Recent content by Kaiser

Thanks Nicole, much appreciated. I still have some docs to read in part2 and many more posts to view before the exam, so I will let it accrue for now. Thanks again, Rgds,

Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,

Hi, Page 65, R46.P2.T6. Gregory Notes it says that the netting factor is given by: netting factor = NF = sqrt(n + n*(n-1)*rho-bar)/n While I see that if rho-bar = 1 (no netting benefit) then NF = 100% and of rho-bar=0, then NF = 1/ sqrt (n), I do not see how NF can be 0% with perfect...

Hi, Page 47 not Rgds,

Sorry, pasted the wrong image, should be read as:

Hi, Typo in the graph page 41: should be: Rgds,

Hi, I just realized that Kendall T = (C-D) / (C+D) Correct me if wrong, but this seems like an easy way to calculate Kendall T is: Maybe it is actually the same method, but it looks easier because one only counts the the numbers higher or lower than then the number of reference. C(i)...

Minor Typo: The theory is elegant and has the advantage of reducing multidimensional pairwise default correlations--by assuming shared exposure to a common market factor--into a simple but powerful mathematical model. But due to the Global Financial Crisis (CFC) Should be (GFC) Rgds,

Btw, just realized that the Kendall T can also be expressed as T = (C-D) / (C+D)

Hi, p42 of the notes: In the example Nc = 2 and Nd = 8, so the numerator should be (2-8) . While the result is correct the numerator is incorrect: Should be Kendall T = (2-8) / (5(5-1)/2) = -0.6 Rgds,

Hi, p39. Typo in the formula, the square root for X has to account for E(X)^2 typo: Rgds,

Hi, Note sure if this has been flagged already.: p28: we have the table: But p35, the answer to the question 2 says: "2) In which state of the economy is equity correlation volatility high? Generally in bad economic times. However, in our study, the correlation volatility was only...

Hi, Not sure if this typo has been flagged already: p21, The formula shows : When the formula seems to be Rgds,

Thanks for checking. For good order, foxit would help because the issue was not on the reading, but on the downloading. Basically, there was no PDF to open, because no PDF was downloadable. When I pressed the download pbar I directly got the error message. Thanks again for looking at it. Rgds,

Hi Nicole, I am actually experiencing the same problem in with part 1, 2 and 3 and only on the PDF associated with in the interactive quizz (I can download any other PDFs). I go to the TOPIC item (generally the last of the list), click on the interactive online quizz link. From there if I press...