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Some input here from my side (referring to question 707.3) for prospective Part II candidates without going into further detail about the theory. In November 2016 GARP tested the concept of unsmoothing returns in detail (answers 'a' and 'b' to questions 707.3 have been very similar as given...

@brian.field Hi Brian, many thanks! Hope all is well with you. Have not been in touch for a while. @berrymucho excellent piece of work! Apparently this is the only information which is available. Honestly, I read through this as well but with less attention as I was sure there was something...

Hi Nicole, delighted that I made it again to become a winner of the week even if I was not highly active the forum recently! I do apologise for this wholeheartedly because I owe you both, you and David, so much that I am really trying my best to give sth. back to David and the forum in general...

Ok, now it becomes worrisome. If the unimpeachable expert in the field! cannot find it/help out, then most probably I was dreaming about this :) I will continue with my search and will be back in case I found something. Many thanks for your the help, David

Hi David, many thanks for getting back to me. I have already been through Crouhy once more but it is not there apparently. I am still 100% sure that somewhere in the mandatory readings for Part II it elaborates on the difference in time of default between retail and corporates. Most likely in...

No clue at all here? I am sorry but I do need this information quite urgently. Recent Part II candidates should remember this...

Appreciate the citation, David! Very honoured.

Hi David, I would like to ask the following: some reading in Part II (either Malz, Crouhy, Stulz Golin or Hull) mentions something about the time of default. Could be another author as well but I guess it must be somewhere in the aforementioned books. It goes something like this: for corporates...

A few points overlap, David! Could not be better. I had to laugh loud when pressing the 'post reply' button and saw that you have sent your explanation a few seconds before! Excellent stuff.

answers have been supplied contemporaneously, funny!

It depends. Does 200 comprise the whole population or is a just a snapshot (pie of the whole cake)? 1.) If 200 is the whole population, then we simply divide by n 2.) If 200 is a sample out of larger population (e.g. 2000 stocks), then we use the sample variance which implies dividing by (n-1)...

Hi, most probably or rather certainly there is a formatting issue here with the formula for the sample std. deviation that you have copied. Please see the original book by Meissner on page 6 where it says that the sqaure root spans over the whole term. The sample standard deviation of asset...

Hi David, I am fully aware that have already been an exorbitant number of discussions in the forum about Credit VaR. I am referring to your post from 2 Sept 2015 saying: Hi @afterworkguinness I disagree that any of the answers say that Credit VaR is "Expected Loss - Unexpected loss". The...

I would like to add another important ingredient when setting up the equation and modelling/forecasting the variance one day ahead. As I was pointing to Christoffersen 'Elements of Fin. Risk Management' there are different approaches used in the industry how start off with the variance at t=0...

Hi, I am not sure what you are referring to with 'multi assset portfolio variance'? EWMA is used for volatility forecasting. The EWMA estimator has a long history in business and economic forecasting but has only more recently adopted for vol. forecasting. It is an alternative approach to...

can someone please post the original question? Curious to know what the question here asks. Thank you!

@Meadem2 no worries at all. I did not know it myself either.