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Hi @David Harper CFA FRM / @Nicole Seaman Question 23.1.3 - it should read risk-neutral instead of "real-neutral". Best

Hi @David Harper CFA FRM One doubt regarding the statement that is mentioned throughout Market Risk chapter "Lognormal VaR is always less than VaR" (e.g p12 of VitalSource notes, 707.3D). Can it be "less or equal"? My question is the following: what would happen, if by any case, the...

Hi @David Harper CFA FRM 1) On p.135 of notes "Jorion, Chapter 6: Backtesting VaR", the second to last item says (1-p) > 10, it should read (1-p)*T > 10, so sample size is missing. 2) On p.136 of the same set of notes, "Over 250 days, a good 95% VaR model will produce approximately 5% * 500...

Thanks @David Harper CFA FRM; just in case you want to update the notes: similar errors appear in VitalSource notes on p.10 [(iv) translation refers to "n" when it should be c and homogeneity refers to r.v Y when it should be X].

There is also an extra parenthesis after 35.89.

Hi @David Harper CFA FRM , @Nicole Seaman On part "Define coherent risk measures (continued)" from Instructional Video: Dowd, Chapter 3: Estimating Market Risk Measures. a. Regarding positive homogeneity, I think it should read lambda * rho(X) I think, rather than Y. b. Regarding translation...

I second this, the qualitative questions in the exam (which were around 70%) were very tricky.

Results are out, passed with 1,1,1,1. Huge thanks to @David Harper CFA FRM and @Nicole Seaman!

Hi @David Harper CFA FRM I'm quite confused on why when computing the present value of the floating leg only the notional amount and the LIBOR that corresponds to the last payment date is considered. I don't understand why we don't consider all the other LIBOR rates in the corresponding pay...