I am unclear on how deep we need to go to cover the GARP requirements on the Gaussian copula function (e.g. 505.3). Also, in trying to get some depth, I wanted to clarify this narrative. I am sure I have gaps in stringing it together.
In terms of building blocks, I have seen a single...
In the study notes and spreadsheet pack, I am struggling to understand how prices were calculated for the 3 step binomial (tab 29,7) for 946,51 and 955,78.
I get how to calculate (q) and (q-1), but this requires us to know 946,51 and 955,78 values from the earlier period.
But using the...
Probably a dumb matrix math/ covariance question on the spreadsheet pack forward tab for diversified VAR:
To calculate portfolio variance, you do the following:
1. calculate the individual volatilities (matrix)
2. multiply 1. by the correlation matrix
3. multiply 2. by 1. again to...
For the Jorion question, can you provide the equation 6.3? Do we need to know this for the exam?
A bank reports 6 exceptions to its 99 percent VAR over the last year (252 days), including 4 that follow another day of exception. Compute the likelihood-ratio tests...