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market risk

  1. A

    FRM Part 2 Examination preparation tips

    This thread has been created to provide information and tips about FRM part 2 examination preparation to the present and future candidates .I seek participation and feedback from the registered candidates for Part 2 examination, successful candidates of part 2 examination from the past periods...
  2. O

    Counterparty credit risk in FRTB and CVA

    Hi @David Harper CFA FRM , I'm trying to understand the interactions between FRTB and CVA. There's 'default risk charge' in FRTB, where the gross jump to default is calculated for each instrument. Is this an overlap of what CVA tries to address? If FRTB already requires capital to the held...
  3. M

    Computation of the standard error of a coherent risk measure

    Dear all, studying the computation of se(q) for the confidence interval of a coherent risk measure (here VaR) in the GARP books, I noticed two inconsistencies. 1. f(q) is indicated as "= 1-0.9446-0.0450" while I believe it would only make sense to compute it as "f(q)=1-(0.9446-0.0450)", i.e...
  4. F

    Impact of intra-tranche default correlation on different CDO tranches

    Hello. I wonder if my understanding is correct with regards to the impact of intra-tranche default correlation on value of different CDO tranches. 1. Equity tranche: when correlation increases, the value of the tranche increases because now there is higher chance of the underlying assets...
  5. V

    Spectral Risk Measure

    Hello David, I have a clarification on the implication of spectral risk measure. What does it convey? Since we are taking weighted average of of quantiles (weights being calculated as per Dowd's formula' or assigned according to discretion), should I understand the spectral risk measure as the...
  6. Nicole Seaman

    P2.T7.410. Basel III market risk, continued

    AIMs: Explain and calculate the stressed value-at-risk measure and the frequency which it must be calculated. Explain and calculate the market risk capital requirement. Describe the qualitative disclosures for the incremental risk capital charge. Describe the quantitative disclosures for trading...