Hi folks,
I think it was a difficult exam. A lot of questions were really long. Furthermore sometimes the the answer options were in my opinion not well designed.
Regarding the RAROC question I think I choosed 4,75%? I set the formula for RAROC equal to 9,75% and solved it for r.
Maybe...
Hi all,
im struggeling with the definition of repo vs. reverse repo in the context of:
Study Notes OP risk - Tuckman Ch12 Side 4 in the Notes
=> Is the following from the view of the Investor a reverse repo rather than a repo?
=> Because: For the party selling the security and agreeing to...
Hi David,
i don't get it with the dw and the scaling...
I don't get the link between: dw as normal random variable/ standard normal random variable and the scaling with sqrt(dt).
1. In a simple and practical way for the exam: Have i always to scale the dw with sqrt(dt) or does it depends...
Hi David,
why are there two sets of VAR used in the IMA? See below the picture from your Notes.
On page 11 you say it is: 1% 10-day VAR for VAR calculation
On page 13 it is said to use 1% daily VAR for VAR calculation and 1% 10-day VAR for riks charge computation.
For what do we use 1% 10-day...
Hi David,
so i'm starting next round for part II.
Can you please explain why a spectral risk measure is always coherent? If the green marked conditions above are met, all four conditions for coherence are met too? But why?
Many Thanks in advance
Hi all,
i'm preparing for my studies regarding Part II. Can anybody explain me, what is the content of the GARP books?
Is it just a one to one copy of the recommended books by GARP or is it written by GARP itself?
Thanks
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