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Hi Fellow Risk Managers and Aspiring Risk Managers The most recent event that has highlighted the importance of sound risk management at Banks is Archegos Capital. It was a classic case of Banks not focusing too much on Concentration, Collateral, Correlation and Counterparty Risk The other one...

Hi @David Harper CFA FRM Good to contact you after a while. I had a question which may be relevant to the folks studying credit risk here as well, I had this after I was studying for the CFA While valuing CDS, we have something called the CDS spread - is this equal or equivalent to the CVA...

Dear All On this Black Friday ;), let us remember another Black event which taught us several lessons I happened to do a presentation on Black Monday of October 1987, seeing as it were the 30th anniversary of an event which can still teach us several lessons. I have termed it as the crash of...

On the 23rd of June 2016, a historic decision was taken, The English and Welsh voters decided to leave the European Union (Collectively they constituted the majority in Great Britain, the Scots wished to remain while Northern Ireland was a mixed bag) While I cannot comment whether the decision...

This is addressed to @David Harper CFA FRM, @Nicole Manley and to all members whose friendship that I was able to earn and cultivate through this forum, it is with great pleasure and gratitude that I am saying this, effective yesterday, I have become a certified FRM. (I was shocked and filled...

I was looking at @David Harper CFA FRM's post on FB from the current week in Risk series. Apart from Quantitative Stock Price calculation, there was this crisp post on what quants should avoid, however we can turn the same article from a Risk Manager's perception, if these tenets are followed by...

In the 'current issues', there were lots of material on the intellectual pains behind the concept of clearing all the OTC Derivatives through CCPs and the way the academics fought out on the viability of CCPs. Some feel that the CCPs were granted disproportionate powers a la Dodd-Frank. Here is...

Dear BT Community The OR section has been unusually quiet for a while now;) So let's spruce things up a bit. I found an interesting section on the Top 10 Operational Risks in the near future. That site is great as well, entirely devoted to Risk. Happy Reading:)http://www.risk.net/2441306 Tell...

Dear @David Harper CFA FRM I am just curious to know, Jorion's Backtesting talks about Log Likelihood Ratio with LR = -2*ln[(1-p)^(T-N)*p^N]+2*ln[(1-(N/T)]^(T-N)*(N/T)^N] Meanwhile, the formula for a Logistic Regression is (1/m)*sum(-y*log[h]-(1-y)*log[1-h]) Are they in some manner, interrelated?

Dear David I have attached a spreadsheet in which I have calculated copula correlations for a Bi Variate Normal distribution and have inserted a chart on the same. I would be extremely happy if you could have a look at the same and tell me if my understanding is correct. I have used the same...

Hello all Can someone explain me the computations of the standard error of quantile estimator and coherent estimators as given in Garp material 'Market risk measurement and management' pp 15 to 18? I presume that it's not important from an exam perspective as BT videos and notes do not have this...