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@mary1997 The example assumes two assets: Asset A with a 10% expected return and 10% standard deviation, and Asset B with a 16% expected return and 20% standard deviation. The risk-free rate is 6%, the correlation between A and B is 0.30, and their covariance is 0.006. The "most efficient"...

@raghavendragprasad@gmail.com I had to look into this more and I found some interesting things (none that change the above question). Since this is an equity option traded on XOSE, it stays classified as an ETD regardless of the BIAG agreement or the timestamp difference. The bilateral...

@TNguy5296 Great question, and don't worry, this is one of those small details that trips up almost everyone the first time through Dowd! Let me walk you through it: What exactly is "p" here? You're working with the binomial standard error formula for VaR, and the "p" in "Bin, upper, p" is...

@Tracy M. Nolte Good question. CreditMetrics always uses cumulative probabilities when mapping to normal cutoffs. What you’re noticing is not a conceptual change I just was a little inconsistent on my wording. To map transition probabilities into the standard normal framework, CreditMetrics...

@Vicky26 I'm sorry this was not covered. I put together some slides and I will try to shoot a video this week. Here are the slides.

@Vicky26 Are these the three LOS's you are referring to specifically? If so I can try to get something together for you. Explain how bond returns can be decomposed into carry, rolldown, rate-change, and spread-change components. Calculate and interpret the components of a bond’s return based...

@Tracy M. Nolte The Learning Objective for Credit Risk Reading 4 (Schroeck, Capital Structure in Banks) focuses on describing and calculating unexpected loss (UL) and understanding its role in economic capital. The text clearly develops standalone UL and portfolio UL using...

@IDosh1374 I have never seen a work experience submission and I also have never known of anyone who did not receive the designation because of their work experience submission. In general they just want a brief overview of what you do in the risk management field.

@HFost5088 Hi Howard, essentially each spreadsheet is built so that you can see how the answer is derived and play with the inputs. From my experience, being able to change inputs and see how different factors change an outcome helps me understand the model better. One of the moments where...

@bchauhan5 I think the confusion arises because GARP’s solution uses sn to denote the standard error, which already includes the sqrt(n) term in the denominator, but this is never stated explicitly. Once you see that I think the answer makes sense. So the standard error is 2.03% and the sample...

@mary1997 Hi Mary, in the spreadsheet the yellow boxes are numbers that you can plug in. The colored boxes are the output. So on the first tab of the spreadsheet you can see how increasing your confidence interval increase the VaR. The same for volatility as you increase your volatility you will...

@AKhar2613 Thanks for sharing!

Thanks for sharing the update! I will remember this incase students ask in the future.

@NColl6996 I don't believe it would be a big deal if you middle name is not on your GARP ticket. However, please reach out to GARP customer support GARP customer support.

@SBooy2917 You have your middle initial showing on the exam ticket?

@ATSEN4075 The “Expected Accrual Payment” values come from the assumption that defaults occur halfway through each year. Since CDS premiums are paid periodically, the buyer owes the seller only the portion of the year that has passed before a default. On average, this is assumed to be half a...

@DMira8572 The best advice is to just take a minute and review what position is taking risk off the table and what position is putting more risk on the table!

@DMira8572 If the coffee producer locks in a sale at $3.00 with a forward contract, they've guaranteed that price, so they no longer face price risk on the sale itself. However, if they believe the spot price might go to $5.00, they could enter a long futures position to capture the upside. In...

@DMira8572 Think about it this way, If the coffee producer sells forward at a predetermined price, like $3.00, they’ve already locked in the sale price, so no hedge is strictly needed to manage price risk, the forward contract itself eliminates uncertainty. However, if the producer wants to...

@DMira8572 Let me break this down: 1. "Forward short is an agreed contract to just lock the price" - Correct 2. "When you have a forward short position you do not have to hedge" - Correct if your goal is simply price uncertainty 3. "But as precautionary measure you have taken necessary step if...