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another Q re LiqVaR
David, In your question set on OpRisk B (question 5) you scale 1D LVaR to 10D LVaR using SQRT(10). Intuitively, I would only scale VaR (23,300 in the example) to 10D, and then add the same 1/2 spread as previously - as the spread is calculated on the full position of $1m and assumed constant...- freemind
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- Replies: 1
- Forum: P2.T7. Operational Risk & ERM (25%)
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Deep analysis of the credit mess by two Englishmen
FRM exam takers might want to take a break from studying and enjoy this enlightening tutorial on the subprime crisis by Mrs Bird and Fortune. have fun! ;-) http://www.youtube.com/watch?v=TD5JTPhBhJw http://www.youtube.com/watch?v=mzJmTCYmo9g- freemind
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- Replies: 0
- Forum: About FRM®