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Hi David, Past year questions tested the following findings. 1- IRB bank definitely can use its own estimate for PD regardless whether they are FIRB or AIRB. 2- correlation coefficient is set by Supervisor regardless whether they are FIRB or AIRB Slide 19 - Operational & Integrated Risk...

Thanks a lot.

Dear David and all, Ref: Past Year Question 2006, My understanding is that Bank are encouraged to progress from simple bank (that uses Std approach) to Advanced Bank (that uses FIRB or AIRB approach). There should be no turning back in this journey. But, the following option of the...

Hi David, Based on the same past year question: Asset worth 1 million whose 95th VaR is 100.000. (normal assumption) bid ask spread on the asset has a mean of USD 0.1 and a standard deviation of USD 0.3. What is the 95th percentile LVAR (VaR and liq risk are uncorrelated). For 2009 exam...

Hi David, From the past year question, the following concept is always tested: Capital allocation to credit risk is always greater than capital allocation to operation risk which in turn greater than the capital allocation to market risk. The capital charge required by these risks are...

Hi! Good Day, a general question. In what situation that a debt capital funding exercise will introduce or increase the market risk of the Issuer? Your guidance, please.

Hi! Good day. I refer to the question Gujarati.06.21 in the FRM2009 Practice Questions - Gujarati Chapter 5-8. The formula is MATHM = 269.76 + 0.52*VERBM ANOVA Table Intercept = 262.80 X variable 1 = 0.5386 Why the numbers are different between the Anova Table and the formula...

Hi David, Good day! I refer to the RAROC calculation example in 2008 study note, page 68/135. Just want to clarify on how the operation cost of 8mm is calculated? . Btw, when the Market Risk study note is going to be released? Cheers Learning

Hi! Good day! 1.Unexpected loss is one standard deviation or a multiple standard deviation of EL . 2.UL formula is UL = SQRT[(EDF)(variance of LGD)+(LGD^2)(variance of EDF) I could not reconcile these 2 concepts. Where is the standard deviation of EL captured in the UL formula? Your...