Consider a ten-year mortgage loan secured by residential real estate, with an EAD of Euro 250,000 and an estimated LGD of 10 %. Supposing the customer’s PD is 2%, compute the capital requirement under the Basel II IRB approach, the standardized approach of Basel II, and under Basel I? Please explain step by step
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Hello David, can you help me solve this question?
Consider a ten-year mortgage loan secured by residential real estate, with an EAD of Euro 250,000 and an estimated LGD of 10 %. Supposing the customer’s PD is 2%, compute the capital requirement under the Basel II IRB approach, the standardized approach of Basel II, and under Basel I? Please explain step by stepHi David, Kindly advise how many observations need to calculate daily VaR? Hi, I am surprised there is no BSM in Part 3 of FRM 1 (at least not in the videos and the first 3 option Hull chapters). Should we know this for the exam? Thanks in advance. Hello David, i'm a new member and have a couple of Q's as i find the website is pretty scrambled and the experience was below my expectation for the money paid.
1. The chapters' study notes are repeated under different authors (for ex. in Quant. we have chapter 4,5,6 under miller and watson and Diebold) which one in this case we should study from? also for their respective question set.
done with forum support today, just getting too tired and I need to get on to other work, I'll be back tomorrow (Monday). Don't stress, if you are practicing, you'll be find. And good luck
caught up on forum support today, I'll be back tomorrow. We had a very active Week in Risk: https://www.bionicturtle.com/forum/threads/week-in-risk-september-30th.20984/
spent all morning in the forum catching up. Need to write practice questions and prep video, back tomorrow. Have a good Sunday!
I've been in the forum all morning, I need to record a video now. I will check back tomorrow AM (Sunday) to respond to new questions. Have a good weekend!
I'm back from 3-day vacation to Austin, TX ... catching up on forum questions!
I won't be actively replying to FRM type questions until Monday June 4th: Nicole & I are working on admin and the 2nd semester content plan Hi David I found 1 error question in 2018 FRM Part 1 exam conducted on Saturday..Please let me know when i can notify you for the same Hi David, I am a big admirer of BT and the research that you do in finance. I was calculating YTM using XIRR in excel for amortizing bonds and the XIRR somehow results in a YTM > coupon although the bond is purchased at par. Should YTM calculations consider acc. int. as part of the initial purchase? Hi David,
Just need some guidance here. I worked for a insurance company for 6 months as a Operations analyst and then moved to the U.S. My first job in the U.S was in the retail side of a Bank and I did that for 1 year. Now I'm in the corporate role as a Risk Analyst since last 6 months. Do you think this experience would suffice according to GARP's standards?Hi Nicole/David,
just a question about part 2 section "Current Issues In Financial Markets".
Will you publish the quizzes also for this section ? In case they are very useful, at least in my opinion.
Tks in advanceI am doing a thesis on Merton Distance to default (DD) Model for predicting bank's distance to default. In merton DD model we need values of six variables out of which 3 are known.
Could you please guide me how to calculate 1-Market Value of assets 2-Volatility of assets and 3-Expected return on Assets in case of banks, because without these values d1 and d2 can’t be calculated.
Deepa & I are working on new version of the Miller (Statistics) Notes, excited to improve its usability http://trtl.bz/2v6gFKU -
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