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How does SARIMA handle seasonal patterns in time series?
SARIMA extends ARIMA with seasonal AR, MA, and differencing terms at seasonal lag s, capturing both trend and periodic patterns.
What makes the Phillips-Perron test different from ADF?
Phillips-Perron uses non-parametric correction for autocorrelation rather than ADF's lagged differences, offering robustness to heteroskedasticity.
How are transfers between fair value hierarchy levels recognized and disclosed?
Transfers occur when input observability changes. Entities pick a consistent recognition policy (beginning, event-date, or end of period) and must separately disclose transfers in, transfers out, and reasons.
What disclosures are required for the fair value hierarchy?
Disclosures scale by level: all levels require amount, classification, and technique; Level 3 adds rollforward, quantitative unobservable input ranges, sensitivity analysis, and valuation process description.
What are the main corporate governance frameworks and how do they differ?
Major corporate governance frameworks include OECD Principles, UK Code, SOX, and German two-tier; they differ in shareholder vs stakeholder emphasis and board structure.
How is high yield bond analysis different from investment grade?
High yield credit analysis shifts focus from default avoidance to recovery value, liquidity runway, and covenant protection.
How do I calculate FX forward points and what do they tell me?
Forward points are just the difference between the forward rate and the spot rate, scaled by convention. They exist because spot moves around all day while the interest rate differential is relatively stable.
Walk me through exactly how an NDF settles at expiry with numbers.
Let's walk through a concrete scenario. Ferraz Commodities in Sao Paulo has a 200 million BRL payable to a Japanese supplier in 90 days.
What are the four Cs of credit analysis and how is 'capacity' evaluated?
Four Cs: Capacity, Character, Collateral, Covenants. Capacity = ability to pay, measured via coverage (EBITDA/interest >3x IG), leverage (Debt/EBITDA <3x IG), and cash flow (FCF/Debt >20% strong). For Everpine Paper...
How does risk budgeting work in practice for asset allocation?
Risk budgeting allocates risk rather than capital across asset classes. Each asset's Absolute Contribution to Total Risk (ACTR) depends on its weight, beta to the portfolio, and portfolio volatility. In a typical 60/40 portfolio, equities often consume 85–90% of the risk budget.
What is a cash-secured put and why do income investors prefer it over buying stock directly?
Selling a cash-secured put lets you collect premium while committing to buy shares at a lower strike — you get paid to wait with a defined entry price.
How does a covered call strategy generate income and what are the trade-offs?
A covered call pairs long stock with a short OTM call to collect premium, capping upside at the strike while lowering effective cost basis by the premium received.
What is the most advantageous market and when does it apply?
Most advantageous market maximizes net proceeds after transaction and transportation costs, used only when principal market is not identifiable. Fair value uses the gross price; transaction costs inform selection only.
What's the difference between committed, called, and paid-in capital?
Committed is max promised; called = paid-in = actually contributed; DPI/RVPI/TVPI track realized, unrealized, and total multiples.
How are potential voting rights assessed for control and influence?
Potential voting rights are considered only if substantive: currently exercisable, no financial barriers, and economic incentive to exercise. Deeply in-the-money warrants exercisable within 30 days are substantive...
What triggers the 20% significant influence presumption for associates?
IAS 28 sets a rebuttable presumption of significant influence at 20% of voting rights. Below 20%, evidence like board representation, policy participation, material transactions, personnel interchange, or technical exchange can establish influence...
How does a credit default swap actually work from inception to credit event?
A CDS is a bilateral contract where the protection buyer pays a periodic premium to the seller in exchange for compensation if the reference entity defaults...
What is varimax rotation and why apply it to factor loadings?
Varimax is an orthogonal factor rotation that preserves orthogonality while maximizing the variance of squared loadings. Goal is to make each variable load heavily on one factor...
What is one-sided convexity and which instruments exhibit it?
One-sided convexity means curvature is asymmetric — putable bonds have upside-yield positive convexity, callable bonds have downside-yield negative convexity.
What is a conjugate prior and why is it useful?
A conjugate prior is one where the posterior is in the same family as the prior. This gives closed-form posterior updating — no MCMC needed...
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