Adjusted Exposure

[bhar]

Hi David
On Page 114, in the notes, the formula (in blue) for Adjusted exposure would require a small correction. It should be AE = OS + (UGD% * Unused Commitment) Could you clarify.

 

[David Harper CFA FRM]

Hi bhar, yes absolutely it is a mistake (apologies). Exactly as you say, Ong's AE = OS + UGD*Unused COM. I have submitted for fix to the PDF. Thank you!

 

[bhar]

Thanks David. Surely your notes in that section are very clear and precise. Especially the Operational Risk, Stress Testing topics.

 

[David Harper CFA FRM]

bhar, thank you, they really could be better but we do appreciate that!