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Recent content by bpdulog

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    Impact of Default Correlations on EL

    Most likely you will be tested on EL for a single credit and not a portfolio of credits.
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    Prepayment Risk

    Your point 3 is very difficult to quantify, because it is very idiosyncratic. The prepayment can either be due to market factors like interest rates or life events such as job relocation, I am not even sure if banks record this kind of data.
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    Exam Feedback May 2017 Part 2 Exam Feedback

    If you majored in finance for undergrad or b-school then L1 is basically a review of most of those concepts. But there is also a lot of accounting
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    Exam Feedback May 2017 Part 2 Exam Feedback

    I decided to take a cycle off to play golf and enjoy the beach, but plenty of people have done May and Nov back to back. There is still time now, but you should really decide within the next week or so.
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    Exam Feedback May 2017 Part 2 Exam Feedback

    Thanks! Huge thank you to @David Harper CFA FRM , @brian.field , @QuantMan2318 and others who continue to support the forum
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    Exam Feedback May 2017 Part 2 Exam Feedback

    Passed 2,1,1,1,1 :)
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    Exam Feedback May 2017 Part 2 Exam Feedback

    Dude I think you are freaking out
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    Win prizes for forum participation!!

    Hi Nicole, I will take the Amazon gift card. Thank you!
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    GARP.FRM.PQ.P2 Vasicek Model Question

    Ah I see. I thought the months were T=1. Not sure if I was supposed to do that for the exam....
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    GARP.FRM.PQ.P2 Vasicek Model Question

    I tried to use this formula but couldn't get the answer
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    Exam Feedback May 2017 Part 2 Exam Feedback

    Interesting, I did not read the question the same way. My thought process was that the depositor may have been lured by higher rates from competitors, but chose to stay at the same bank, so these deposits were pretty "sticky." Hence, when rates rose these deposits were unaffected. Given the...
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    Exam Feedback May 2017 Part 2 Exam Feedback

    I am not saying you are wrong, since I really don't know what the text says (can't find reference). But I jsut made this quick and dirty chart with DFs: Maybe I am wrong, who knows
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    Exam Feedback May 2017 Part 2 Exam Feedback

    I thought that too. But I chose the downward sloping line. Is it not a linear relationship?
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    Exam Feedback May 2017 Part 2 Exam Feedback

    Does anyone have a GARP reference to the CVA graph or the narrative that supports it? I really don't remember reading about the relationship between CVA and fed funds rate.
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    Exam Feedback May 2017 Part 2 Exam Feedback

    50% is roughly the historical pass rate. It doesn't have to be that, could be higher or lower. What I'm trying to say is, if you want to go with a historical simulation method, then 50% is your starting point which is what I assumed the other fellow did. This differs from your assumption of...
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