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Y
yLam4028
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)...
45 minutes ago
Y
yLam4028
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 -...
55 minutes ago
enjofaes
reacted to
gsarm1987's post
in the thread
Credit Valuation Adjustment vs Expected Loss
with
Informative
.
@enjofaes Book says ENE = expected negative exposure, notes say NEE (Negative expected exposure) , interestingly Wiley also uses NEE...
Today at 3:38 PM
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...
Today at 11:58 AM
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
Agree
.
Thanks @David Harper CFA FRM; just in case you want to update the notes: similar errors appear in VitalSource notes on p.10 [(iv)...
Today at 11:46 AM
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...
Today at 4:58 AM
D
dla00
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)...
Yesterday at 10:01 PM
D
dla00
reacted to
David Harper CFA FRM's post
in the thread
Course
Errors Found in 2021/2022 Study Materials P2.T5. Market Risk
with
Like
.
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...
Yesterday at 9:51 PM
D
dla00
reacted to
David Harper CFA FRM's post
in the thread
Course
Errors Found in 2021/2022 Study Materials P2.T5. Market Risk
with
Like
.
Hi @dla00 Yes that's our mistake in the video, in both cases. It should be as reflected in this video...
Yesterday at 9:51 PM
D
dla00
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.
Yesterday at 9:51 PM
D
dla00
reacted to
enjofaes's post
in the thread
Course
Errors Found in 2021/2022 Study Materials P2.T5. Market Risk
with
Like
.
Page 8 market risk does not seem right for ES If 97% ES = conditional average of the worst three losses Then 95% ES = conditional...
Yesterday at 9:50 PM
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
Agree
.
hi David (@David Harper CFA FRM ), on T6-R13-P2-Gregory-v15, chapter 11 Future Value and Exposure, p58 1st sentence: if payments are...
Yesterday at 8:48 PM
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
Agree
.
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%...
Yesterday at 8:46 PM
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
Like
.
In Gregory, chapter 11, under the objective: Explain how payment frequencies and exercise dates affect the exposure profile of various...
Yesterday at 8:41 PM
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?
Yesterday at 4:17 PM
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