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Hi David, the question I post above was not from exam, it is from Notes "Estimating Market Risk Measures" Topic 1 my version is 2011, it seems that the notes only use (3.25+3.6+4+4.75)/4 = 2.003 to explain ES at 95%, this made me a little bit confuse,

Hi, David I was totally confusing at this concept, since ES at 95.5% , why should we calculate 95% VaR since ES suppose to exceed VaR at 95.5% ? thanks

the notes also said, the tail mass is divided into n equal slices and the corresponding n-1 VaR are computed..

that's suck..... spend money on something of no use

Hi David, I get confused about ES, I met lot of practices before, for example, there is typical question: Confidence level -----Tail VaR 95%--------------------- 3 96% --------------------3.25 97% --------------------3.6 98% ---------------------4 99% -------------------4.75 What is ES at 95%...

hi david, for this question, can I simply calculate ES at 95% and ES at 96% and find the answer between these two answers? thanks

it's very easy from my view, you just simply calculate ES at 95% and choose the answer which lightly lager than ES at 95%.

Hi guys, I went over topic of economic capital chapter and got a confusion. the book says Economic Capital charge for Market risk F1*VaR+F2*Max()+F3*Max() also, credit capital charge=capital factor*market value of position. My confusion is that what's the difference between Basel MRC CRC method...

is the Certificate really help to find a good job or promote or something else?

7) Which BASEL approach explicitly accounts for diversification? IMA, IRB, and two basic approaches... Basic approaches do not account for diversification. IRB and IMA does. But IRB does it implicitly. So i went wid IMA what's the answer? I think for IRB the drawback is it not take into...

Hi ShaktiRathore, thanks for replying, sorry about one more question, I didn't understand why the total Value of portfolio is 200 can you explain little more? and also, the Value of asset A is 200, based on the assumption, why should I count $50 from short Asset B into long asset A instead of...

Hi ShaktiRathore, I got a question very similar to this one, but I am not sure my thought is correct, I appreciate if you can correct my thought. suppose we have a two asset portfolio, Asset A value is 100, annual return is 10%, annual volatility is 25%, weight is 67%, Asset B value is 50...

thanks for replying my question, but my confusion is about which part of capital ( market, credit, or operational) responsible for Securitization, for example, there are two approach for securitization, standard approach and IRB(but under IRB we choose RBA SF or IAA), so I we use Standard...

Hi, does anyone has any idea about RBA SF IAA of asset securitization? I did not quit get, I wonder which part of capital charge responsible for securitization? Market Charge or Credit Charge? the book said IRB approach allow three method to calculate the capital requirement: RBA SF IAA, does...

Hi David, I have a detail question about the calculation of Market Capital Charge, according to the book, it said at 99% confidence, if Max( K* ave VaR(60days), VaR(yesterday) ) so, if exam give me ave VaR(60days)=100, VaR(yesterday)=310, first question, which one I should Choose, 3*100 =300...

And also, for another question is, assume we have a portfolio, long asset A $100, short asset B $50, how do we judge the weight? still wA=67% wB=33%? so in calculation, because of short B, set wA positive and wB negative, in equation I assume wB is positive, so I use - to minus, Sigma P =...

17. The bank’s trading book consists of the following two assets:\ Correlation (A, B) = 0.2 How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B? Assume there are 250 trading days in a year. a. 0.2286 b. 0.4581 c. 0.7705 d...

thanks ! this make it clear~

Hi david, i remember (1+ Retrun1day)^250=1+Return250day right? but in your equation, you use ER/250=1day return? is this right or not? thanks

Hi guys, I wanna ask a simple question regarding VaR. I remembered that Var(N days)=Var(1 day)*sqrt(N days) right? and the following is two types of VaR, my question is which one fit above equation? Relative VaR = Portfolio value * (volatility * normal deviate) Absolute VaR= Portfolio value...