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YyLam4028 replied to the thread P1.T2.20.22. Stationary Time Series: autoregressive (AR) and moving average (MA) processes.Hello I am having a hard time with MA process. lets say now we have a set of S&P stock return in % and we would like to model a ma(1)...
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YyLam4028 replied to the thread F- Statistic Formula Variations.thank you ! I mean if restriction = # of independent variables, are they the same: (ESS/df)/(RSS/df) and { (R-UNRestricted ^2 -...
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enjofaes reacted to gsarm1987's post in the thread Credit Valuation Adjustment vs Expected Loss with.@enjofaes Book says ENE = expected negative exposure, notes say NEE (Negative expected exposure) , interestingly Wiley also uses NEE... -
David Harper CFA FRM replied to the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk.Hi @dla00 Great, thank you for those additional comments re translation invariance and homogeneity. I was actually aware of those... -
David Harper CFA FRM reacted to dla00's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk with.Thanks @David Harper CFA FRM; just in case you want to update the notes: similar errors appear in VitalSource notes on p.10 [(iv)...
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gsarm1987 replied to the thread Credit Valuation Adjustment vs Expected Loss.@enjofaes Book says ENE = expected negative exposure, notes say NEE (Negative expected exposure) , interestingly Wiley also uses NEE... -
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Ddla00 replied to the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk.Thanks @David Harper CFA FRM; just in case you want to update the notes: similar errors appear in VitalSource notes on p.10 [(iv)...
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Ddla00 reacted to David Harper CFA FRM's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk with.Hi @enjofaes Yes, agreed, my text was a bit whacked. Thank you! I have edited it to reflect text that matches the exhibit, as follows...
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Ddla00 reacted to David Harper CFA FRM's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk with.Hi @dla00 Yes that's our mistake in the video, in both cases. It should be as reflected in this video...
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Ddla00 replied to the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk.There is also an extra parenthesis after 35.89.
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Ddla00 reacted to enjofaes's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T5. Market Risk with.Page 8 market risk does not seem right for ES If 97% ES = conditional average of the worst three losses Then 95% ES = conditional...
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David Harper CFA FRM reacted to bollengc's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T6. Credit Risk with.hi David (@David Harper CFA FRM ), on T6-R13-P2-Gregory-v15, chapter 11 Future Value and Exposure, p58 1st sentence: if payments are...
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David Harper CFA FRM reacted to kchristo's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T6. Credit Risk with.In Gregory, P.74, on the difficult CVA calculation, at the bottom: In first year, mPD is same as PD at 9.52%, in 2nd year, mPD = 18.1%...
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David Harper CFA FRM reacted to kchristo's post in the thread Course Errors Found in 2021/2022 Study Materials P2.T6. Credit Risk with.In Gregory, chapter 11, under the objective: Explain how payment frequencies and exercise dates affect the exposure profile of various...
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enjofaes replied to the thread Credit Valuation Adjustment vs Expected Loss.Hi @gsarm1987 thanks for the message, but how is this related to the notation differences between EE & EPE vs NEE & ENE?
