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    Jorion Chapter 6 Question 10

    Hi David, For the Jorion question, can you provide the equation 6.3? Do we need to know this for the exam? Thanks Question 10: 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...
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    Jorion VaR Mapping

    Hi @David Harper CFA FRM , I have questions regarding Jorion chapter 11, VaR mapping notes. Pages 23 of the notes onwards show excel tables, without formulas behind many calculations. I was trying to figure out what is going on, but it is both difficult and time consuming. Could you please...
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    Jorion, Incremental VaR - Best hedge (equation 7.24-26)

    Hi @David Harper CFA FRM, I wanted to start a new topic which has not yet been discussed in great detail. Jorion mentions on page 170 that a particular new trade involves a position in one risk factor (asset). The portfolio value changes from the old value of W to a new value of W(p+a) = W +...
  4. David Harper CFA FRM

    Solutions Jorion, Value at Risk (VaR), 3rd Edition 2016-06-22

    End-of-Chapter Exercises Chapter 1 has been discontinued but remains an excellent and relevant introduction to the FRM Chapter 14 (Stress Testing) is P1.T4 Chapter 6 (Backtesting) and Chapter 11 (VaR Mapping) are P2.T5 Chapter 7 (Portfolio Risk) is P2.T8 and remains one of the best...
  5. superpocoyo

    Jorion's Definition of "Financial Risk"

    Hi David, Q&A P1.T1.1. What is Risk on page 27, "Note: an arguable weakness of Jorion's definition is that volatility includes upside movements. But risk is generally only concerned with "left-tail" losses; e.g. VAR is always one-tailed (VaR is always 1.645 normal deviates at 95% confidence and...
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    Jorion - Backtesting Questions

    Q1. How are they mathematically getting the values for k under the Basel penalty zone to go from 3 to 4 for a 250 day 99% CI when the number of exceptions goes from 5 to 10. Or is it something that has been set by Basel? Q2. There is an example in Jorion where they have found that when p =...