Recent content by M.A.

Isn't here you will be calculating them based on average of poitive 3 years x 15% but only on the business unit level or separately as the answere were given lead to doing it that way

The formula for the liabilities is short plus .5 long debt which is 6 that makes the liability 7+.5x6 =10

I think also there was a question which statement is true and a table is provided for Credi var and Market Var choices given were including a) credit var of 6m and b) Market stressed var equal 316M any one remember the answer

Yes exactly we will be averaging those above the Var isn't?

What was the answer for the ES - 10 var s were provided - was it only sum and average by 10!!! I remember a question regarding frechet and a shape more than 3 i answer it has heaver tails than Gumbel/ totally not sure. I remember that it is heaver than Std normal considering std is almost the...

PSA & the SMM question was about yhe the greates paid back could occure when... I do not recall the provided answeres but some was talking about the PSA 115 or PSA 90...

one question was about the hardle rate.

The QQ plot was it thik or thin tails ...i choose thin, i saw on shweser if not mistaken. How did you calculate the DD for the KMV question (20-10)/.28x20=1.78 which was among the answers provided . Where did i go wrong??? Initially i thought it is straight forward

London whale i answered manager was overriding risk controls might be a) Cyper security i choose first they should recognise the threats such as emplyee... Implied var i choose an answer that is 400 - the 188 or 283 something being the realizrd amount toward the less EL ( might be that i start...

The answer was if interest increased from 2.5%. To 3 % as this will increase the expenses by 4 m leading to reducing RAROC to less than 10%.

I think we both fall into the same mistake by considering the 10% as the portfolio std whilst we need to calculate the portfolio std sqrt of 10^2 +10%^2. This is a problem with FRM questions they are asking about too many things some with many tricks in one questions

I think i have get the same reply d. As i even worked on the same doubt i worked on other possible calculation but was not part of the choices therefore get it as "d".

Hi Hi, They provide the portfolio var of 100m and ask for the portfolio size "p" for each manager. My self i chose 143 m but i forget to calculate the portfolio std wrongly i toke it as 10% which is wrong as it was the manager std rather than the portfolio std. Regards

It is congratulation .....I passed man thanks ......no need to ask you what about you !!!!

congratulation ..... but How to get the score Thanks