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Whats the difference between probability of default and marginal probability of default. Was trying the below 45. A portfolio consists of 17 uncorrelated bonds, each rated B. The 1-year marginal default probability of each bond is 5.93%. Assuming an even spread of default probability over the...

Hi David It seems kind of scary, from GAARP practice exams at the way some questions are framed , eg in 2012 practice , I am left guessing if the investor has taken a long or short position as nothing is mentioned I assumed long . I hope I dont see the same stuff on 17th Nov , considering I...

HI David I was a little confused and after reading thr was another thread , I was wondering if this is another Garp error From the handbook FRM exam 2003 question 5 Given the following 30 ordered percentage returns of an asset, calculate the VAR and expected shortfall at a 90% confidence...

Monte Carlo simulation returns consists of 100 replications returns a 95% VAR quantile of 1.645 with Standard Error of 0.40 such that the confidence interval for the VAR quantile is [1.245, 2.045.]This standard error is deemed too high. How many replications are approximately required to reduce...