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    Deriving PD

    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! Thanks.
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    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. Thanks.
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    VaR and distribution

    Hi everyone: 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?