Level 1 passed Nov 2016,1,1,2,2 prep time was 3.5 weeks. Very intense, 6-7 hours a day. Will not repeat it but it is possible. All BT.
Level 2 passed May 2017, 1,1,2,2,2 prep time was more this time, about 2.5 mths, 4 hours a day average. 90% BT and 10% GARP
1 quick revision for both times...
standard deviation (std) of the alphas = Residual Risk (volatility) * Information Coefficient (IC)
Let's take a portfolio of 300 stocks.
What is Residual Risk (volatility)? Is is an average of each stock's tracking error? Sum of 300 tracking errors/300?
What is this the...
So Dowd is using a 2% exceedence and 4% quantile to calculate the 99.5% VAR?
So let's say there are 100 observations, he picks 2% loss as a threshold, he sees that 4 observations exceed the threshold (4%) or N(u)/n
His boss say hey what is the 99.5 %var? The worst (1) observation is...