Dear @David Harper CFA FRM
Knowing default is characterized by a bernoulli distribution, can you please advise if an analytical solution exists to deriving PDs from sigma PD.
Let me be more precise..if sigma PD = 7%. What is PD? Would appreciate if you share the workout!
Hi @David Harper CFA FRM
Please confirm if we are required perform calculations of the below for FRM 2 May 2017 exam:
1- VAR and ES under POT
2- WCDR and Maturity Adjustment under Basel IRB approach.
A 95% VaR measure that assumes normal distribution cuts off at 1.65 critical z.
If an alternative distribution entails a 95% VaR at 1.56, what does that tell us about properties of the distribution?
Is is safe to assume it exhibits thinner tails?