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Recent content by Ali Ehsan Abbas

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    Exam Feedback May 2017 Part 2 Exam Feedback

    Tons of thanks to @David Harper CFA FRM and the team at BT! Passed 1,1,1,1,1
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    Geometric Returns of negative interest rates

    Geometric return = (ending value/beginning value)^(1/N) - 1
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    Kendall Tau (example)

    Very helpful @David Harper CFA FRM Strange how other sources employ approach resulting in significantly different results. From what i was able to read so far this is my synopsis viz. the above workout: (1,3)(3,1): Discordant cuz 1<3 BUT 3>1 (1,4)(2,3): Concordant cuz 1<4 AND 2<3 (2,4)(4,3)...
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    Kendall Tau (example)

    Thanks a bunch @David Harper CFA FRM...but please bear with me...i am not able to follow through... Please provide an alternate view...maybe with examples: (1,3)(3,1)? (1,4)(2,3)? (2,4)(3,3)? Also, if we look at earlier definition on "neither" where xt=xt* or yt=yt*...say (1,4)(2,4) as in...
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    Deriving PD

    Dear @David Harper CFA FRM Knowing default is characterized by a bernoulli distribution, can you please advise if an analytical solution exists to deriving PDs from sigma PD. Let me be more precise..if sigma PD = 7%. What is PD? Would appreciate if you share the workout! Thanks.
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    Hi @David Harper CFA FRM Please confirm if we are required perform calculations of the below for FRM 2 May 2017 exam: 1- VAR and ES under POT 2- WCDR and Maturity Adjustment under Basel IRB approach. Thanks.
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    Potential error in P2.T5. MR-9: 3.2.3. Kendall's tau and concordant/discordant pairs

    There seems to be inconsistency on treatment of pairs neither concordant nor discordant. My understanding is any pair (x,y) where x=y fits into the "neither" category. Can someone or @David Harper CFA FRM please confirm. Thanks.
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    Difference between Marginal and incremental VAR

    Thanks @David Harper CFA FRM Can you please explain how do you arrive at rho (hij,klm). Regards.
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    Difference between Marginal and incremental VAR

    I have a feeling the inputs are incorrect as they (in the case of HIJ and portfolio) lead to correlation parameter estimate > 1. @David Harper CFA FRM will come to the rescue hopefully soon.
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    Difference between Marginal and incremental VAR

    Whay would be the result to portfolio diversified var? Shouldnt it be the product of Portfolio wealth, portfolio st. Dev., and the 1.645 deviate?
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    VaR and distribution

    Thanks @David Harper CFA FRM Helpful, but a bit of sherlock holmes re. your last statement! Wouldn't a distribution with mean 0 and variance of 1 by default be a standard normal distribution, hence 1.65 deviate to 95% VaR quantile?!! I think the key is for the distribution to be elleyptical...
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    VaR and distribution

    Hi everyone: A 95% VaR measure that assumes normal distribution cuts off at 1.65 critical z. If an alternative distribution entails a 95% VaR at 1.56, what does that tell us about properties of the distribution? Is is safe to assume it exhibits thinner tails?