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Thanks for the detailed explanation, David. I didn't intend to nag you. I apologize for the inconvenience. I just wasn't sure whether you got my question. I haven't used the forum as much, in either part 1 or part 2 until very recently and hence not well versed. Have an excellent long weekend...

@David Harper CFA FRM - I will appreciate if you can help me understand the above.

Yes, it definitely helps. Thanks David. Regarding the last example (GARP practice question number 76) on the CVA chapter from Gregory, I followed all the calculations and I think I understand them. But, what I don't understand is that CVA could have been approximated by simply using the...

I'm not sure where to put this question, so I apologize if it's in the wrong thread. I read that default correlation has no influence on EL. I don't understand that. For a portfolio, EL is a simple product of EAD, PD, and LGD. In this case, PD is the combined default probability of the entire...

Ah got it ! Thanks David. I am gonna make that mistake of forgetting the sq root a few more times - in the practice questions. But eventually will remember, hopefully before the exam :)

Hi, I have the following understanding - Does this make sense or am I missing something here? We may choose to accept a 99% VAR model with 95% or 99% (or any other) level of confidence. Hence, using Jorian's example from book, assuming we use a 99% VAR (i.e. p=.01), over 250 days (i.e. T=250)...