Search results

i.You add up all u(i)^2 and divide by 10. I.e [0.7^2+(-0.4)^2+.....+(-0.1)^2 ]/10 ii. Y(i) is u(i) which is also the daily return

+60 123015461

Hi @David Harper CFA FRM , it seems that there is a minor typo in the notes for hull chapter 2 page 24. The ending margin balance should be $15180 instead of $15860.

Hi @David Harper CFA FRM , suppose that matrix A is a transition matrix (I.e one with Markov property). Suppose we have calculated two and three year transition matrix by taking the square and cube of matrix A. How do we get the cumulative PD from the example in this link...

Hi @David Harper CFA FRM I have just read through the topic spread risk and default intensity models by Malz. Can I ask a little bit more which may help to clear my confusion? For ECL calculation the formula always include PD but which PD are we referring to ? (Marginal, forward , unconditional...

Hi @David Harper CFA FRM , I know this has been ask many times in the forum but the more I search through and read, the more I am confused. I am also not sure which are the most up to date definition or errors that may have been corrected .My questions are 1. Is Marginal PD a conditional or...

Hi @David Harper CFA FRM , below are the images from the 2019 edition GARP text. Btw do we have to know how to calculate cumulative loss rate in part 1? I am not sure where this formula is covered in part 1.

Hi David, in your note (chapter 2) for (Siddique and Hasan stress testing pg 13), the value for two year cumulative rate is 7.44%. However, the GARP official text (pg 303) gave a value of 10.61%. How do we get the value for two year cumulative loss rate and which is the correct value?