In the forum this week (a selected subset only, it’s been busy as the exam approaches) How can one FRM candidate fail with scores of 2nd/2nd/3rd/3rd, but another can pass with seemingly similar scores of 3rd/3rd/2nd/2nd? Not only can it happen, but in extremis, the passer can be +70% overall compared to the failer. Whoa! http://trtl.bz/garp-quartiles-compared
Archives for October 2016
In the forum this week (selected only because it’s been VERY busy) Thank you to member, thanala, for submitting this Miller question which can easily trip up even a so-called expert (I bet you half of FRM candidates would get the second sub-question wrong) “2. The nominal monthly rate for a loan is quoted at 5%.
Welcome to our Week in Risk, where David has provided some great FRM discussions from our forum, and other general risk articles! Forum discussions (selected only) ISDA OTC Derivatives Compliance Calendar updated by member, seidu https://www.bionicturtle.com/forum/threads/isda-otc-derivatives-compliance-calendar-updated.9895/ Can you elaborate on ARAROC? https://www.bionicturtle.com/forum/threads/p2-t7-300-economic-capital-topic-review.6830/#post-45348 adjusted RAROC is essentially an economic value added (EVA) concept because it wants
Selected Questions and Answers (Q&A) in the forum Are idiosyncratic and business risk the same thing? https://www.bionicturtle.com/forum/threads/are-idiosyncratic-and-business-risk-the-same.9880/ Interpolation in Linda Allen’s hybrid (between HS and EWMA) value at risk (VaR) https://www.bionicturtle.com/forum/threads/calculating-revised-var-hybrid-approach.9857/ I updated the XLS, this will appear in the 2017 revision of the notes https://www.dropbox.com/s/vbzeecpoplyvkxk/0915-allen-hybrid.xlsx?dl=0 How exactly is the Taylor Series applied to both