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Just to clarify in it comes up in the exam - litigation risk is a category of operational risk under Basel taxonomy. Outstanding receivables are credit risk. New markets are indeed deemed business risk.

Business risk is typically associated with the impact of the organisation's decisions and the market environment on its revenue streams and profitabilitity. It is therefore internal to the organisation carrying the risk. Idiosyncratic risk is generally the risk component specific to one entity...

2-1-1-1-2. I guess with 80 hrs of prep it's an OK result. :rolleyes: Thank you @David Harper CFA FRM CIPM and Bionic Turtle for the fab support!!!

RESULTS ARE OUT! Just logged in and found that I passed! :-)))

Thanks so much! - David, I was sitting in this little café the whole week watching your topic drill videos and doing exercises - they must have thought I am crazy... ;-) Now fingers crossed for all of us...

Don't believe the answer given by GARP - we would also have to deduct the expected return scaled down to 1 trading day (i.e. divided by either 252 or 365), which brings us down to 23,310... :-)

Hi, There are a couple of videos on BII and BIII. First - I find them outstanding how they are providing an overview of the framework, in particular the Basel II ones are extremely well-made, and I like the visualizations. Second - to which extent is this material exam relevant? It does not...

Sorry, got it. Final term is the principal. :-)

Hello, I don't get the final term in the formula for z spread. If I insert the upper bound of the sum (tau / h) into the term after the sigma, I already get exp(-(r(tau)+z) tau) ) - so the final term looks completely redundant? Regards Thomas

Hi, Tuckman Chapter 6 has migrated from part I to part II in 2015. However, on the website, it is still in part I. I cannot access the material, as my subscription to part I has expired in the meantime. Would you be able to move/copy the study material , so that I can see it? Thanks Thomas

Hi Ami, Brian spoke of "pro-cyclical effects" - its use amplifies existing trends in both directions. This is quoted in other papers as well (e.g. below). I agree on the effects of positive market returns. Regards Thomas "Specifically, the 10-day VaR calculation did not adequately capture...

Oh, and before I forget: Try to look at the Dowd less as a scientific book and more as a collection of ideas he has collated. It can take you oodles of time of trying to understand what he actually means, the examples are full of mistakes, and the typesetting for GARP has added a few typos as...

In example 3.5 Dowd uses percentages and just plugs them into the formula (e.g. 2 instead of 0.02). This does not look even remotely right to me - in particular the exponent -0.3. If I use the actual numbers, I end up with 1.52% at 99.5% confidence, so a huge divergence. Any views on that? PS...

A procyclical measure is one which makes things worse when they are bad - and gives you a false sense of security when they are good. In a nutshell - your VaR will be low under calm market conditions, because your volas are low, which go into the calculation. Now when the markets become more...

I think what he means is that you do not have to bother which currency you use as the "reference" vs the "foreign" currency. With geometric returns, you can always just us the difference in interest rates. If you are using algorithmic returns, you get a completely different differential rate...

Let's hope the best... ;-)

Hello, I am trying to make sense of Dowd's chapter 3, example 1.6 - and I simply do not get it. I am wondering whether there a mistake in the example? 1) In the second paragraph, he calculates p as the probability mass left of the lower boundary q - h/2. That looks arbitrary. Hull (in Risk...

Also passed part I - 1-1-1-1! Can't believe it - after running out of time and only answering about 80% of the questions, I was not sure I passed at all. THANKS, David and team!

Thank you very much! Was an interesting experience... :) Profited tremendously from your programme. All the Best Thomas

That's cool... thank you very much!