@David Harper CFA FRM really struggling to grasp the concepts of derivatives and leverage wrt economic balance sheet. Do you think this has high testability for FRM P2? Any view on what type of questions/concepts can be tested. Many Thanks!
From what I am reading across forums like Reddit etc is that there is very little likelihood for them to cancel. At most they may cancel exams in regions heavily affected. Interested to hear other thoughts.
@David Harper CFA FRM
As per above I am trying to understand via hypothesis test - 99%, 2 tail test. Please tell me if my understanding is correct?
H0 = 0.01*250 = 2.5 exceptions expected
Ha = 5 exceptions (let's assume this is the alt hypothesis)
99% 2 tail hypothesis test t-critical =...
@David Harper CFA FRM for Jorian's back testing VAR example - what does the pink shaded region signify ?
Example - if 99% VAR over 1 year horizon (250 days) is 10 mill, expected exceptions is 2.5 days/ per year (0.05*250=2.5 or 3 approx.). So we expect to lose >10 mill on 3 trading days of...