What's new

Search results

  1. L

    Credit PortfolioView Model

    Hi David, I have two questions. 1. Is the Credit PortfolioView model described in Desevigny Chapter 6 (in Core Reading Year 2008) the same as the McKinsey & Co/Wilson model in Chapter 20 (in Core Reading 2009)? 2. From Desevigny Chapter 6 the description of the model stops at generating...
  2. L

    Full valuation method for VaR

    Hi David, Reading Linda Ellen Chapter 3 and comparing with Jorion Value at Risk Chapter 10, have given rise to a source of confusion for me regarding what is the full valuation method for VaR? Linda Ellen says "Full revaluation method calls for revaluation of the derivative at Var of the...
  3. L

    FRM 2009 Study Guide & AIMS

    Does anyone know when the FRM 2009 Study Guide ,AIMS, Practice Question 2009 will be available? I have registered for the exam but unable to access any of the above mentioned materials. Emails to .(JavaScript must be enabled to view this email address) has not been replied. Thank you
  4. L

    Ops Risk Notes

    Hi David, I seem to have problem opening the above pdf file on this website. The error that keeps coming up saying " AXWIN Frame Window AcroRd32.exe Application error". Alternatively, i have also tried downloading it but the downloading always seems to terminate mid way before i managed to...
  5. L

    Quant :2007 Random Set 1 Q18, Random Set 2 Q9

    Hi David, With regards to the above questions in the random set , i am curious why the chi square test statistic used is n*(sample variance)/(population variance) instead of (n-1)*(sample variance)/(population variance)? Thanks Peggy
  6. L

    Credit Risk Study Notes

    Dear David, I seem to have a problem in opening the 2008 study notes for credit risk in pdf format. The message says there is an error opening the file and it was damaged. Not sure whether anyone here has the same problem. Thanks Peggy
  7. L

    Risk Contribution

    Hi David, In the Ong reading on Portfolio Effects, the author said "risk contribution is the single most important measure in credit portfolio management". The reasons given are 1. It enables the risk profile of the portfolio to be modified by changing the risk characteristics of an...
  8. L

    Edit Grid on Merton model's calculation of PD and LGD

    Hi David, I am writing to seek some clarification on the calculation of PD and LGD in the edit grid. I noticed that the expected rate of return of assets is used instead of the risk free rate.While on the other hand, i have observed in the subsequent spreadsheet on the calculation of the...
  9. L

    Benefits of Risk Management

    Hi David, I have come across the following question in the reading. How does tax carrybacks and tax carry forwards affects the tax benefits of risk management? My understanding is with tax carry forwards, the present value of future taxes can be reduced as current losses can be...
  10. L

    LDA models

    Hi David, As i was going through the chapter on LDA modelling approach to calculate operational risk regulatory/economic capital, i came across the terms "empirical distribution" and "parametric distribution". Not too sure what's the differance between the two. In context of the reading on...
  11. L

    Counterparty Risk terms

    Hi David, Could you help enlighten me on the differances between the following terms used in the Canaborro reading on measuring and marking counterparty risk : credit valuation adjustment and market value of credit risk? Is the net market value of credit risk = V(B)-V(A), the same are...
  12. L

    Regulatory Capital & Economic Capital

    Hi David, I need some help in understanding :regulatory capital & economic capital and how they come together in the FRM course.I have some introduction into economic capital while reading counterparty risks and would like to get a bigger picture of what's going on.Here is what i have come to...
  13. L

    Calculation of adjusted exposure

    Dear David, As i was going through Michael Ong's Chapter 4 on expected loss, i have come across the following formulae Adjusted exposure on default = Outstanding + Usage Given Default * Commitments However in Table 4.2, Adjusted exposure = Outstanding + Usage Given Default...
Top