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Hi David, I wonder why VAR is not "coherent"? i read it is not subadditive, but I wonder why? Thanks.

Hi David, Thanks. so you mean PV(forward call price)=call price today, right? (what does the "BS" stand for?) but on your spreadsheet, both forward call and call's terms are 1 year. does it mean the the forward call is from 0.5 yr to 1.5 yr while the call is from now to 1 yr? I thought both...

Hi David, forward start option has the same value as an at the money option with the same time to maturity. So the time to maturity is from grant date or from the existence date? At the money is at the grant date or at the existence date? Why does it need to be at the money? Thanks.

Hi David, Adjusted RAROC compares with equity risk premium to decides if a project should be approved. I wonder what should be compared with RAROC for a project? cost of equity? what exactly is cost of equity? is it required return of equity (RFR + beta * (market return - RFR))? If so RAROC's...

Hi David, The insurance payment amount in LDA is I(P) * max(min(limit,x)-deductible, 0)*H. Could you explain what I(P) and H are? is I(P) the probability that the insurer will not pay the full amount? But it sounds like if the insurer has high probability to pay full, I(P) will be low so...

Hi David, Could you pls take a look this when you have chance? Thanks.

Hi David, Could you take a look this when you have chance? Thanks.

Thanks David. so another definition (UL = AE * sqrt(EDF * VAR(LGD) + LGD^2 * VAR(EDF))) will still hold or not if we do not consider Ong's special case? In other word, is it derived from 1 SD or from the general definition? Thanks.

Hi David, I am confused about the the properties of coherent risk measure. For example monotonicity: X>Y => rho(R)<rho(Y). What are X and Y? returns or the portfolio sizes? Thanks.

Hi David, The UL's definition is 1 SD of asset value (SD(V)). But UL is also the relative credit VAR and the number of SDs depend on the significance. Are they consistent? Thanks.

Understand.. Thanks David!

Hi David, Thanks for your insights! 1. is FRM exam organized into sections based on topics? like the first 10 questions will be Fundation of Risk? 3. Since 2009 practice exam is "a sample of 2007 real exam". Does it mean the 2007 real exam itself contains errors and definitional...

Hi David, I will spent the rest of the time on practice and need your advice: 1. Could you talk about the exam strategy/tips and time management based on your and others' experiences? 2. i heard the morning session is more difficult than the PM session. Any comments? 3. GARP added a...

Hi David, Coul you explain the source of the 2008 questions, like http://www.bionicturtle.com/premium/quiz/2008_investment_round_1/ ? Also the 2009 Practice Full (annotated) only contains Full II. Will you do Full I as well? thanks..

Hi David, Could you also explain why repo rate = CDS spread - cash spread? thanks,

Hi David, BTW, how does specific risk charge is calculated in IMA? similar to the building block approach? Thanks.

Hi David, It seems the standardized method also account for the specific risk. Also should we use absolute value for market risky asset (regardless long or short)? Thanks!

Hi David, I understand the formula is Sum(market risky asset for market risk(i)) * 0.08. But if an asset have multiple market risks, will this introduce double-counting? or do i miss anything? Thanks.

Hi David, In the screencast, subordinated term debt is in tier 2, but short-term subordinated debt is also in tier 3. Could you explain? thanks.

Hi David, 2. "higher correlation = high systemic risk implies higher capital charge. One way to think about this is to look at the formula and imagine rho (correlation) of zero; i.e, no systemic risk and all idiosyncratic risk. Basel IRB treats this like an instrument with zero risk and…look...