Practice questions about Allen & Saunders chapter 2 & 3

[kevinlibert]

Hello David,

Any practice questions available regarding the following topics?
- Quantifying volatility in VaR models (chapter 2, Allen & Saunders)
- Putting VaR to work (chapter 3, Allen & Saunders)

I can't find it in the "how to" section.

Thank you very much!

Kevin

 

[David Harper CFA FRM]

Hi Kevin

No, we don't (this is discussed in several threads, search "Allen"; e.g., http://forum.bionicturtle.com/threads/refreshed-practice-question-documents.6145/page-2#post-20569) ... as Allen
Ch 2 is effectively overwhelmed by Hull on volatility, I don't see a need to ever write Allen Chapter 2.

I will write a T4 global topic drill before the May exam (i think that's more effectively than Allen Ch 3, which is useful only for the VaR, imo, so i don't see a need to cover Allen Ch 3 specifically either, as long as the T4 global drill includes several VaR.), thanks,