Thanks BT. Your notes are quality!!! I do however think you have a lot more room for improvement, such as the fact that you publish some material late or not at all. Saying that, I did not score below 2nd quartile in none of the 9 FRM sections across the 2 levels. This putting much less hours...
Portfolio credit VaR is a quantile of the credit loss minus the expected loss of the portfolio.
Default correlation has a tremendous impact on portfolio risk.
Default correlation affects the volatility and extreme quantiles of loss but does not
impact the expected loss (EL).
Question on stress testing. I answered bank needs to shock risk factors they are most sensitive to. That may be wrong.
Also question on external loss of Girling was on a company suffering damage to physical assets (some natural disaster I think).