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Yeah, about the note and the assigned reading.

It seems that the sections where the parameters explained are too theoretical and have no purpose without the numerical examples of calculating VaR and ES.

Thanks for that!

Hi, In the comparison sheet prepared by you guys, the above AIM is excluded in 2014 AIMs, but the questions were not removed from the questions set of Dowd chapter. I guess we don't have to practice and memories this formula any more, right?

So I understand that I should include the last loss, the 100th or the 1000th...for calculation of ES, thanks.

I wanted to send a private message to you, but your name has "," which is used by the forum system for separating names if sent to multiple receivers while choosing receivers; and it's the reason that we can't send a private message to you. We really appreciate if you could do something about...

In q 70.1, for calculation of ES at 95%, all losses beyond the 95th are included that is 96, 97, 98, 99, 100. In Kaplan, there are 3s question related to same topic, in 2 of them the 100th is not provided and even in the answer provided for one of them, it's mentioned that for 95%, the number of...

Hi, Part 1: Assuming we want to calculate the daily VaR, assuming 252 days: 1. Get the daily P and D for the last 252 days 2. Calculate the daily R by ln[(P1+D1)/P0)] 3. Sort the data according to R 4. For 95% confidence level: -a: 05% * 252 = 12.6 , round it to 13, add 1 to be 14, we take the...

Hey David, I was reviewing the questions again and an statement in answer b of q 68.2 got my attention: "Geometric return over multiple periods is sum of one-period geometric returns". I understand if we have [P0=10, p1=11, p2=12] and [[D1=11, D2=12] and the q is asking for the whole period...

Thanks David,

Hi, the first question in the questions set for "Dowd Chapter 3: Estimating Market Risk Measures : Calculate VaR using a historical simulation approach", seems to be about calculating the return on investment. I'm confused and can't see how the question is related to the topic covered in the...

Thanks David!

Aah it will be too late! 1. We have to start with the materials that were not changed in 2014. 2. It also means that we cannot do full reviews many times. In other words, when studying, we have to go in detail at the first review, so that there will be enough time for topics going to be...

Hey Nicole, Have you guys updated your materials for 2014? particularly notes and questions.

Hi Nicole, Can you please clarify what the blue and red colors in the comparison sheet mean? And does the sheet include all topics/reading or only the changed topics/reading?

Hi, I made a list of all practice questions related to calculating required capital for credit/market/operation risks and also economic capital and regulatory capital. I'm confused regarding the difference between these capitals and whether the methods used in calculating each type of risk...

Thanks a lot David,

Hi, According to a practice question, it is Assets / Equity but according to investopedia, it is Debt / Equity. http://www.investopedia.com/terms/l/leverageratio.asp I'm confused, which one should I consider in the exam?

David, I'll be optimistic and assume cal value = equity value in the exam for all questions whether merton or non-merton!

I was reading a practice question and noted the below according to this question: a. under IRB, at 99.9 confidence level, 1 year time horizon, the estimated VaR is 100m b. the expected loss is 40m c. how much is the value of economic value? Answer provided: expected loss is covered by...