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  1. U

    z-score calibration (adjustment)

    Hi @David Harper CFA FRM , One formula I am struggling to understand is the adjustment to the z-score to account for the costs involved with the type I and type II errors ( => opportunity cost vs. LGD) in De Laurentis - Ch3 (Ratings Assignment Methodologies) pp 59 and 60. ln(q(solvent) *...
  2. Nicole Seaman

    P2.T7.704. Loss distribution approach (LDA), external loss data, & Basel's Standardized Measurement

    Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...
  3. Nicole Seaman

    P2.T6.704 Linear discriminant analysis (LDA according to De Laurentis)

    Learning objectives: Apply the Merton model to calculate default probability and the distance to default and describe the limitations of using the Merton model. Describe linear discriminant analysis (LDA), define the Z-score and its usage, and apply LDA to classify a sample of firms by credit...
  4. Nicole Seaman

    P2.T7.505. Loss distribution approach (LDA) to modeling operational risk capital

    Learning outcomes: Describe the loss distribution approach to modeling operational risk capital. Explain how frequency and severity distributions of operational losses are obtained, including commonly used distributions and suitability guidelines for probability distributions. Explain how Monte...