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# Recent content by Ali Ehsan Abbas

1. ### 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
2. ### Geometric Returns of negative interest rates

Geometric return = (ending value/beginning value)^(1/N) - 1
3. ### 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)...
4. ### 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...
5. ### 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.
6. ### FORMULAE

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.
7. ### 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.
8. ### Difference between Marginal and incremental VAR

Thanks @David Harper CFA FRM Can you please explain how do you arrive at rho (hij,klm). Regards.
9. ### 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.
10. ### 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?
11. ### 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...
12. ### 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?