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# Recent content by ami44

1. ### Chapter 4: Multivariate Variables (p. 16)

Imho you are correct. That should read (1-w)^2
2. ### Chapter 5 Probability of Loan Default

Hi, the original text is sloppy. PD is here a random variable that can be 1 or 0. The probability of PD being one is p. Expected value of PD: E[PD] = p * 1 + (1-p) * 0 = p Expected value of PD^2: E[PD^2] = p * 1^2 + (1-p) * 0^2 = p it follows that E[PD] = E[PD^2] = p Which is a property of...
3. ### Is Variance monotonious

I’m not sure if this is still of interest, but the variance is not monotounius. That is also mentioned in Wikipedia: https://en.m.wikipedia.org/wiki/Risk_measure#Variance Davids intuition is correct. Proof by counter example: Assume X and Y are returns from two different Portfolios. Let X = c *...
4. ### How to Fix the FRM: David's 2018 Memo to the FRM Committee and GARP's Board of Trustees

1.+4. is answered by Nicoles links 2. no penalizing. You should guess in case you don‘t know the answer or your time runs out. 3. All questions have the same weight

11. ### Monotonicity

I think the bad reputation of Monotonicity is not justified. It is quite intuitive. In my opinion the confusion stems from the fact, that some text are vague in distinguishing future value and p/l. The Dowd text that Davids cites is especially bad at that: That is just not true. It is not about...