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Hi, Edmond, attached is subtract of notes: It seems answer C is risk budgeting of capital allocation in LO66.3 and answer A is the LO66.2 the 1st objective~ Do you agree?

Hi, Mr. Harper, again its me, a student with lots of questions:p The following question is about risk planning but I think "A" should be the correct answer and "C" is about risk budgeting rather than risk planning, do you agree;)?

Hello, Dr. Jayanthi Sankaran, where can i find the formula - Exposure E = Max(V,0) = Max(u + sigma*Z, 0), seems i cannot find in the FRM notes book2:(

Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.:)

Hi, Mr. Harper, for the following question, I don't understand why mean & standard deviation is related to EE. Can you help me to have a look?Thank you~;)

Hi, Mr. Harper, again is me;). For the following question, why C is not answer? and for B, credit limit is enforced at trade level, what's that mean? on the other hand, what level is CVA working at?

Hi, Mr. Harper, for the following question, although I get the correct answer, can you explain the meaning of credit substitution approach? and why D is wrong?

Thanks Mr.Field & Mr. Harper, for the very clear explanation. I understand now.:)

Hello, Mr.field, actually, I choose D for this question as I think its an unreasonable assumption, For B, does it mean that price volatility of bond must become zero at maturity?

Hi, Mr. Harper, again is me. :) The following question is about BS model: It ask "Which is an assumption of BSM model....." But I have checked the notes of book 1, none of them is an assumption of BSM model, am I right?:D

Hi, David, I get it with Z spread = 80 bps, does it mean the option cost is equal to 30? That is : Company spot rate = Treasury spot rate + Z spread or Company spot rate = Treasury spot rate + (credit spread + liquidity spread + option cost) Company spot rate = Treasury spot rate + (OAS spread...

Hi, Mr. Harper, the following question is about OAS and I am confused with the OAS from the question provided. I know the company spot rate = Treasury spot rate + OAS, however, the question provides that the OAS is -30 below company spot rate and +50 above the Treasury spot rate, is there any...

Hello, Mr. Harper, the link is very very useful, thx a lot. I conclude the following, can you help me to check whether my concept is right? 1. Component VaR is linear approximation of Incremental VaR; 2. If there is 3 assets and the question DOES NOT PROVIDE the portfolio VaR after deducting...

Hi, Mr. Harper, refer to the notes book 3 of IRB approach, I am so confused about the meaning of portfolio invariant, does it mean that IRB approach is not considering correlation between assets in the loan portfolio of bank and therefore no diversification effect is benefit within in the loan...

Hello, Deepak Chitnis, I understand what the question asks, by logic , it is easy to choose the correct answer, but refer to component VaR definition, it seems that there is a contradiction because reduction in portfolio VaR is the same as the definition of component VaR - "the amount a...

Hi, Mr. Harper, for this question, I choose the correct answer A. But I still have a question on component VaR. By definition on the notes, "Component VaR for position i, denoted CVaRi, is the amount a portfolio VaR would change from deleting that position in a portfolio." In this...

Hi, Mr. Harper , the question i find is in internet and they say this is past question of FRM~

Hi, David, I cannot find the answer D referred to book 4 of notes although i select the correct answer. Can you help me?^^

Mr. Harper, i get the point that the increase in price is simply caused by a change of pricing model and its a technical issue rather than change of position of CDS. Is that right? Moreover, I have a question on HQLA, should account receivables; gold & inventory be classified as high quality...

Hi, Mr. Harper, In another words, the position changed from bid price to mid point price is similar to the increase in the number of CDS issued by the protection seller in this case, so protection seller is required to post additional collateral~it that right?