- Thread starter Nicole Seaman
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- Tags exam-feedback

@hellohi

Okay I built this small spreadsheet (because trying to talk about this soon becomes a word soup imo), please see https://www.dropbox.com/s/ikhbkm0571fdchh/1019-garp-frm-scoring-exam.xlsx?dl=0

... and below is a snapshot. This is just for P1 and you only input (change) the yellow cells, the rest is calculated.

Notice how I input an extreme version of the one you referenced in your email; i.e., Student #1 earns 3/3/2/2 and passes while Student #2 earns 2/2/3/3 but fails. I was deliberately provocative: notice how the seemingly subtle difference can lead to a difference between a final score of 62 and 36 (wow!). Caveat: I'm not sure my quantiles are exactly calibrated, but they can't be too far off. I hope that clarifies!

Okay I built this small spreadsheet (because trying to talk about this soon becomes a word soup imo), please see https://www.dropbox.com/s/ikhbkm0571fdchh/1019-garp-frm-scoring-exam.xlsx?dl=0

... and below is a snapshot. This is just for P1 and you only input (change) the yellow cells, the rest is calculated.

Notice how I input an extreme version of the one you referenced in your email; i.e., Student #1 earns 3/3/2/2 and passes while Student #2 earns 2/2/3/3 but fails. I was deliberately provocative: notice how the seemingly subtle difference can lead to a difference between a final score of 62 and 36 (wow!). Caveat: I'm not sure my quantiles are exactly calibrated, but they can't be too far off. I hope that clarifies!

From other threads in the forum, I could find a discussion between unexpected loss and economic capital with economic capital = alpha * unexpected loss. Who exactly decides this alpha?

worst case loss = expected loss + unexpected loss

why don't we use worst case loss instead of expected loss in the RAROC calculation?

From other threads in the forum, I could find a discussion between unexpected loss and economic capital with economic capital = alpha * unexpected loss. Who exactly decides this alpha?

worst case loss = expected loss + unexpected loss

why don't we use worst case loss instead of expected loss in the RAROC calculation?

"For the perspective of company A, its exposure to company B is 1M, while for the perspective of company B, its exposure to company A is 2M"

if I would like to calculate the credit risk for Company A. Which EAD should I use? 1M or 2M. From my current understanding, it should be 1M, because credit exposure to sb means if sb default the amount will be in credit risk. I remember I used 2M in the exam, because I thought company B's exposure to company A means the amount company A have the position in B. So which one should be the correct one?

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