullet point 5 of the examination handbook, it states: "When sitting subjects which require answers to...
  16. S

    CH -13 The Greek Rho

    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 interest."
    • skharki1
    • Thread
    • ch -13 cm2 rho the greeks
    • Replies: 2
    • Forum: CM2
  17. S

    ch - 14 State Price Deflator.

    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 both or the price of an option in case of p will be greater?
    • skharki1
    • Thread
    • ch 14 cm2 p>q state price deflator
    • Replies: 3
    • Forum: CM2
  18. S

    Measurement of Investment Risk - VaR (Discrete)

    Investment returns (% pa), X , on a particular asset are modeled using the probability distribution: X Probability -7 0.04 5.5 0.96 Calculate the 95% VaR over one year with a 95% confidence limit for a portfolio consisting of £100m invested in the asset. The...
    • skharki1
    • Thread
    • chap 4 cm2 investment risk
    • Replies: 1
    • Forum: CM2
  19. S

    Measurement Of Investment Risk - Downside Semi Variance

    Can someone please explain why downside semivariance is half of the variance? The question is given on Page 7 of chapter 4.
    • skharki1
    • Thread
    • chapter 4 cm2 investment risk
    • Replies: 2
    • Forum: CM2
  20. R

    Understanding "W_t returns infinitely oftern to 0..."

    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 actually mean?
    • Rose95
    • Thread
    • brownian motion cm2
    • Replies: 1
    • Forum: CM2
  21. N

    September 2012 Q1

    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 t=max{x: P(X<x)<=p) In this case, p=0.05 X (return as %) Prob 6% 0.9811 -100% 0.0189 So here, P(X<6)...
    • Nikita90
    • Thread
    • cm2
    • Replies: 3
    • Forum: CM2
  22. K

    CM2 September Exam Result

    ...
  23. N

    April 2019 - Paper A (Q7 ii)

    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 found a similar formula (with some more terms) in assignment X3 Q1 - dV = delta*dS + 0.5*gamma*(dS)² + vega*d(sigma) + rho*dr + theta*dt...
    • Nandan
    • Thread
    • cm2 cm2 paper a
    • Replies: 1
    • Forum: CM2
  24. V

    Discrete VaR (September 2012, Q1)

    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% VaR and 95% TailVaR. When I write out the pdf of this, say X~f(x), I am unsure how to define X as the solution does it differently to me. I see it as...
    • VSA_88
    • Thread
    • cm2 ct8 discrete value at risk var
    • Replies: 4
    • Forum: CM2
  25. K

    Is it okay to attach the Excel spreadsheet workings file along with Word Document for CM2 Paper A?

    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 can attach the excel spreadsheet along with the Word document answer script (so that the formulas used can be seen by examiner) or can only copy paste...
    • Kriti Gupta
    • Thread
    • cm2 cm2 paper a online exam
    • Replies: 1
    • Forum: CM2
  26. K

    Any tips for the Online format?

    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 those involving long equations. Request some guidance on practicing such questions? Moreover, can we expect any MCQ type questions to test such...
    • Kriti Gupta
    • Thread
    • cm2 cm2 paper a online exams
    • Replies: 3
    • Forum: CM2
  27. S

    CM2 - Utility Theorem (Q- Power Utility Pg -23)

    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 function with y = 0.5 . (i) Suppose that Investor B has an initial wealth of 100 and is offered the opportunity to buy Investment X for 100, which...
    • skharki1
    • Thread
    • cm2 powerutility utilitytheorem
    • Replies: 1
    • Forum: CM2
  28. V

    Certainty equivalent of Fair Gamble

    Hi, I was having trouble understanding the following statement and after some investigating I think there is a mistake: Chapter 2, Section 3.2 "Consider the certainty equivalent of a gamble. For a risk-averse individual this is higher than the actual likelihood of the outcome." I have assumed...
    • Vince
    • Thread
    • certainty equivalent cm2
    • Replies: 3
    • Forum: CM2
  29. A

    CT8 past papers

    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
  30. A

    Is CM2 the toughest?

    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 the trickiest in all the papers i have done so far. How would you guys rate the CM2 paper in terms of level of difficulty in understanding & Passing...
    • Anu Joshi
    • Thread
    • cm2 ct8
    • Replies: 10
    • Forum: CM2
  31. A

    CM2 April 19 Results

    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 new standard for CM2.. A
    • Arbitrage1234
    • Thread
    • cm2 ct8
    • Replies: 12
    • Forum: CM2
  32. P

    CM2 Paper B Likely Topics

    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 better than others. 1. Run Off Triangles 2. Stochastic Models of Investment Returns 3. MVPT / CAPM Top 3 most likely for me. Any thoughts? Also, how many...
    • pmullan1
    • Thread
    • cm2
    • Replies: 1
    • Forum: CM2
  33. P

    Chapter 5 - Stochastic Models of Investment Returns

    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 questions which seem to cover more material than the course notes. Is there a expectation on the type of question expected from this chapter? e.g. Is...
    • pmullan1
    • Thread
    • cm2
    • Replies: 1
    • Forum: CM2
  34. M

    Any advice?

    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 exemptions for CS1, CB1 and CB2). Has anyone got any recommendations or opinions on which would be better to sit alongside CM1?
    • Miraj
    • Thread
    • cm1 cm2 cs2 exams new syllabus
    • Replies: 15
    • Forum: CM1
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