Search results

This post may help. https://forum.bionicturtle.com/threads/coherent-risk-measure.4723/ . while Dowd (FRM assigned; he gives your expression above, that I copied of course) says "Let X and Y represent any two portfolios’ P/L (or future values, or more loosely, the two portfolios themselves)"...

Thanks @ami44 !!

Jayanthi! You did not "bug me" with anything! Please continue to ask questions - it is good for all of us to have an open dialogue. Regarding your question on the 0.75.....this is a very basic concept in integration (or calculus for that matter.) If the exam relied an a significant amount of...

Thank you!

I mentioned that Bayes example to emphasize that the denomonator should reflect the entire probability space. I hope that makes sense. Brian

Hello Jayanthi. I can't look at the notes at the moment but looking at your questions, I have a couple thoughts. On 1) remember that Bayes says, P(A|B) = P(B|A)•P(A) / (P(B|A)•P(A) + P(B|A')•P(A')) where A' refers to the compliment of A. Regarding EVT, GEV, and GPD, they refer to...

PMF stands for "probability mass function". It is equivalent to PDF, or "probability distribution function", but is specific to discrete distributions. To reiterate, discrete distributions are not typically described as PDFs; rather, discrete distributions are called PMFs whereas continuous...

I would conclude that it is a large number of samples since your question states "sampling" distribution. However, it is an interesting question. If we assume we are dealing with samples only, then what if each sample contains only one observation? Then I am not sure that "large" would be...

Jayanthi, BT does indeed retain material from year to year where they deem it appropriate, particularly when the retained material is fundamental to the FRM program, as is the case with the Chapter you identified. Is it required? Perhaps not! But if you have trouble with the elementary...

Thank you @desaiha. If I am understanding you correctly, you are stating that Pro-Cyclical VaR measures would be positively correlated with economic indicators. So, if GDP rises, for instance, which would suggest an improving economy, then a Pro-Cyclical VaR would also rise, thus indicating a...

I would be interested in forming a study group for Part II in Danbury/Norwalk/Stamford/Hartford areas of Connecticut! Please let me know if you are interested.

Can anyone help me understand what BIS means when they say "pro-cyclical effects?" I see it referenced numerous times in the Messages from the Academic Literature on Risk Measuring for the Trading Books reading. Thanks Brian

@David Harper CFA FRM CIPM What is the exam relevance of Jorion's chapter 11? The video does not provide an indication and the material seems very confusing at firstread!

I see - thank you!

@Nicole Manley, Can I expect to see a Part 2 question every monday (generally?) I have not seen one today and I think you mentioned that the questions were returning today. Thanks, Brian

Please share your information (if you can) for future test takers! In my studies for Actuarial Exams at The Infinite Actuary, I found it extremely helpful when students would report their practice exam scores and then, after taking the actual exam, report their result. I think this will give us...

I have reread these appendices a number of times....I think GARP purposefully places the least interesting readings at the front of the material to weed out the lesser committed! I don't think GARP will ask any specific questions from these appendices....anyone else have any thoughts? Best...

Thanks Shakti! Are you an employee of BT or simply a fantastic resource? Or both? Regarding my question, I am looking for an example utilizing the bootstrap (and jackknife technique too) if available. I understand the simple HS, but was wondering if the BS of JK techniques are available in...

Surprising or not, I am psyched for you! It also gives me some level of insight into the Part 2 weighting scheme, as you mentioned. Congrats!

This is really surprising given the 4-1-1-4-4 but congrats nonetheless!