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    Risk Conferences in USA

    I wonder if somebody could recommend a conference on financial risk management in the USA. I’m trying to get an overview over current topics and challenges in the US and found the following major conferences: 1. Risk USA: http://www.riskusa.com/ 2. Risk Americas...
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    Practice question 3 - Backtesting VaR

    Hi, Practice Question number 3 in the GARP Market Risk reading goes like this: You are backtesting a bank's VaR model. Currently, the bank calculates a 1-day VaR at the 99% confidence level, and you are recommending that it switch to a 95% confidence level. Which of the following statements...
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    Jorion Chapter 17 - SAR

    I just read the paragraph in the study notes about the surplus at risk (SaR). Am I missing something, or is the SaR the same as the VaR of the portfolio? I mean Surplus = Assets - Liabilities sounds like the Value of the Portfolio to me. Consequently is the SaR the same as the VaR of the...
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    Hull Chapter 13, Basel III - Market Risk

    Hallo, I just read about the Incremental Risk Charge and Comprehensive Risk Measure in Basel III. Both charges are aimed toward the credit risk in the trading book. It was my impression, that the Specific Risk Charge (SRC) in Basel II covered that risk before. Do I assume correct, that a SRC...
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    Gregory - chapter 14 - CVA - Credit Spread Impact

    Hallo, Gregory says, that for a downward sloping credit spread curve the CVA will have a higher amount than for a upward sloping curve. This effect should be even more pronounced for products with monotonical increasing EE like forwards or cross-currency swaps. I don't understand why that is...
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    Coherent Risk Measure - Monotonicity

    Hallo, I got stuck on practice question 4. in the study notes for Chapter 3 of Dowd. 4. Portfolios (X) and (Y) each have volatility of 20%, but portfolio (Y) has a higher return and therefore its absolute VaR is lower; i.e., Absolute VaR = - return * T + deviate * volatility * SQRT(T). Which...
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    GARP Practice Q12: t-Distribution

    Hallo, I hope this hasn't been asked elsewhere here, but I'm stuck on Question 12 of the 2014 practice Exam. The question is: A risk manager is examining a Hong Kong trader's profit and loss record for the last week, as shown in the table below: Trading Day | Profit/Loss (HKD million)...
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