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Tank Very clear explanation & Many thanks, Mr. Harper, I got it~;)

Hi, Mr. Harper, I would like to know whether the following 2 question (Valuation of CDS & Sklar's theorem) are still in the syllabus as I cannot find the formula in the notes. Thanks;)

Hi, Mr. Harper, thanks for your reply, recall #2 above, you mentioned that "good reasons including it is important to understand that ALPHA does NOT include BETA which is the mistake the other definition makes. The problem with (portfolio return - benchmark return) is simple: it's an active...

Hi Mr. Harper, I have read lots of post about the confusion of the information ratio, I conclude the followings: 1. IR = Residual return (Jensen alpha)/Residual risk (Include effect of beta) 2. IR = Active return (alpha) /Tracking error (Not include effect if beta) Do you agree? Moreover, for...

Hi, Mr. Harper, its me again;), for the following question, the explanation that poor performers could reduce average correlation of returns. Does it mean the poor performers out of database have higher correlation of returns? But from my point of view, the poor performer seems have lower...

Hi, Mr. Harper, the following is a netting question from 2016 practice exam Q52, I understand the 33mn can be netted off, but for the swaptions, the position is positive market value, why is the remaining 21mn is losses to the bank?:)

Mr. Harper, this question is above diversified VaR, but I doubt whether the replacement of new common stock can result in the decrease of diversified VaR as it just tell us the % of variance in the fund decrease from 85% to 65%. If the new common stock is positive correlated to other stocks in...

Hi, Mr Harper, for the above question, should I deducted the defaulted the GBP 6.625mn first when I calculate the interest received from the loans? That is (GBP 80mn - GBP 6.625mn)*LIBOR+3% as I am questioned about whether I should include the interest from the defaulted portion. Thx;)

Hi, Mr @David Harper , for the following question, although I get the correct answer, I still doubt on the calculation of excess spread = 0.65% becasue the base of inflow of outflow is different (i.e. 600mn vs 570mn) My calculation is: 600mn*(8.75%-0.60%) - 570mn*(7.5%) rather than 0.65%, do...

Thanks, Mr. Harper, seems A & C can be the answer or I better ignore this question;)

Finally, I get the formula from the book provided by @Dr. Jayanthi Sankaran, thanks all:) In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right?

Hi, Edmond, attached is subtract of notes: It seems answer C is risk budgeting of capital allocation in LO66.3 and answer A is the LO66.2 the 1st objective~ Do you agree?

Hi, Mr. Harper, again its me, a student with lots of questions:p The following question is about risk planning but I think "A" should be the correct answer and "C" is about risk budgeting rather than risk planning, do you agree;)?

Hello, Dr. Jayanthi Sankaran, where can i find the formula - Exposure E = Max(V,0) = Max(u + sigma*Z, 0), seems i cannot find in the FRM notes book2:(

Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.:)

Hi, Mr. Harper, for the following question, I don't understand why mean & standard deviation is related to EE. Can you help me to have a look?Thank you~;)

Hi, Mr. Harper, again is me;). For the following question, why C is not answer? and for B, credit limit is enforced at trade level, what's that mean? on the other hand, what level is CVA working at?

Thanks Mr.Field & Mr. Harper, for the very clear explanation. I understand now.:)

Hello, Mr.field, actually, I choose D for this question as I think its an unreasonable assumption, For B, does it mean that price volatility of bond must become zero at maturity?

Hi, Mr. Harper, again is me. :) The following question is about BS model: It ask "Which is an assumption of BSM model....." But I have checked the notes of book 1, none of them is an assumption of BSM model, am I right?:D