missing spreadsheets for unexpected/expected loss and measuring market risk

[sl]

Hi David,

Can you please post the missing spreadsheets related to unexpected/expected loss and measuring market risk

Thanks
Sundeep

 

[David Harper CFA FRM]

Hi Sundeep,

I don't see which XLS are missing; eg, Ung's EL/UL is @ http://www.bionicturtle.com/how-to/spreadsheet/2011.t6.d.2.-ong-porfolio-ul/

Can you reference their number (e.g., T5.b.1)? Thanks, David

 

[sl]

Hi David,

4.e.1 from valuations and risk model 4.c
5.d.1 from valuations and risk model 4.c

I am assuming they are available for FRM L2 subscribers but is missing for FRM L1 subscribers

Thanks
Sundeep

 

[Suzanne Evans]

Hi Sundeep,

4.e.1 is from 2010. You can view that XLS here:

http://www.bionicturtle.com/how-to/spreadsheet/4.e.1_expected_unexpected_loss_elul_ong/

Topic 5 is a FRML2 topic therefore is for Level 2 subscribers only.

Thanks,
Suzanne

 

[David Harper CFA FRM]

Hi Sundeep,

The 2011 videos (& PPT) match the 2011 XLS, so (for example), the 2011 T4.c. spreadsheets are:
2011.T4.c.5. Applied duration
2011.T4.c.4. Durations
2011.T4.c.3. Pull to par
2011.T4.c.2. Spot forward rates
2011.T4.c.1. Discount function

... so I am not sure you are associating 4.e.1 to 4.c

David