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I always found this to be a bit confusing, so I spent some time today looking at it some more. I also felt it would be helpful for some others, so I have included my thoughts below. @David Harper CFA FRM - please let me know if you have any concerns with my thoughts. Assume we have a...

For 308.2, I am in some disagreement. I thought that skewness was defined as the third central moment and that it is/was separate and distinct from the standardized or normalized skewness (which divides skewness by the standard deviation cubed.) I swear my studies have stated this previously...

yep - nothing more than trying again! A little luck always helps I guess. Brian

Looks like I now have access to the materials as well. Thanks!

Congrats on the new launch BT Team. I am now able to log into the Stud Planner but it appears I do not have permission to download anything other than the samples. I should have professional level access to both levels I and II. Thanks! Brian

I am unable to log in to the study planner

Test

I remember MissJaguar's posts very well! By the way, @MissJaguar - what is the CALA? Brian

Great! Thank you! I didn't realize that the sigma*z reflected unexpected losses! (Incidentally, you wrote 3.22 above instead of 2.33 on the absolute VaR derivation). I am not sitting for the exam on Saturday - too much going on at work to be sufficiently prepared, so I am continuing to...

@David Harper CFA FRM CIPM Can you expand on the answer for 502.1? Why or how does relative MVAR better capture UL?

This is a fundamental question taken from the Foundations reading (page 15 of GARP's level 1 foundations text). It is such a basic question but it bothers me that I am a bit confused by it so I must ask the question. Under the interest rate risk paragraph, the author states, "...3-month...

@David Harper CFA FRM CIPM - I think @afterworkguinness was referring to 302.1 C where it indicates 2.326 for a 99% z deviate (but I could be wrong). I also think you answer the question; the LVaR is a Market Risk metric, so the normal deviate is not inappropriate. Lastly, I find it very...

This is a great question!

Still preparing for part two.....feels like I am starting over!

Footnote 14 is also similarly inaccurate. It wasn't the case that "sometimes" ABS CDOs included other ABS CDOs as collateral. This was virtually ALWAYS the case. Virtually every ABS CDO included a bucket, which allowed the manager to invest 5%-25% in other ABS CDOs. CDO-squared were slight...

Ah yes....I recognize her after a google search.

I don't know Janet's books but I guess I should take a look!

Now this is funny. I was in the CDO structuring group at JPMorgan - at that time, I worked for Blythe Masters.....well, I worked for Romita Shetty, who worked for Blythe Masters, who worked for Bill Demchack (now CEO of PNC). If I remember, Blythe was the youngest partner ever at JPM and I...

Fascinating! I recall reading about Orange County! Although I really like Hull and generally agree with his literature, the statement I mentioned above just seems lazy and, as you suggest, simply blaming. I worked in CDOs from 1999 through 2007. I was very active in that space and was an...

In Hull's Chapter 6, The Credit Crisis of 2007, he mentions that "...when mortgages were securitized, the only information received about the mortgages by the buyers of the products that were created from them was loan-to-value and the borrower's FICO....) Speaking from specific experience...