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-comparedRead More
Archives for October 2016
Bionic Turtle’s Week in Risk — Ending October 16th
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%.Read More
Bionic Turtle’s Week in Risk — Ending October 9th
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 the project to cover its (risk-adjusted) cost of capital; RAROC is partially risk-adjusted but not fully risk-adjusted VaR backtest discussion https://www.bionicturtle.com/forum/threads/l1-t5-58-value-at-risk-var-backtest-significance.3604/#post-45341 ThankRead More
Bionic Turtle’s Week in Risk — Ending October 2nd
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 bothRead More
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