Recent content by David Harper CFA FRM

  1. David Harper CFA FRM

    CDS on the Senior tranche of the CDO with tranche correlation

    Hi @xZhan3765 Welcome! I don't think you are alone, this is a question that bugs me because I think it's possible that it might possibly be a harder puzzle to those who are better prepared. The problem, to me, is the first sentence "A financial firm has sold default protection on the most senior...
  2. David Harper CFA FRM

    R code used for slides / reporting

    HI @enjofaes Glad you found that! FYI, I moved it to here because I found a much easier way to host it (per Thanks!
  3. David Harper CFA FRM

    Variance of AR(p) - wrong formula

    HI @LeonardoFRMPart1 Agreed, when I last looked, I believed they did get the variance correct for AR(1) but incorrect for AR(p), see
  4. David Harper CFA FRM

    R code used for slides / reporting

    Hi @enjofaes My apologies for such a delay, especially given that I shared your post internally (!) because I get really enthusiastic about the application of data science to our field. I have a data science blog here at So, yes, we are discussing exactly how to do what you...
  5. David Harper CFA FRM

    Course Errors Found in 2021/2022 Study Materials P1.T4. Valuation & Risk Models

    Hi Brian (@BCott8744 ) Yes, I agree, it's a mistake. In our study notes, when I replicated the 2020 version of the default probability tables, I noticed a couple of similar errors, but the updated version appears to contain more mistakes. I agree with you about the mistaken 2.45%, but it's also...
  6. David Harper CFA FRM

    Twenty new learning XLS

    HI @PAnto2185 This post is < 13 years old. those spreadsheets are now distributed into their respective chapters in the SP. If you see an old one that you really want, I have a full dropbox (database) of all history, and I can get it for you ... but over the weekend or something, thanks! David
  7. David Harper CFA FRM

    Portfolio UL

    Thank you truly Camille (@bollengc ). @Randy Moon I think that thread explains exactly the reconciliation you seek ....
  8. David Harper CFA FRM

    P2.T5.22.8. Value at risk (VaR) backtest power and additional approaches

    Learning objectives: Identify and describe Type I and Type II errors in the context of a backtesting process. Explain the need to consider conditional coverage in the backtesting framework. Describe the Basel rules for backtesting. Questions: 22.8.1. Bertha is analyzing the application of the...
  9. David Harper CFA FRM

    Explanation of Vasicek Model??

    HI @aarora89 No excel on the FRM. Sorry. Not yet, anyway. There should be, right? It would be 10x more realistic!
  10. David Harper CFA FRM

    P1.T3.22.24. Stock option features and variations

    Learning objectives: Explain how dividends and stock splits can impact the terms of a stock option. Describe the application of commissions, margin requirements, and exercise procedures to exchange-traded options and explain the trading characteristics of these options. Define and describe...
  11. David Harper CFA FRM

    P1.T1: Chapter 1 - Economic Captial (EC)

    I agree with you @Torsleno and that's helpful! @carloscm Here is the page 4 snippet (new emphasis mine): And I think maybe this is the other reference: The sentence of ours, "economic capital is a fully loaded measure of risk that includes both expected loss (EL) and unexpected loss (UL)"...
  12. David Harper CFA FRM

    P1.T2.70. Standard error Page 101 of Question set

    Hi Sahil (@Sahil1999 ) Glad it helped! I think you are close but I would rephrase as follows: "because we are measuring the dispersion of a sample mean (i.e., a sample of 40 funds), we look at the standard error which is a standard deviation but rather than for a single fund, it's a standard...
  13. David Harper CFA FRM

    P1.T2.70. Standard error Page 101 of Question set

    Hi @Sahil1999 Because it's asking about a sample mean, so central limit theorem (CLT) applies. Each fund has μ = 8.0% with σ =10.0%. For a single fund, the Pr(R > 10%) = 1 - Pr[R < (10% - 8.0%)/10%)] = 1 - Pr (Z ≤ 0.20) = 1 - 57.93% = 42.07%. But if we ask about the mean of a sample of 40 such...
  14. David Harper CFA FRM

    P2.T9.21.6. Marginal value at risk (VaR) in portfolio management

    HI @littleberries Per Jorion 7.5.2. (and in particular formula 7.38 and its surrounding discussion), we can identify the optimal portfolio (aka, portfolio with the highest Sharpe ratio) by finding the mix (aka, allocation between components, in this case the allocation between Energy and...
  15. David Harper CFA FRM

    Mark Meldrum (aka, the GOAT) has joined us at CeriFi

    In 2021, Bionic Turtle took a big step to become part of the CeriFi family. I’m proud to report that the experience has exceeded my expectations. I believe our customers would agree that we continue to live our values: integrity great learner outcomes curiosity in pursuit of subject matter...