Hello David! I have noticed that formula for both expected loss and CVA is the same. CVA is the present value of future exposure. Isn't expected loss the same thing? I am aware that EL is used for both credit risk and counterparty credit risk. So, why CVA if we can measure CCR with EL? Would be...
I know this isn't about the FRM exam itself but is there any excel sheets about the calculation for CAR and it's risk weighted assets under Basel III? I have paper to write about it and I can't seem to find a good simple explanation on how to calculate for it, sorry but the words confuse me on...
This thread has been created to provide information and tips about FRM part 2 examination preparation to the present and future candidates .I seek participation and feedback from the registered candidates for Part 2 examination, successful candidates of part 2 examination from the past periods...
Hi @David Harper CFA FRM ,
One formula I am struggling to understand is the adjustment to the z-score to account for the costs involved with the type I and type II errors ( => opportunity cost vs. LGD) in De Laurentis - Ch3 (Ratings Assignment Methodologies) pp 59 and 60.
ln(q(solvent) *...
Hi @David Harper CFA FRM ,
This is a new topic added in 2017 - are there any practice questions for the calculations? GARP tends to test more on new topics per my experience.
Thanks!
above is an interim procedure from rearranging following equation:
Dt * e^yτ = D
Dt = current value of debt at time "t"
y = yield to maturity of debt
τ = remaining maturity of debt
D = debt's face value
rearranging this equation leads to the first equation in the above pic, and taking...
Questions:
604.1. A $1,000 face value corporate bond with ten years to maturity and a 3.0% annual coupon (i.e., assume annual compounding) has a current price of $918.89. If the market's recovery rate (ie, one minus loss given default) consensus estimate is 20.0% and the risk-free yield is flat...
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