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Thank you David. Really appreciate it.

Hi David, "* model spec: I select an POT EVT model to estimate VaR and ES " I wonder if this kind of mistake should belong to the "incorrect model application" category ("wrong model")? BTW I am also confused in that one example of "incorrect model application" is "insufficient # of...

Hi David, Could you elaborate how VARs across assets can be aggregated? Thanks.

Thank you David! using the asset to buy as collateral sounds similar to financing a mortgage.. :)

Hi David, it seems there exists an inverse relationship between haircut and leverage. for example if the haircut is 2%, the max leverage is 50x. Could you explain why? thanks.

thanks David. Just to double confirm, is Conditional EL the same as absolute CVaR? Thanks..

Hi David, yes, you are right. IRB is for credit risk only. could you elaborate "Pillar 1 > Credit > IRB". I do not follow that.. thanks.

Hi David, "Conditional EL – EL: Conditional EL includes EL and UL, the difference between conditional EL and EL results in the necessary capital for UL only. Regulatory guidelines require EL to be covered by provisions and earnings" I wonder if Conditional EL is (credit) VAR since...

Hi David, I wonder if the calculation of capital requirement (K) and RWA under IRB is limited to credit risk, because it uses LGD, PD, EAD? or is IRB for credit risk only? "RWA (IRB) =12.5*EAD*K K =LGD*f (PD)* f (M,b)" Thanks.

Hi David, Does the capital ratios for each individual risks (credit, market, op) all need to meet 8% requirement? or as long as the total capital divided by the total RWA is at least 8%, then it is fine? thanks.

Hi David, thanks for your great answers!! "EC for OpRisk = WCL(confidence); i.e., following Basel, we would include EL" This does not look familar. maybe i have not studied it yet.. could you elborate or could you indicate which reading/AIM is for this? Thanks.

Hi David, It seems some economic capital should also be attributed to market risk and Op risk (in RAROC). I wonder if that means EL + UL = total VAR than credit VAR? Thanks.

Thanks David... so should "fitting the wrong alpha/beta/omega weights (parameters)" be "incorrect model spec"? thanks.

Hi David, For the sources of model risk, could you explain the differences between Incorrect calibration & Data problems? thanks.

Hi David, Could you explain if they are all the same entity in securitization? Thanks.

Hi David, Could you explain how liability design works as an internal liquidity support? thanks.

Hi David, Could you explaln the differences between overcollateralization and direct equity issue? Thanks.

Hi David, That article led me think that SPE and the underwriter of the CDO needed to set up SS, and be the conduit for SS... It seems that is wrong.. thanks.

Hi David, Thank you! It makes a lot of sense. I was puzzled because I read the following article (see page 6). It gave me the feeling that the super senior is one of the CDO tranches.. http://www.adelsonandjacob.com/pubs/CDOs_in_Plain_English.pdf "The "super senior" tranche in the...

Hi David, Is the CDO's SPE the CDS protection seller of the unfunded portion of the reference portfolio corresponding to the Super-senior tranche? I am asking because accoring to your sceencast, it seems the protection seller is a different entity.. The Super-senior tranche is one of the CDO...