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Hi, Looking for a fellow student interested in exchanging SP9 past paper exam attempts between now and the April exam and giving feedback to each...
Probabilistic risk measures The Acted notes (pg 15) that VaR can be calculated using 3 approaches: empirical (or historical), parametric and...
Hi, 3 questions on Chapter 15: 'Introduction to risk modelling': Page 20 of Acted notes says: Stress testing is similar to scenario or...
Hi, (sorry me again; encourage other SP9 students to also post their Qs as this isn't my private forum!) Appreciate any answers to six Questions...
Core reading (CMP chapter 9, pg 5) defines: "Risk capacity: this is the volume of risk that an organisation can take as measured by some...
Hi, Two quick questions on Chapter 11: Page 7 of the Acted notes says: "Bank customers’ risk appetites are closely aligned with those of...
Hi, (To atone for the recent lull in posts) I have 4 comments and questions on Chapter 12 of the CMP and the related textbook reading. Appreciate...
Hi, I suitably have 3 questions on the 3 lines of defence approach. Q1: What is the main benefit and intent of this approach to risk management...
Have two basic questions on the Core Reading/Acted notes for Chapter 7 -thanks in advance!: Pages 12 and 17 lists limitations of the S&P approach...
Having read the Acted notes and Sweeting reading, I'm left scratching my head as to: 1. What is the main takeaway from this chapter (6) -simply,...
Page 7 of the Acted Notes (section: Approaches to modelling Credit Risk) quotes the Core Reading: "Structural models are explicit models for a...
The penultimate line of the solution to Assignment X2.4(ii) jumps from: E[Bt^4] + 6t*E[Bt^2] +3t^2 to: 3t^2 + 6t*t +3t^2 = 12t^2. Trying to...
Hi, Three Questions on the section about Shiller's test of the semi-strong form of the Efficient Markets Hypothesis (EMH): 1. This CT8 post: Ch1...
Hi, The Examiners Report (April 2022 Paper One Q1) includes that: an outcomes-based "regime is not normally considered suitable for developing...
Hi, I am repeatedly confused by what 'selection' and 'selective effect' actually mean in CP1. Chapter 20 of the CMP notes (page 14) says: "..we...
Hi, I found two parts of this section on page 8 difficult to follow, given my lack of pricing experience. 1) "It is important in building such a...
Hi, Two quick questions on chapter 29, page 22 re. Integrated Risk Covers: 1. "They are used to avoid buying excessive cover" -Is this because...
Page 6 of the notes (Chapter 17 Modelling) says when listing potential operational issues: A range of methods of implementation should be...
Chapter 15 page 19 (top) quotes the core reading: "Unless risk-free zero-coupon bonds can be used it is rarely possible to achieve pure matching,...
Hi, The solution to Question 14.2 (i) (page 27) mentions several specific quantitative assertions: "Suppose that the distribution of liability...
Hi, I have a specific and general question on this topic: 1) Specific - Please can you provide examples of the 'acceptance' and 'segregation'...
Hi, Q21.8 is using the inflation adjusted chain ladder method. For step 1 (applying past inflation factor to incremental data), the solution (pg...
Hi - Appreciate answers to either or both of the quick queries below on Chapter 18 term structure of interest rates: 1) pg 13 introduces "a bank...
Hi, The Chap 3 notes offer alternative explanations for first and second-order stochastic dominance. On the first line of pg 6 it explains that "Z...
Hi, The first question on pg 5 (Chap 2 course notes) asks to calculate the expected next-period utility when there's only a proportion, 'a' of...
Hi, Quick question: The Core Reading for Time Series (Chapter 13, pg 37 in 2019 version) says: "In many circumstances an autoregressive model is...
Hi, Sept 2021 Question 7(iii) provides a 'first Yule Walker' equation and asks students to provide the 'second and third Yule Walker' equations....
Hi, The Question provides the Nelson-Aalen estimate of the Survival function and asks to determine the Kaplan-Meier estimate. The Examiners...
Hi, Having been through Chapter 17 on Copulas, have three basic questions on the coefficient of upper&lower tail dependence: Question 1 - The...
Hi, I really appreciate the appendix explaining Eigen values. But Found it difficult to understand the core reading and provided examples in...
Hi, The solution to Q14.3(i) (at end of Chapter 14 Time Series 2, in the 2019 version of material) mentions the two criteria to determine the...
Hi , Understand that the Coefficient of Lower and Upper Tail dependencies is a probability between 0 and 1 to reflect the degree of positive...
Hi, Would someone mind explaining (in the basic Lee Carter model) what is the difference between 'bx' (change in rates at age x due to time trend)...
Hi, 1) Answer to PQ 7.4(i) says that "Non-informative censoring is present since withdrawals give no information about the future mortality of...
Hi, I have two questions on Q20.6: For part Q20.6 (ii) why is the summation of probability, q, necessary for all i's (from 1 to 500)? If...
Hi, Is it acceptable to sue bullets to answer the reflection/ follow-up questions after the main 90-mark report/letter. I'm finding it takes me...
Chapter 14 Time Series 2: top line of Pg 24 would someone mind elaborating on how the log-likelihood function is calculated (especially where the...
Hi, hopefully a straightforward questions about the CMP material: Chapter 13 Time Series 1 : solution to Practice Q 13.3 (on pg 61) includes on...