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September 2012 question 3 (iii)

Discussion in 'SP9' started by Edwin, Sep 1, 2014.

  1. Edwin

    Edwin Member

    Here, we are asked to speak about the advantages and disadvantages of the two approaches as well as areas of improvements.

    A lot of detail is provided hence it is easy to generate points, however to my surprise non of the following standard ST9 points were narrated in the examiners report;-

    • The fact that for Approach 2 the goodness of fit of the Gamma is not tested
    • Suggesting a test of goodness of fit e.g using a QQ plot to address point above
    • Lack of coherence of VAR applying to question and recommending TVAR
    • Some weaknesses of VAR in the tail especially given fat tailedness of Ops risk losses

    Was i waiting my time here?
     
    Edwin, Sep 1, 2014
    #1
  2. David Wilmot

    David Wilmot ActEd Tutor Staff Member

    Don't stop making such sensible comments in your answers Edwin as, even if not credited on that occasion, they might be in future!
     
    David Wilmot, Sep 5, 2014
    #2
  3. Edwin

    Edwin Member

    Thanks David, but i do agree that Ops risk modeling cannot be discussed without emphasis on data and in this question it was out loud that we needed to discuss this too.
     
    Edwin, Sep 6, 2014
    #3

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