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Yes Brian, this is a more complex topic, however, I will try to explain as much as possible, what I meant, in a short para. You see, I gave those references because the US Financial history at its various points seems to be a clash of two competing factions, two ideologies/pedagogies. I wanted...

Now that I have introduced Andrew Jackson over here, I think those interested in US Financial history should read about the Founding Father Alexander Hamilton and his deft management of finances of a new nation, arguments for and against a paper currency, bond, gold standard, Central Bank with...

Is this a new Author? I don't think we had Choudhry for Securitization pre 2016? Anyway, this is nothing but a book adjustment and artificial stimulation of securitization, selling one asset and bringing them back as another doesn't smell good Were there artificial book profits made as well...

Hi @Kavita.bhangdia , your solution answers Question #2, in fact the probability of Bond defaulting within 3 years, which is the three sums that you pointed above, is nothing but 1 - the probability of not at all defaulting in the three years (1-(0.98*0.98*0.98)) In fact, survival in two years...

You are right Brian, more than any other author in the GARP assigned readings, Gregory was by a huge margin, my favorite, he has made a lasting impression on me. Second would be Allen Malz.

Beautiful questions that border on the grey areas, Mr. Field. Your attached file, however talks of the credit event happening to company D in your example. It is not directly relevant to our original question involving A. The file ( I can see the hand of Gregory here;) ) states that the default...

Hi @Maged , thats a question which is very wide in its scope. Risk Measures are those Mathematical models that we use to give a quantity to Risk, think of it as something that assigns a value to Risk, for example, VaR , Expected Shortfall are risk measures. Risk measures are also assigned...

Thanks @Nicole Manley I would like to have the Amazon Gift card please

Sure it is more than that, it is multiplicative as in Geometric Progession:D

Dear Mr. Field, Thank you for this paper on Statistical Learning; after having been introduced to ML by the FRM, I find it difficult to get away from it:D, I am doing the ML course by Stanford (Prof. Andy Ng),however, I would like to know if there are any other avenues for me to expand it to a...

Thanks @David Harper CFA FRM for putting me in the picture and I am sorry, I missed Kenji san's post. @Kenji Thanks very much for asking these questions, or else, I wouldn't have known the correct stuff

You are referring to the Kendall's tau? If so, then do the Spearman Rank correlation's first step of Ranking the Returns, once we Rank the Returns of a set of Assets say A and B , the values of the Rank constitute the x and y values Look carefully at the magnitude ( the values )of the Rank, we...

Hi @Kavita.bhangdia, there is a small difference in the statement that you made above. Undiversified VaR does sum to Total VaR but is not the same as Component VaR. Take the example of a Portfolio VaR, it is alpha*portfolio Standard Deviation where the formula for the portfolio S.D is as...

I was looking at @David Harper CFA FRM's post on FB from the current week in Risk series. Apart from Quantitative Stock Price calculation, there was this crisp post on what quants should avoid, however we can turn the same article from a Risk Manager's perception, if these tenets are followed by...

Thanks @Nicole Manley Let it accrue.

Nice article, have downloaded the same Thanks. Also check my earlier post, think we posted at around the same time

I think he has approximated the Marginal Default Probability without the LGD You are right, Instantaneous Default Probability (Its theory, Gregory says so,I wonder if you guys apply it in the real world) is the derivative of the cumulative Default Probability wrt time. I think I made a...

@RiskGuy Superb question! I highly recommend you to ask industry specific questions as everyone gains in the process, there are a lot of practitioners here who would be more than willing to help. FYI, I am not a practitioner (yet), What I have garnered from FRM is purely out of passion and...

We can use another, albeit a more twisted way as well based on Logarithms; A chap named Kupiec found this by approximating the Binomial to a chi squared. -2*ln((1-p)^(N-E)*p^E)+2*ln((1-E/N)^(N-E)*(E/N)^E), this is apparently a chi squared distribution, we know that chi squared is a squared of...