Bionic Turtle
Cart
My Account
Log In
Sign up Free!
Study Planner
Features & Pricing
Forum
FAQs
Blog
Bionic Turtle
Home
Forums
>
Financial Risk Manager (FRM). Free resource
>
P2.T6. Credit Risk (25%)
Page 1 of 19
1
←
2
3
4
5
6
→
19
Next >
Sort By:
Title
Start Date
Replies
Views
Last Message ↓
Sticky
Errors Found in Study Notes P2.T6. Credit Risk
Ah yes I see that now. Thanks !
Ah yes I see that now. Thanks !
Ah yes I see that now. Thanks !
Ah yes I see that now. Thanks !
Nicole Seaman
,
Aug 5, 2015
Replies:
15
Views:
1,068
bpdulog
May 17, 2017
Describe a waterfall structure in securitzation
Thank you David
Thank you David
Thank you David
Thank you David
kik92
,
May 23, 2017 at 1:27 AM
Replies:
2
Views:
45
kik92
May 24, 2017 at 3:46 AM
Margin stepup
Hi @David Harper CFA FRM any input into this? Margin step up is listed as a credit enhancement
Hi @David Harper CFA FRM any input into this? Margin step up is listed as a credit enhancement
Hi @David Harper CFA FRM any input into this? Margin step up is listed as a credit enhancement
Hi @David Harper CFA FRM any input into this? Margin step up is listed as a credit enhancement
FrmL2_Aspirant
,
May 16, 2017
Replies:
1
Views:
91
bpdulog
May 19, 2017
Credit Questions
Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which is now less able to pay due to high oil costs..is that WWR? Senior,Sub,Eq debt: If a company is in...
Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which is now less able to pay due to high oil costs..is that WWR? Senior,Sub,Eq debt: If a company is in...
Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long a call from an airline on oil, if oil goes up the value of the call goes up, and the airline which...
Hi @David Harper CFA FRM, Do you have any insight on the below: WWR: If you are short a banks stock, and the bank value falls, so the value of your short trade goes up..Is this WWR? Say you long...
WhizzKidd
,
May 19, 2017
Replies:
0
Views:
38
WhizzKidd
May 19, 2017
Credit Risk & Credit Derivatives
In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so it's value is mostly a function of interest rates, as usual, and to a lessor extent firm volatility)....
In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so it's value is mostly a function of interest rates, as usual, and to a lessor extent firm volatility)....
In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a firm: basically, it acts like debt if firm value is high and default probability is "typical" (so...
In case it's helpful, I copied below a response from recent discussion here at which is a snippet of our recently updated Stulz notes. This concerns the OP question about subordinated debt in a...
Swarnendu Pathak
,
Jul 30, 2013
Replies:
5
Views:
669
David Harper CFA FRM
May 17, 2017
Lowest Credit Risk
Thanks David...
Thanks David...
Thanks David...
Thanks David...
Abhijit CMA
,
May 14, 2017
Replies:
2
Views:
66
Abhijit CMA
May 14, 2017
Trade Compression (Gregory)
@FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new contract pays a net $1,000 on one contract. QuantMan probably knows more about this than me, but the...
@FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new contract pays a net $1,000 on one contract. QuantMan probably knows more about this than me, but the...
@FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 + 3,750 + 3,250 = -1,000. But rather than pay a net $1,000 as the result of three cash flows, the new...
@FrmL2_Aspirant if we netted the coupons, I *think* we'd get the same result as the weighted average performed in @QuantMan2318 's calculations; i.e., -(40*200) + (25*15) + (10*325) = -8,000 +...
Delo
,
May 1, 2016
Replies:
4
Views:
721
David Harper CFA FRM
May 13, 2017
Deriving PD
Thanks! @Ali Ehsan Abbas tagging for reference
Thanks! @Ali Ehsan Abbas tagging for reference
Thanks! @Ali Ehsan Abbas tagging for reference
Thanks! @Ali Ehsan Abbas tagging for reference
Ali Ehsan Abbas
,
May 12, 2017
Replies:
5
Views:
121
bpdulog
May 13, 2017
Hazard Rates and probability of survival
Thanks!!
Thanks!!
Thanks!!
Thanks!!
Kashif Khalid
,
May 16, 2016
Replies:
11
Views:
1,387
Linghan
May 10, 2017
Credit VaR
Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.
Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.
Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.
Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.
Swarnendu Pathak
,
Aug 2, 2013
Replies:
16
Views:
3,932
QuantMan2318
May 10, 2017
GARP.FRM.PQ.P2
2016 GARP PQ - Question 5 - CDS (garp16-p2-5)
Thank you David and Nicole! Appreciate it.
Thank you David and Nicole! Appreciate it.
Thank you David and Nicole! Appreciate it.
Thank you David and Nicole! Appreciate it.
no_ming
,
Oct 1, 2016
Replies:
16
Views:
571
Srilakshmi
May 4, 2017
Spot rate Vs Swap rate..
Hi @rajeshtr I don't have current time to deconstruct Malz CDS formula, apologies (it's easier to follow Hull's discrete example which I have modeled in our CDS learning workbook). Looking at it currently, to your point, i think it's possible he has a typo such that after the summation, it should be exp(-0.045*u/4) rather than exp(0.045*u/4). Because that (yellow) term is supposed to be...
Hi @rajeshtr I don't have current time to deconstruct Malz CDS formula, apologies (it's easier to follow Hull's discrete example which I have modeled in our CDS learning workbook). Looking at it currently, to your point, i think it's possible he has a typo such that after the summation, it should be exp(-0.045*u/4) rather than exp(0.045*u/4). Because that (yellow) term is supposed to be...
Hi @rajeshtr I don't have current time to deconstruct Malz CDS formula, apologies (it's easier to follow Hull's discrete example which I have modeled in our CDS learning workbook). Looking at it currently, to your point, i think it's possible he has a typo such that after the summation, it...
Hi @rajeshtr I don't have current time to deconstruct Malz CDS formula, apologies (it's easier to follow Hull's discrete example which I have modeled in our CDS learning workbook). Looking at it...
rajeshtr
,
Mar 4, 2017
Replies:
1
Views:
214
David Harper CFA FRM
Apr 29, 2017
Funded vs Un-Funded
Hi @WhizzKidd To which chapter are you referring, sorry? (it's one of Gregory's obviously....). I think of "funding costs" as the cost of cash or the borrowing cost of cash. This can be explicit or implicit (opportunity cost of cash invested elsewhere). If you purchase a bond, you need to pay for it, or borrow cash to pay for it. Or, if you want to purchase a commodity, you need to fund the...
Hi @WhizzKidd To which chapter are you referring, sorry? (it's one of Gregory's obviously....). I think of "funding costs" as the cost of cash or the borrowing cost of cash. This can be explicit or implicit (opportunity cost of cash invested elsewhere). If you purchase a bond, you need to pay for it, or borrow cash to pay for it. Or, if you want to purchase a commodity, you need to fund the...
Hi @WhizzKidd To which chapter are you referring, sorry? (it's one of Gregory's obviously....). I think of "funding costs" as the cost of cash or the borrowing cost of cash. This can be explicit or implicit (opportunity cost of cash invested elsewhere). If you purchase a bond, you need to pay...
Hi @WhizzKidd To which chapter are you referring, sorry? (it's one of Gregory's obviously....). I think of "funding costs" as the cost of cash or the borrowing cost of cash. This can be explicit...
WhizzKidd
,
Apr 14, 2017
Replies:
1
Views:
193
David Harper CFA FRM
Apr 21, 2017
Expected Exposure & Counter Party PD
Thanks everyone for clarifying this Biju
Thanks everyone for clarifying this Biju
Thanks everyone for clarifying this Biju
Thanks everyone for clarifying this Biju
Biju
,
Apr 8, 2017
Replies:
9
Views:
222
Biju
Apr 19, 2017
CVA
Hi @FrmL2_Aspirant If lambda, λ, is the hazard rate then 1 - exp(-λ*T) is the cumulative default probability and the difference between the 1- and 2-year cumulative PDs, [1 - exp(-2*T)] - [1 - exp(-1*T)], is the unconditional default probability during the second year (as seen from today). I'm not sure how to connect these to CVA, except that unconditional PD is an input into CVA which is a...
Hi @FrmL2_Aspirant If lambda, λ, is the hazard rate then 1 - exp(-λ*T) is the cumulative default probability and the difference between the 1- and 2-year cumulative PDs, [1 - exp(-2*T)] - [1 - exp(-1*T)], is the unconditional default probability during the second year (as seen from today). I'm not sure how to connect these to CVA, except that unconditional PD is an input into CVA which is a...
Hi @FrmL2_Aspirant If lambda, λ, is the hazard rate then 1 - exp(-λ*T) is the cumulative default probability and the difference between the 1- and 2-year cumulative PDs, [1 - exp(-2*T)] - [1 - exp(-1*T)], is the unconditional default probability during the second year (as seen from today). I'm...
Hi @FrmL2_Aspirant If lambda, λ, is the hazard rate then 1 - exp(-λ*T) is the cumulative default probability and the difference between the 1- and 2-year cumulative PDs, [1 - exp(-2*T)] - [1 -...
Kavita.bhangdia
,
May 17, 2016
Replies:
13
Views:
523
David Harper CFA FRM
Apr 15, 2017
Credit Exposure Profiles
Hi @WhizzKidd I think you mean Gregory Chapter 8? (Oh, I notice it is also CR-13 in the FRM syllabus). Both of your examples (IRS and CDS) have in common that we presume their initial value is zero to both counterparties (why would either buyer/seller enter into the derivative contract if it had negative PV?). So, if you enter a contract with zero PV and, in the early years, you are paying...
Hi @WhizzKidd I think you mean Gregory Chapter 8? (Oh, I notice it is also CR-13 in the FRM syllabus). Both of your examples (IRS and CDS) have in common that we presume their initial value is zero to both counterparties (why would either buyer/seller enter into the derivative contract if it had negative PV?). So, if you enter a contract with zero PV and, in the early years, you are paying...
Hi @WhizzKidd I think you mean Gregory Chapter 8? (Oh, I notice it is also CR-13 in the FRM syllabus). Both of your examples (IRS and CDS) have in common that we presume their initial value is zero to both counterparties (why would either buyer/seller enter into the derivative contract if it had...
Hi @WhizzKidd I think you mean Gregory Chapter 8? (Oh, I notice it is also CR-13 in the FRM syllabus). Both of your examples (IRS and CDS) have in common that we presume their initial value is...
WhizzKidd
,
Apr 15, 2017
Replies:
1
Views:
90
David Harper CFA FRM
Apr 15, 2017
Stulz Ch 18 - Total Return Swap
@bpdulog and @irwinchung So we are going to replace the two paragraphs relating to Stulz total return swap with the following (cc @Nicole Seaman):
@bpdulog and @irwinchung So we are going to replace the two paragraphs relating to Stulz total return swap with the following (cc @Nicole Seaman):
@bpdulog and @irwinchung So we are going to replace the two paragraphs relating to Stulz total return swap with the following (cc @Nicole Seaman):
@bpdulog and @irwinchung So we are going to replace the two paragraphs relating to Stulz total return swap with the following (cc @Nicole Seaman):
bpdulog
,
Mar 19, 2017
Replies:
4
Views:
156
David Harper CFA FRM
Apr 14, 2017
Merton Value of Equity Formula
Hi @bpdulog Above the formula in the text is "Pt(T) the price at t of a zero-coupon bond that pays $1 at T." So we followed Stulz here with P(T) = F*exp(-rT); i.e., the face value of the debt discounted to the present value as a risk-free price. More broadly, this formula is the essence of the first step in Merton (see my long note here for explication on both steps ): equity is treated as a...
Hi @bpdulog Above the formula in the text is "Pt(T) the price at t of a zero-coupon bond that pays $1 at T." So we followed Stulz here with P(T) = F*exp(-rT); i.e., the face value of the debt discounted to the present value as a risk-free price. More broadly, this formula is the essence of the first step in Merton (see my long note here for explication on both steps ): equity is treated as a...
Hi @bpdulog Above the formula in the text is "Pt(T) the price at t of a zero-coupon bond that pays $1 at T." So we followed Stulz here with P(T) = F*exp(-rT); i.e., the face value of the debt discounted to the present value as a risk-free price. More broadly, this formula is the essence of the...
Hi @bpdulog Above the formula in the text is "Pt(T) the price at t of a zero-coupon bond that pays $1 at T." So we followed Stulz here with P(T) = F*exp(-rT); i.e., the face value of the debt...
bpdulog
,
Apr 14, 2017
Replies:
1
Views:
69
David Harper CFA FRM
Apr 14, 2017
credit linked note
Thanks again @David Harper CFA FRM ! Another important insight gained where the text simply mentions CDS with no further detail - it is only for the $15 million equity piece as opposed to the entire portfolio of the bonds
Thanks again @David Harper CFA FRM ! Another important insight gained where the text simply mentions CDS with no further detail - it is only for the $15 million equity piece as opposed to the entire portfolio of the bonds
Thanks again @David Harper CFA FRM ! Another important insight gained where the text simply mentions CDS with no further detail - it is only for the $15 million equity piece as opposed to the entire portfolio of the bonds
Thanks again @David Harper CFA FRM ! Another important insight gained where the text simply mentions CDS with no further detail - it is only for the $15 million equity piece as opposed to the...
Rajiv28
,
Jul 6, 2008
Replies:
15
Views:
1,730
bpdulog
Apr 12, 2017
Understanding Credit-Linked Notes
Clear... as always, thanks David.
Clear... as always, thanks David.
Clear... as always, thanks David.
Clear... as always, thanks David.
Hend Abuenein
,
May 1, 2012
...
2
Replies:
24
Views:
22,137
FrmL2_Aspirant
Apr 11, 2017
threshold in Credit Support Annex
Greetings all, I updated the graph from above for better clarity and added a green line that shows the hump above the one way CSA -does anyone know the impact if EE > NEE instead? It would be interesting to model but the Jon Gregory spreadsheets don't have a threshold variable In addition, I am confused about the following section: "In the zero-threshold case, there are many scenarios...
Greetings all, I updated the graph from above for better clarity and added a green line that shows the hump above the one way CSA -does anyone know the impact if EE > NEE instead? It would be interesting to model but the Jon Gregory spreadsheets don't have a threshold variable In addition, I am confused about the following section: "In the zero-threshold case, there are many scenarios...
Greetings all, I updated the graph from above for better clarity and added a green line that shows the hump above the one way CSA -does anyone know the impact if EE > NEE instead? It would be interesting to model but the Jon Gregory spreadsheets don't have a threshold variable In addition,...
Greetings all, I updated the graph from above for better clarity and added a green line that shows the hump above the one way CSA -does anyone know the impact if EE > NEE instead? It would be...
spenserzhou
,
Nov 8, 2014
Replies:
5
Views:
8,020
bpdulog
Apr 10, 2017
Impact of Netting on Exposure
Yeah my bad I meant to go down by 5 I don't think the +ve initial MTM matters as much
Yeah my bad I meant to go down by 5 I don't think the +ve initial MTM matters as much
Yeah my bad I meant to go down by 5 I don't think the +ve initial MTM matters as much
Yeah my bad I meant to go down by 5 I don't think the +ve initial MTM matters as much
Priyanka_Chandak23
,
Apr 6, 2017
Replies:
3
Views:
74
bpdulog
Apr 6, 2017
PFE of CDS and Cross Currency SWAP
Hi @bpdulog Yes, it is true that "Aren't they [i.e., the counterparty in a cross currency swap who is paying the higher interest rate] just receiving back the initial currency exchange and doesn't the gain depend on what the FX rates are at the end of the transaction?" but there is always the premise that at initiation the swap is a fair deal with initial market value of zero to both...
Hi @bpdulog Yes, it is true that "Aren't they [i.e., the counterparty in a cross currency swap who is paying the higher interest rate] just receiving back the initial currency exchange and doesn't the gain depend on what the FX rates are at the end of the transaction?" but there is always the premise that at initiation the swap is a fair deal with initial market value of zero to both...
Hi @bpdulog Yes, it is true that "Aren't they [i.e., the counterparty in a cross currency swap who is paying the higher interest rate] just receiving back the initial currency exchange and doesn't the gain depend on what the FX rates are at the end of the transaction?" but there is always the...
Hi @bpdulog Yes, it is true that "Aren't they [i.e., the counterparty in a cross currency swap who is paying the higher interest rate] just receiving back the initial currency exchange and doesn't...
NNath
,
Feb 11, 2016
Replies:
6
Views:
851
David Harper CFA FRM
Apr 5, 2017
Credit Exposure
Thanks Shakti. So when we say for Forward Rate Agreements the EE profile is increasing function of time( sqrt(t)) ..The underlying factors that influence final netted payment excluding the time value of money is a function of time. Because when we say EE profile ..we are talking on the term structure of PV of EE? Is my understanding correct on this Thanks in Advance Biju
Thanks Shakti. So when we say for Forward Rate Agreements the EE profile is increasing function of time( sqrt(t)) ..The underlying factors that influence final netted payment excluding the time value of money is a function of time. Because when we say EE profile ..we are talking on the term structure of PV of EE? Is my understanding correct on this Thanks in Advance Biju
Thanks Shakti. So when we say for Forward Rate Agreements the EE profile is increasing function of time( sqrt(t)) ..The underlying factors that influence final netted payment excluding the time value of money is a function of time. Because when we say EE profile ..we are talking on the term...
Thanks Shakti. So when we say for Forward Rate Agreements the EE profile is increasing function of time( sqrt(t)) ..The underlying factors that influence final netted payment excluding the time...
Biju
,
Apr 1, 2017
Replies:
2
Views:
91
Biju
Apr 5, 2017
How does CLN issuer make money?
Is the funding motivation due to the fact that the bank uses the funding to originate more loans and issue more CLNs? Funding is great and all, but absent some kind of liquidity crisis what is driving the funding need?
Is the funding motivation due to the fact that the bank uses the funding to originate more loans and issue more CLNs? Funding is great and all, but absent some kind of liquidity crisis what is driving the funding need?
Is the funding motivation due to the fact that the bank uses the funding to originate more loans and issue more CLNs? Funding is great and all, but absent some kind of liquidity crisis what is driving the funding need?
Is the funding motivation due to the fact that the bank uses the funding to originate more loans and issue more CLNs? Funding is great and all, but absent some kind of liquidity crisis what is...
ajsa
,
Sep 11, 2009
Replies:
4
Views:
2,796
bpdulog
Apr 4, 2017
delaurentis - chapter 2 - recovery
I think the key takeaway here is that, assuming this is a large bank with millions of transactions, you won't be able to figure out a specific positin's recovery rate because that data gets lost. The reason why, I think, is that if a bank has 1000s of exposures with a single client, then they will just take the average LGD for that client as opposed to calculating each individually
I think the key takeaway here is that, assuming this is a large bank with millions of transactions, you won't be able to figure out a specific positin's recovery rate because that data gets lost. The reason why, I think, is that if a bank has 1000s of exposures with a single client, then they will just take the average LGD for that client as opposed to calculating each individually
I think the key takeaway here is that, assuming this is a large bank with millions of transactions, you won't be able to figure out a specific positin's recovery rate because that data gets lost. The reason why, I think, is that if a bank has 1000s of exposures with a single client, then they...
I think the key takeaway here is that, assuming this is a large bank with millions of transactions, you won't be able to figure out a specific positin's recovery rate because that data gets lost. ...
farahm
,
Feb 5, 2017
Replies:
2
Views:
131
bpdulog
Mar 27, 2017
CDS - Bond basis factors : confusing impact
@rajeshtr Can I refer you to my absolutely favorite book on this topic: The Credit Default Swap Basis by Moorad Choudhry Below I copied the key section on the factors. I think it's more helpful than Gregory's section on CDS-Bond basis precisely because of your point: Choudry does give a framework. He starts at the very beginning which is to distinguish the unfunded CDS from the funded asset...
@rajeshtr Can I refer you to my absolutely favorite book on this topic: The Credit Default Swap Basis by Moorad Choudhry Below I copied the key section on the factors. I think it's more helpful than Gregory's section on CDS-Bond basis precisely because of your point: Choudry does give a framework. He starts at the very beginning which is to distinguish the unfunded CDS from the funded asset...
@rajeshtr Can I refer you to my absolutely favorite book on this topic: The Credit Default Swap Basis by Moorad Choudhry Below I copied the key section on the factors. I think it's more helpful than Gregory's section on CDS-Bond basis precisely because of your point: Choudry does give a...
@rajeshtr Can I refer you to my absolutely favorite book on this topic: The Credit Default Swap Basis by Moorad Choudhry Below I copied the key section on the factors. I think it's more helpful...
rajeshtr
,
Mar 9, 2017
Replies:
1
Views:
234
David Harper CFA FRM
Mar 15, 2017
Dividing CVA by Duration --> gives Credit Spread
Hi @rajeshtr I haven't looked at that closely but it actually does offer a bit of intuition because I see that earlier Gregory suggests we can also (additionally? alternatively?) divide by the "risky annuity" the following (emphasis mine): I don't see the calculation for the "risky duration" but at least directionally it makes sense to me given the reference to risky annuity (which connotes...
Hi @rajeshtr I haven't looked at that closely but it actually does offer a bit of intuition because I see that earlier Gregory suggests we can also (additionally? alternatively?) divide by the "risky annuity" the following (emphasis mine): I don't see the calculation for the "risky duration" but at least directionally it makes sense to me given the reference to risky annuity (which connotes...
Hi @rajeshtr I haven't looked at that closely but it actually does offer a bit of intuition because I see that earlier Gregory suggests we can also (additionally? alternatively?) divide by the "risky annuity" the following (emphasis mine): I don't see the calculation for the "risky duration"...
Hi @rajeshtr I haven't looked at that closely but it actually does offer a bit of intuition because I see that earlier Gregory suggests we can also (additionally? alternatively?) divide by the...
rajeshtr
,
Mar 11, 2017
Replies:
1
Views:
121
David Harper CFA FRM
Mar 13, 2017
Retail vs. corporate credit default (time of default)
Thank you @berrymucho those are good sources!
Thank you @berrymucho those are good sources!
Thank you @berrymucho those are good sources!
Thank you @berrymucho those are good sources!
emilioalzamora1
,
Feb 24, 2017
Replies:
12
Views:
227
David Harper CFA FRM
Mar 3, 2017
Calculate the probability of default, cumulative probability of default, marginal probability of def
Thanks
Thanks
Thanks
Thanks
Rohit
,
Feb 18, 2017
Replies:
2
Views:
243
Rohit
Feb 22, 2017
CVA Questions
To make it as simple as possible and to give you another practical example where is no upfront payment like in a long option position: 1) Suppose you are a Swap Dealer at a Banks Swap Desk. We assume there is no DVA. A client with lets say a BB rating wants to enter into a fixed rate payer swap. There is no CSA in place. To make the deal favorable for your desk you have to consider CVA. CVA...
To make it as simple as possible and to give you another practical example where is no upfront payment like in a long option position: 1) Suppose you are a Swap Dealer at a Banks Swap Desk. We assume there is no DVA. A client with lets say a BB rating wants to enter into a fixed rate payer swap. There is no CSA in place. To make the deal favorable for your desk you have to consider CVA. CVA...
To make it as simple as possible and to give you another practical example where is no upfront payment like in a long option position: 1) Suppose you are a Swap Dealer at a Banks Swap Desk. We assume there is no DVA. A client with lets say a BB rating wants to enter into a fixed rate payer...
To make it as simple as possible and to give you another practical example where is no upfront payment like in a long option position: 1) Suppose you are a Swap Dealer at a Banks Swap Desk. We...
Ekin4112
,
May 14, 2015
Replies:
13
Views:
643
Daniel26
Feb 4, 2017
Showing threads 1 to 30 of 553
Thread Display Options
Sort threads by:
Last message time
Thread creation time
Title (alphabetical)
Number of replies
Number of views
First message likes
Order threads in:
Descending order
Ascending order
Prefix:
(Any)
CFA
FAQ Before Exam
FAQ After Exam
FAQ Exam
GARP.Exam.Issue
GARP.FRM.PQ.P1
GARP.FRM.PQ.P2
GARP.2010.PQ.P1
GARP.2010.PQ.P2
GARP.2011.PQ.P1
GARP.2011.PQ.P2
GARP.2012.PQ.P1
GARP.2012.PQ.P2
PQ-external
Test color
Course
Week in Risk
Loading...
(You must log in or sign up to post here.)
Show Ignored Content
Page 1 of 19
1
←
2
3
4
5
6
→
19
Next >
Log in with Facebook
Your name or email address:
Password:
Forgot your password?
Stay logged in
Bionic Turtle
Home
Forums
>
Financial Risk Manager (FRM). Free resource
>
Home
Forums
Forums
Quick Links
Search Forums
Recent Posts
Resources
Resources
Quick Links
Search Resources
Most Active Authors
Latest Reviews
Menu
Search
Search titles only
Posted by Member:
Separate names with a comma.
Newer Than:
Search this forum only
Display results as threads
Useful Searches
Recent Posts
More...