Firstly apologies if there's already a thread on this, but couldn't see anyone after using the search function.
My question related to Q5 of the 2016 practice exam:
A risk analyst is valuing a 1-year credit default swap (CDS) contract that will pay the buyer 80% of the face value of a...
I'm at a loss as to how diversified VaR is computed whe mapping linear derivatives. Undiviersified VaR is easy enough: sum(pv of cash flows x risk).
On page 67 of the official materials it says pre and post multiply by the pv of cashflows to get diversified var. But I don't get what it...
I received my FRM II books the other day. For four of the five topics but not this one. But I understand this will be 10% of the exam.
How do we prepare for this section? Will there be stuff coming out about it nearer the time? Is there a "syllabus" of some kind for it.
Sorry if this has...