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  1. R

    2013 FRM Calendar (Updated 8/15/2013)

    Thanks Suzanne/David . That helps
  2. R

    2013 FRM Calendar (Updated 8/15/2013)

    Hi David/ Suzanne, I undertstand that there are quite a few changes in the FRM AIMs and hence you are constrained by time. I rely on BT videos(like many others I suppose) to get an initial undertsanding of topic beacuse everything is explained very clearly / precisely and then reinforce...
  3. R

    Calculate the capital charge for market risk

    Got it . thanks. that was just a silly Q from me
  4. R

    Calculate the capital charge for market risk

    Hi David et al, Probably a simple staright forward question . What is "Unused portion of limit" in capital charge calculation equation below. ( referring to P2.Operational risk - page 12 bottom). Charge(MR)= (F1 * VaR) + (F2 *Unused portion of limit)+ (F3 * excess) Thanks
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    Structured Credit Risk - Query

    Hi David et al, In Malz, Chapter 9: Structured Credit Risk - Page 108, it is said "the equity benefits from high correlation, while the senior bond is hurt by it". I did not fully understand that. Say if the defaults rates are high and correlation is high, equity will have more chances of...
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    GAP Risk and RNIV

    No Worries. Thanks David. I will have to fall back to my googling skills. :)
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    GAP Risk and RNIV

    Hi David et all, Could you please shed some light on GAP risk and Risk Not In VAR (RNIV) and the typical products covered by these. RNIV has 3 variants 1. Total VaR RNIV 2. Total SVaR RNIV 3. Total Stressed RNIV I can map 1 and 2 to market risk var and stressed var but no clue about 3...
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    Diversification Benefit - a practical question

    Thanks David. My first example was not based on RC but was more as illustration to show the punitive effect (so they say) of tail risk on portfolio B (140 vs 135.1) . I will try to do a bit of research on this
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    Diversification Benefit - a practical question

    Shakti , Using risk contribution in your example will give following result ECA = Economic capital for portfolio A ECB = Economic capital for portfolio A EC(A+B) = Economic capital for combined portfolio A +B RC means Risk Contribution ( not reg cap) RCA = [ RCA * ( RCA + ρAB * RCB ) ]...
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    Diversification Benefit - a practical question

    Thanks Shakti. The first part is clear - ie portfolio EC calculation when portfolio A and Portfolio B are combined. The part which is not clear is the reallocation bit. Is the reallocation purely based on weights or do is it done in a more risk sensitive way?. If so how the characterstic heavy...
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    Diversification Benefit - a practical question

    Hi Shakti, Thanks for the reply. When two portfolios are combined both enjoy diversification benefit ( if correlation if any number other than 1). Hence riskiness of both A and B decreases. May be a bit difficult to comprehend so here are some cooked up nos to make my question clear...
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    Diversification Benefit - a practical question

    Hi David et al, From VAR topics we know if portfolio A is added to B there will some divesification benefit if correlation between A & B is not 1. Let me add some spice to it. Portfolio A loss distribution approximately resembles normal distribution ( say retail portfolio) Portfolio B...
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    Importance Sampling in Monte carlo Simulation

    Thanks . I understand importance sampling is applied to tail - in my company it is applied to the tail 1 % in EC - they try to get more number of simulation in the tail of the distribution and hence try to reduce the variations between simulation (simulation noise). Our interest is in EC 99.9...
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    Importance Sampling in Monte carlo Simulation

    Hi David et. al., Not sure whether my question is relevant for this topic ( P1 T2). Could you please explain in relatively simple terms 'Importance Sampling in Monte Carlo Simulations'. I understand that its used for reducing variance in tail but it will be good to know a bit more. I...
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    IRC vs CVA

    Thanks Shakthi. So in summary CVA is primarily for OTC derivatives (part of Trading book) where there is counterparty credit migration risk while IRC is kind of banking book RWA equivalent for countering regulatory arbitrage - i.e. moving banking book products to trading book to get...
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    IRC vs CVA

    Hi David, Probably I am jumping the gun here but this is a question lingering in my mind for a while. What is the difference between Incremental Risk Charge(IRC) and CVA. Doesn't both look at the credit migration migration risk and hence isn't there an overlap?. Is it that IRC is limited...
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