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Hi @Kenji, I think Concordant (1,4), (2,5) ; (4,1), (5,2) Discordant (1,4), (4,1) ; (1,4), (5,2) ; (2,5), (4,1) ; (2,5), (5,2) Neither (1,4), (3,3) ; (2,5), (3,3) ; (3,3), (5,2) tau = (2-4) / [(5*4)/2] = -0.2

Hi @David Harper CFA FRM, quick question, on how you are calculating the Portfolio's average duration in the below screen. How about [(5 years /( 1 + 0.06)) + (1 year / ( 1 + 0.04) )] / 2 = 2.839 but your getting 2.73

Hi @David Harper CFA FRM, If the beta is the slope of the line in the figure rise over run Nominal over Real. Why does the formula says like -F^R*DV01^R / F^N*DV01^N, Real/Nominal = beta. Is it because of the -ve sign.

Hi @David Harper CFA FRM , Firstly, thanks, your diligence to the profession is admirable. I look at your table in question 612.1 (page 12 of the question set) and the table 12-1 from the book and understand that from exam perspective, there no direct way (single formula instead of iteration)...

Was wrong in step 4 of 5. Thank you David.

Thanks, @David Harper CFA FRM , Unfortunately I am still not getting results in the C17 (189,044)., there seems to be something wrong. Exposure = 1M, LGD = 45%, PD = 4%, MA = 1.4, asset rho=0.2 WCDR = N(((N^-1(PD) + N^-1(0.999)*sqrt(rho))/sqrt(1-rho)) = N(((-1.75 + 3.09*sqrt(0.2))/sqrt(1-0.2))...

Hi @David Harper CFA FRM , I have a question about in the IRB approach. 1. In your excel sheet. T7.c_2012_XLS_basel_v1010.xls, sheet 7c.3 Basel2_IRB you seem to be adding Expected Loss and Unexpected Loss. As per the formula ∑ EADi∗LGDi∗(WCDRi−PDi) in Hull, when the WCDR is subtracted from PD...

Not sure if this has been discussed in the forum before, but the performance of credit scoring models is also confusing The performance measurement approach, cumulative accuracy profile (CAP). With the introduction of Crouhy this year (2016), its covered in 2 places, deServigny and Crouhy. The...

Hi @David Harper CFA FRM , Under the Mortgage performance measure and weighted average life the PF (pool factor) refers to ‘pool factor’, which is assumed and is the repayment weighting adjustment to the notional value outstanding (O/S). What does that mean, how do we calculate from the O/S in...

Hi All, This question is about Part 2 Analysis, Optional Regulatory BASEL readings for this year under OPERATIONAL RISK Management. GARP seem to have deleted all LOs unders these readings. Do you know the impact of these.

Thanks @ami44 and @QuantMan2318 , There may be some adjustment or approximation made and plus instead of multiplication not sure. @David Harper CFA FRM could you think of anything. Its a mistake made by Malz in expressing the spread.

Hi, If the Marginal PD is the confusing and seldom used is its formula = lambda*exp(-lambda*t) good for calculating any thing i.e. I used it and tried to match it with the value of conditional PD before going through the difference between Conditional PD and Marginal PD above and I am not sure...

Hi, Anyone who can solve this ? In Chapter 6 page 217 Malz calculates value of spread as Substituting the current market value of the debt (blue), we have [D e^-rt − Put ]e^yt = D ---- A so after taking logarithms, we have y = 1/t log [(1 − e^-rt) D + put] --- B I tried everything...

Hi All, I am looking to join a study group in NYC area. I am preparing for Part 2 exam in May 2016. Please let me know

Hi David, This question is from GARP sample question 2016. The answer B and D both seem correct. Do you see why answer D will not be correct. The graph D peaks at approx 1/3. PS: Please check GARP sample question 58 in 2016 FRM Part II Practice Exam

Hi Nicole, This may seem like an odd question, but the answer will really benefit me, as I follow your BT website study planer closely with everything labeled 'NEW'. After the new website format went into effect have you Updated or published anything New in the Part 2 FRM study planner. If yes...

Hi David, Thanks you for the detail explanation. Please share the detail excel sheet with your calculations as per the slide. thank you. I found the excel sheet but I am not sure why actuarial put us using the ROA instead of Rf.

Hi David, This sample question from GARP, in-order to calculate the C-VaR uses the current value of the Bond In your example you use exp. terminal value of the bond. Here is the explanation from GARP. Do you think they are correct. Rationale: The 95% credit VaR corresponds to the...

ok, so just take the active risk without the percentage all the time (every time).

Hi David, If you could share the slides for the Instructional video that up for this topic. I think it will help to make index cards and help cope with this topic. Thanks,