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Re question on credit risk portfolio models, the question was which of the off-the-shelf models is based on actuarial math, and I thought it was Credit Risk Plus. Peter, Atlanta

Hi, Peter here from Atlanta. My recollection of FRM Level 2 questions (will probably contain several memory distortions): - Which is not a VaR mapping method: principal, duration, convexity, cash flow [principal?] - EVT: Something about whether the shape and scale parameters of the EVT...

Hey, Peter from Atlanta here. There was a RAROC questions where a bank granted a loan with a 9% interest rate, 5% funding cost, 1% admin cost, 1% expected loss, a 3% investment return on economic capital (investing in Treasury paper) and 8% economic capital. I thought the RAROC would be (9% -...