Financial Risk Manager Handbook by Philippe Jorion

By Philippe Jorion

I've got used this publication as a textual content for a graduate point monetary threat administration path, in coaching for the GARP FRM examination (which I passed), and as a reference professionally. The guide offers precisely what it says it is going to, and serves as a superb primer sooner than entering into the heavier, extra distinct assigned readings (this isn't an assigned interpreting for the FRM examination, brain you).

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Financial Risk Manager Handbook

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B. c. d. 12: FRM EXAM 1998—QUESTION 29 A and B are two perpetual bonds, that is, their maturities are infinite. A has a coupon of 4% and B has a coupon of 8%. Assuming that both are trading at the same yield, what can be said about the duration of these bonds? a. b. c. d. The duration of A is greater than the duration of B. The duration of A is less than the duration of B. A and B both have the same duration. None of the above. 13: FRM EXAM 1997—QUESTION 24 Which of the following is not a property of bond duration?

5 Distributions of Transformations of RVs The preceding results focus on the mean and variance of simple transformations only. They do not fully describe the distribution of the transformed variable Y = g(X). This, unfortunately, is usually complicated for all but the simplest transformations g(·) and densities f (X). Even if there is no closed-form solution for the density, we can describe the cumulative distribution function of Y when g(X) is a one-to-one transformation from X into Y. This implies that the function can be inverted, or that for a given y, we can find x such that x = g −1 (y).

This number is measured in half years, and we need to divide by two to convert to years. 86 years. Note that, to be consistent, the adjustment in the denominator involves the semiannual yield of 3%. Finally, the right-most column shows how to compute the bond’s convexity. Each term involves P Vt times t(t + 1)/(1 + y)2 . 78. This number is expressed in units of time squared and must be divided by 4 to be converted in annual terms. 44, in year-squared. 10: FRM EXAM 2003—QUESTION 13 Suppose the face value of a three-year option-free bond is USD 1,000 and the annual coupon is 10%.

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