LinkedIn: https://www.linkedin.com/in/rolandodnavarrojrphd/
We are already connected each other over LinkedIn so it will be a good venue to PM me there personally.
Thanks and good luck!
Passed FRM Level 2! Thanks David and Nicole for the enormous support.
This also serve as a culmination in my 6 years experience in the Financial Services Industry
(2 years in Data Analytics & Machine Learning for Consumer Credit, 1-1/2 in Model Validation in Banking,
and 3 years as Quant...
I have just completed the ARPM certificate (Levels 1 and 2 plus a final project).
It is open notes for 4 hours exam each level.
You can do the computing in a software (e.g. Matlab / Python) since you may
be required to manipulate matrices.
It is far more quantitative than FRM and it is designed...
From
P2.T6. Credit Risk Measurement & Management
Giacomo De Laurentis, Renato Maino, and Luca
Molteni: Developing, Validating and Using Internal
Ratings (p. 21)
N = the cumulated normal distribution operator
is missing in the probability of default. The text has this operator.
All errata are errata from the text but not from the spread sheet related.
From the updated spreadsheet https://cvacentral.com/books/credit-value-adjustment/spreadsheets/ it has the expression
=SQRT(C17^2+D17^2+2*IRFXCorr*C17*D17)
C17 - from IRS D17 - from FX forward
There is a correction in the spreadsheet: JG_XLS_8.4 (CCS swap)
Example at time 0.025
PFE for CCS
=SQRT(B17*(10-B17)^2*IRVol^2+B17*FXVol^2+2*IRFXCorr*B17*SQRT(10-B17)*IRVol*FXVol)
The square root term on the last term should be eliminated and thus the correct formula is...
Thanks Dave and to BT Team ... BT rocks!
Count me in to your passing statistic ... I thought that I won't make it.
Here are my quartiles: 2-1- 3-1
... a junior quant here aspiring to get a deeper understanding of risk and finance through the FRM exams.
Hi David, with barely 6 weeks before the FRM Part I, there are some topics without the video presentation (Many of them are on the Foundations of Risk Management part). Is there a timeline when can we have those? Thanks!
Hi to all,
I have greatly benefited with modules that consists of the videos.
Unfortunately vast majority of Foundation of Risk Part doesn't have videos
and even with the presence of the study notes and questionnaires,
I felt the learning is VERY DRY and at times frustrating.
Is there any...
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