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in the GARP FRM materials (Chapter 4 Valuation and risk models pp 45 onwards): 4.3 Cumulative default rates 4.4 Unconditional default probabilities calculates by differencing columns of 4.3 4.5 Conditional default probabilities from scaling 4.3 for survival to t-1 These tables do not seem to...

Thank you. The worked questions are Millers end of chapter ones 1 and 2 as covered in the BT video for hypothesis testing, about 28 minutes in for the first one. I think I follow the confidence interval approach as sample mean +\- crtitical t standard errors. It varies but ‘confidence’...

Hi. A couple of queries if I may: 1) the BT FRM 1 video has nice detail on chi squared testing (in context of VaR backtests) but I only see testing of sample mean (ie t testing) in the garp materials. For the part 1 exam just how much facility does one need with chi squared and f testing? Or is...