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Hello, I have called the hotel in Montreal for confirmation and they have a construction company meeting as of now, no GARP! Does anyone else have news for Montreal. Thank-you Pascal

Hello, I believe there are a few mistakes in the P2 formula sheets p.11 - the bottom node should it not be "-2*std*sqrt(dt); the top node is correct p.12 - second last bullet, the math gets me to 4.665% not 5.665% Let me know txs Pascal

Montreal Oct 24 exam moved to Jan 21, 2021

Hello, although feeling comfortable with the topic, there is this nagging uncertainty about EE and EPE. (1) Is EE an exposure number that the fin inst. has for EACH cp (ie the average of all exposure values with a particular cp) and is EPE an exposuure that a fin inst. has across ALLcps...

The Black-Scholes option pricing formula has d1=ln(S/K)+.... Yet, the Stulz reading and in the notes, has "BSM risk-neutral d2 is: d2=ln (S/K...) (p.8 of the notes). Should be not d1 and I understand replacing the risk-free for the mean drift. Trying to understand why we move from d1 to d2 by...

So, will CAP and ROC be possibly tested if they are not on the reading list ie ch 4 vs ch 5

Hello, chapter 5 in De Laurentis (reading 27 oper risk), there is no mention of cumulative accuracy profile (CAP) and receiver operating characteristic (ROC) curve, yet there is a question (3rd one). It does discuss these in chapter 4 though. Please clarify

In the FRTB, the liquidity horizon are 10,20,40,60, 120 but also see 10,20,60, 120, 250. Are these typos or relate to FRTB and Basel^

Perhaps I was not clear enough above - What is the difference between the question mentioning " The analyst has estimated that the conditional (marginal) probability of default..." thus given the video above I would have thought C. 6.1% which is p(def4/surv3) as per video. Yet, the answer for...