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    Merton formulas: equity and debt N(d) vs. N(d1) and N(d2)

    I can't seem to find this answer in the forum. I've seen two different iterations used when calculating merton's equity and debt. Results are not the same, so can you advise which we should use (N (d) or N (d1 and d2) and how necessary it is to memorize the formulas? Merton value of equity...
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    P2 Practice Question Updates for Operational Risk and Current Issues

    David, I noticed that you provided 2012 updates to the Practice Questions for Market Risk, Investment Risk and Credit Risk. Will you publishing 2012 updates for Credit Risk and the Current Issues? If so, please advise when you expect that they will be available. Thank you! Theresa
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    Square Root Rule with Mean Reversion & AutoCorrelation - VaR & Volatility

    Thank you so much, David! I will be running through this carefully tomorrow. Theresa
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    Square Root Rule with Mean Reversion & AutoCorrelation - VaR & Volatility

    David, I am now thoroughly confused by the Square Root Rule and scaling the VaR under the circumstance of Mean Reversion and Auto correlation. In search of an explanation, I found this thread http://www.bionicturtle.com/forum/newreply/1729/ , but your link is not attached anymore. The rules...
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    Case Studies - are all 7 examples of Operational Risk Failures?

    Since People Risk (an operational risk) is defined as Risk of losses due to people, rogue trading, fraud...and Bankers Trust sufferred large losses from the lawsuit due to their employees misconduct, I would say that it must definitely fall under the category of Operational Risk ...on account of...
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    Information Ratio Questions: Jorion uses "Active" & Amenc uses "Residual"

    Hi David, I am noticing some inconsistencies as it relates to Information Ratio, and specifically Jensen's Alpha & Tracking error. I'm wondering if using the active risk & active return (versus residual return & residual risk) in the Information Ratio depend on what the benchmark is defined to...
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    Case Studies - are all 7 examples of Operational Risk Failures?

    While each case study emphasizes various risks (including market, liquidity, and credit risk), are they ALL examples of Operational Risk Failures?? You did not explicitly mention this in your notes or webinars. Please correct me if I am wrong with any details of what category of...
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    Op Risk & Integrated Risk 1/4 published, but not video 2, 3 & 4

    Hi David, On April 2nd, you published video 1/4 for Operational and Integrated Risk. Will you be publishing Videos 2/4, 3/4, and 4/4? Or should we refer to last year's videos? Thank you! Theresa
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    Foundations of Risk - Exam Questions

    I am wrapping up my studies for Foundations of Risk, and was wondering if you have a sample exam question packet for Subject #1. I find it more convenient to print out a group of questions covering the entire subject, rather than what you have on a subject by subject basis. Are questions out...
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    New Member - Study Notes question

    I am a new member. I am wondering why the study Notes are available at the end of thetwo weeks, just one day before the webinar? Why aren't the notes available at the beginning of the week, for each subject? Thanks.