I just would like to thank you for helping me pass my FRM. Yea I mean I have passsed my Part II by luck. And I think I would never have a chance of the luck without your notes. My genuine thanks for your help.
[Just my "estimation" only and those I am not >60% sure are not responded.]
there was a question on counterparty spread increase from 150 to 180 n the company from 20 to100 BP something.Asked who will ask for higher lower CVA..what was the ans?
Something like that as I remember credit rating of...
(Just according to my memory and those I am not >60% sure are not responded)
Diff btwn diversified and diversification VAR - 353550
I was confused here. I tried MVaR/Beta= Portfolio VaR and MVaR*Position=CVaR but the results were different. I finally chose $331,XXX using CVaRs and comparing...