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Hi, this explanation was very helpful. I am missing one portion of the explanation, apologies if implied or written elsewhere. "As the correlation tends toward 1.0 the 81.79% probability increases toward 99.0% (i.e., at perfect correlation)". Why or how does correlation = 1 imply probability of...

Oh, this is a great section of the website. So, is market risk basically complete? Meaning I won't have to download and redownload, etc before May 2014...also, I second the Gregory content. The material is 150 pages of the Credit Risk section - definitely priority.

Gotcha, two simple things were confusing me, not sure if others get caught up on this. I was originally thinking the number of defaults was as simple as alpha x sample...so 5% x 50 = 2.5 and rounds to 3, but I noticed as n got larger this calculation no longer worked. And this simple approach...

Thanks for being patient with my question. I am forgetting the basics. You say binomial needs to be known for the exam, but we won't have excel on the exam. I was wondering how to calculate w/o excel on actual exam... Excel is easy just need to know =BINOM.INV(n, pd, CI%)... With: n=50, p=2%...

I found this formula, but doesn't work in all cases...assuming I'm applying correctly.

Can this calculation be done on a calculator? For instance, column J in the spreadsheet shows - n=50, p=2%, CI=95%...is this a calc we need to know for the exam? Seems as though, we get the problem and answer in reading, but no calcs. Thanks, S

Hi, regarding this same topic. Table 7-1 (maz, chapter 8: portfolio credit risk) in the curriculum, shows n=1, and compares PD = 0.005, 0.02, and 0.05 on a 1bln portfolio. EL is 5mln, 20mln and 50mln respectively. Number of defaults is 0,1, and 1 respectively. 95% confidence interval. How do we...

In regards to MAPE, I am confusing myself w/ how to count actual versus predicted. Example in GARP books with 599 observations numbered 1 to 599. This supposedly allows 500 overlapping 100-day samples. If every 100th observation (observations 100, 200, 300, 400, and 500) are 1% tail events then...

thank you - ordering 2ob - will use this and TI BA2 plus for exam.

Hi all, which exam approved calculators can convert d1 or d2 to N(d1)or N(d2). Thanks.