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...
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...
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...
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)?
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.
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...
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...
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...
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...
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...
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...
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...