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Hi Nicole, thx for your help. But unfortunately, I dont have the permission to read it:(

Hi, Mr. Harper, the answer of the following question B, but seems C can be the answer too, do you agree? Moreover, if the question asked for whether the case met Basel requirement, should I consider the Capital conservation buffer as a whole? (e.g. requirement of Tier 1 CET = 4.5% + 2.5% = 7%...

Mr Harper, assume RWA is 100, tier 1 capital is 6 and tier 2 is 10, it should fulfill the 8% RWA requirement. But tier 2 > tier 1, if this case is still vaild, it seems that the requirement in Basel III is deleted rather than implicit it. Do you agree?;)

Mr. Harper, I use the Schweser notes 2016 & I cannot find both of the topic and I am not searching for the valuation of CDS in internet for reference~:( Moreover, Mr. Harper, when I read about the Basel III capital requirement, it seems that Basel III deleted the requirement of "Tier 2 capital...

Many thanks, Mr. Harper, seems some information is not covered by the notes but still be examined.~:(

Tank Very clear explanation & Many thanks, Mr. Harper, I got it~;)

Hi, Mr. Harper, I would like to know whether the following 2 question (Valuation of CDS & Sklar's theorem) are still in the syllabus as I cannot find the formula in the notes. Thanks;)

Hi, @Dr. Jayanthi Sankaran & Mr @David Harper CFA FRM The following question is from 2014 Practice exam Q15, I would like to know whether the answer is still (C) if the call option is less than 5 years. Besides, why (D) is not the answer as the S.debt is over 5 years and I cannot find the...

Hi, Mr. Harper, thanks for your reply, recall #2 above, you mentioned that "good reasons including it is important to understand that ALPHA does NOT include BETA which is the mistake the other definition makes. The problem with (portfolio return - benchmark return) is simple: it's an active...

Hi Mr. Harper, I have read lots of post about the confusion of the information ratio, I conclude the followings: 1. IR = Residual return (Jensen alpha)/Residual risk (Include effect of beta) 2. IR = Active return (alpha) /Tracking error (Not include effect if beta) Do you agree? Moreover, for...

Hi, Mr. Harper, its me again;), for the following question, the explanation that poor performers could reduce average correlation of returns. Does it mean the poor performers out of database have higher correlation of returns? But from my point of view, the poor performer seems have lower...

Hi, Mr. Harper, the following is a netting question from 2016 practice exam Q52, I understand the 33mn can be netted off, but for the swaptions, the position is positive market value, why is the remaining 21mn is losses to the bank?:)

Hi, Mr. Harper, for the practice exam 2016 question below which related to my question before, should (b) be the alternative answer for the diversification benefit besides from (a)?;)

Mr. Harper, this question is above diversified VaR, but I doubt whether the replacement of new common stock can result in the decrease of diversified VaR as it just tell us the % of variance in the fund decrease from 85% to 65%. If the new common stock is positive correlated to other stocks in...

Hi, Mr Harper, for the above question, should I deducted the defaulted the GBP 6.625mn first when I calculate the interest received from the loans? That is (GBP 80mn - GBP 6.625mn)*LIBOR+3% as I am questioned about whether I should include the interest from the defaulted portion. Thx;)

Hi, Mr @David Harper , for the following question, although I get the correct answer, I still doubt on the calculation of excess spread = 0.65% becasue the base of inflow of outflow is different (i.e. 600mn vs 570mn) My calculation is: 600mn*(8.75%-0.60%) - 570mn*(7.5%) rather than 0.65%, do...

Thanks, Mr. Harper, seems A & C can be the answer or I better ignore this question;)

Hi, Dr. Jayanthi Sankaran, I conclude the following, is that right? @Dr. Jayanthi Sankaran "Credit substitution approach lower PD by using CDS swapping to a higher credit rating counterparty, but in case of joint-default, double-default treatment with lower risk will be used instead, in this...

Finally, I get the formula from the book provided by @Dr. Jayanthi Sankaran, thanks all:) In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right?

Thanks for your help, Dr. Jayanthi Sankaran, :) As you say the credit rating of borrower should be replaced by the credit rating of guarantor, the capital charge should be based on guarantor in this case, I still don't understand why it will overstate the credit risk unless the capital charge is...