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Hi, In the chapter Portfolio credit Risk (Allan M Malz) regarding the CVaR it is mentioned that when the PD is less then the significance level, then CVaR would be (-) ve or there would be a gain instead of loss as extreme loss is Zero, and if PD is more than significance level then CVaR is...

Hi David, One basic fundamental concept is confusing me in understanding the concept of CLN. Whether the CLN issuer is a protection (CDS) buyer or seller?? as per my understanding CLN issuer is selling the CDS on some reference assets & getting the premium from protection buyer which in turn is...

Can anyone explain the specific difference between Credit Linked Notes (CLN) & Synthetic CDO?? Thanks in advance.

Can anybody please explain why the value of the subordinate debt will increase & value of senior debt will decrease when the firm is under financial distress? It is explained that under the financial distress the subordinate debts will act like equity but please highlight on how the value of the...

Hi, can u please give one empirical example about Non-Subadditive property of VaR & subadditive property of ES. Thanks in advance

Thanks for clarification Shakti..

Dear Shakti, That is for sure that i need to clear both part to be eligible for certification. My question is that whether the minimum 2 years qualification is to be earned after passsing both parts or my existing qualification will do. To give more clarification, suppose i clear FRM Part-2 in...

Hi David, I have one small doubt. For getting FRM certification i should have a minimum of two years professional full-time work experience in the area as mentioned in http://www.garp.org/frm/exam-overview/certification-requirements.aspx. My question is whether this qualification should be...

Thanks David for ur valuable suggestion.

Thanks David for explanation. Actualy i am thinking of various way for managing the credit risk in the bank's loan book portfolio, for which i am thinking for various process & steps & finally to capture the optimum amount of regulatory capital required to keep against the unexpected loan book...

Hi, David, Can u please highlight about how to calculate Probability of Default (PD) in the IRB approach of Bassel II?? Swarnendu

Thanks a lot David.

Thanks David, but some more clarification. In that particulat URL, it is mentioned that cleared both part (I&II), but i have presently cleared only part I, still can i mention the same in my CV?

Hi, I have cleared FRM part-I in last Nov'12, can i mentuion the same in my CV under ongoing professional qualification??? Thanks in advance to all.

ok

Did anybody received the FRM Part 2 Books???