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who can help me clarify ? Tks !

Dear David @David Harper CFA FRM and who may concern ! i am interested in KRIs _ Key Risk Indicators ! it is quite controversal (in my thoughts). For me, understading KRI has 2 parts :(i) Key risks and (ii) Indicators, so before we have any INDICATOR, we must know / or predict Potential "...

Thank David, i will study it carefully. By the way , i send to you the Probability of Type II type I as the attached file (both C.L 99% and 97%) Tks

Thank for your quick reply! i also agree with you that All statistical hypothesis tests have a probability of making type I and type II errors, we have to trade off against each other (type 1, type 2): for any given sample set, the effort to reduce one type of error generally results in...

hi, everyone! i am also interested in this topic. so i have 2 questions on backtesting procedure: 1) The basel backtesting procedure implicitly tests the following hypothesis: H0 : P= P0 Vs Ha : P >P0 ( here P0 = 0.01) based on sample of 250 observation, 99%...

Thank you very much ,Mr ShaktiRathore

Tks for your answer, Mr ShaktiRathore it is difficult for me to run MCS, in stead of using MCS, can I use Historical simulation for PFE as Attached file to figure out CCF? Tks for your any comment. I am looking forward to hearing from you and other people

dear All! i have difficulty to use the Current exposure Method for Counterparty risk management regulated by Basel II, that is how can i Calculate CCF (Credit Conversion Factor) for FX FW in the formula below : Credit Equivalent Amount (CEM)= Replacement cost + Potential Future Exposure...