P2.T6. Credit Risk (25%)

Sort By:
Title
Replies Views
Last Message ↓
  1. Nicole Seaman
    Sticky

    Errors Found in Study Notes P2.T6. Credit Risk

    Thank you (again) @Karim_B ! @Nicole Seaman yes, as can be confirmed on page 333 of Malz (Chapter 9), Karim is correct. Thank you,
    Thank you (again) @Karim_B ! @Nicole Seaman yes, as can be confirmed on page 333 of Malz (Chapter 9), Karim is correct. Thank you,
    Thank you (again) @Karim_B ! @Nicole Seaman yes, as can be confirmed on page 333 of Malz (Chapter 9), Karim is correct. Thank you,
    Thank you (again) @Karim_B ! @Nicole Seaman yes, as can be confirmed on page 333 of Malz (Chapter 9), Karim is correct. Thank you,
    Replies:
    28
    Views:
    1,552
  2. BankEmoon123

    NGR calculation for Netting Set which includes one single trade

    Hi, under the CEM method for calculating credit risk for derivatives under basel II- if i have a netting set which includes only one trade and the fair value of that trade is negative, does the NGR equals to 1 or 0 ? Thanks :)
    Hi, under the CEM method for calculating credit risk for derivatives under basel II- if i have a netting set which includes only one trade and the fair value of that trade is negative, does the NGR equals to 1 or 0 ? Thanks :)
    Hi, under the CEM method for calculating credit risk for derivatives under basel II- if i have a netting set which includes only one trade and the fair value of that trade is negative, does the NGR equals to 1 or 0 ? Thanks :)
    Hi, under the CEM method for calculating credit risk for derivatives under basel II- if i have a netting set which includes only one trade and the fair value of that trade is negative, does the...
    Replies:
    0
    Views:
    57
  3. MongKoo

    How to hedge Total return swap using CDS

    Hi @andred0250_ I'm not following you, sorry, and I don't see the discrepancy between my comment above and question 209.2; the source to this question 209.2 is located here at and includes my subsequent clarifying comment: ... my comment above is a full decomposition, but as far as I can tell, 209.c and this thread are consistently asserting: TSR Payer (aka, protection buyer) = long CDS +...
    Hi @andred0250_ I'm not following you, sorry, and I don't see the discrepancy between my comment above and question 209.2; the source to this question 209.2 is located here at and includes my subsequent clarifying comment: ... my comment above is a full decomposition, but as far as I can tell, 209.c and this thread are consistently asserting: TSR Payer (aka, protection buyer) = long CDS +...
    Hi @andred0250_ I'm not following you, sorry, and I don't see the discrepancy between my comment above and question 209.2; the source to this question 209.2 is located here at and includes my subsequent clarifying comment: ... my comment above is a full decomposition, but as far as I can...
    Hi @andred0250_ I'm not following you, sorry, and I don't see the discrepancy between my comment above and question 209.2; the source to this question 209.2 is located here at and includes my...
    Replies:
    5
    Views:
    10,859
  4. irwinchung

    Effect of time to maturity on sub bonds

    Hi @silver7 I moved your query to this thread, see above, let me know if this helps? Thanks!
    Hi @silver7 I moved your query to this thread, see above, let me know if this helps? Thanks!
    Hi @silver7 I moved your query to this thread, see above, let me know if this helps? Thanks!
    Hi @silver7 I moved your query to this thread, see above, let me know if this helps? Thanks!
    Replies:
    3
    Views:
    136
  5. Arka Bose

    Delivery squeeze

    Hi [USER=48426]@ , Thanks for bringing this thread up again, yes, it was one of the best discussions that we had in these forums and brings back fond memories:):rolleyes:, in fact I had been wanting to answer your question a bit earlier, but paucity of time stopped me from doing so A shortage of deliverable bonds would increase the price of the Bond and reduce the Bond spread, theoretically this factor...
    Hi [USER=48426]@ , Thanks for bringing this thread up again, yes, it was one of the best discussions that we had in these forums and brings back fond memories:):rolleyes:, in fact I had been wanting to answer your question a bit earlier, but paucity of time stopped me from doing so A shortage of deliverable bonds would increase the price of the Bond and reduce the Bond spread, theoretically this factor...
    Hi [USER=48426]@ , Thanks for bringing this thread up again, yes, it was one of the best discussions that we had in these forums and brings back fond memories:):rolleyes:, in fact I had been wanting to answer your question a bit earlier, but paucity of time stopped me from doing so A shortage of...
    Hi [USER=48426]@ , Thanks for bringing this thread up again, yes, it was one of the best discussions that we had in these forums and brings back fond memories:):rolleyes:, in fact I had been wanting to answer...
    Replies:
    18
    Views:
    978
  6. jaivipin

    How can collateral create exposure??

    Thanks David.
    Thanks David.
    Thanks David.
    Thanks David.
    Replies:
    4
    Views:
    105
  7. Bernardo

    Credit risk scoring model types - Pooled Models

    Hi, I am little bit confused with Crouhy's definition of "Pooled models", i.e. These models are built by outside vendors, such as Fair Isaac, using data collected from a wide range of lenders with similar credit portfolios. For example, a revolving credit pooled model might be developed from credit card data collected from several banks. Just to confirm the concept: do banks really share...
    Hi, I am little bit confused with Crouhy's definition of "Pooled models", i.e. These models are built by outside vendors, such as Fair Isaac, using data collected from a wide range of lenders with similar credit portfolios. For example, a revolving credit pooled model might be developed from credit card data collected from several banks. Just to confirm the concept: do banks really share...
    Hi, I am little bit confused with Crouhy's definition of "Pooled models", i.e. These models are built by outside vendors, such as Fair Isaac, using data collected from a wide range of lenders with similar credit portfolios. For example, a revolving credit pooled model might be developed from...
    Hi, I am little bit confused with Crouhy's definition of "Pooled models", i.e. These models are built by outside vendors, such as Fair Isaac, using data collected from a wide range of lenders...
    Replies:
    0
    Views:
    74
  8. Sunil Natarajan

    Correlation in CDS

    Hi David, I have been a member since the past 4 months and have found this forum very informative. I was searching the internet regarding correlation in nth to default CDS and found this thread. Just wanted to extend the logic for pricing nth to default and ask a question on it. Suppose I have a 3rd to default CDS and even the basket has 3 reference obligations(credits). Also suppose the 3...
    Hi David, I have been a member since the past 4 months and have found this forum very informative. I was searching the internet regarding correlation in nth to default CDS and found this thread. Just wanted to extend the logic for pricing nth to default and ask a question on it. Suppose I have a 3rd to default CDS and even the basket has 3 reference obligations(credits). Also suppose the 3...
    Hi David, I have been a member since the past 4 months and have found this forum very informative. I was searching the internet regarding correlation in nth to default CDS and found this thread. Just wanted to extend the logic for pricing nth to default and ask a question on it. Suppose I have...
    Hi David, I have been a member since the past 4 months and have found this forum very informative. I was searching the internet regarding correlation in nth to default CDS and found this thread....
    Replies:
    11
    Views:
    5,511
  9. daweinzettl

    Gaussian copula modelling

    Thank you so much.
    Thank you so much.
    Thank you so much.
    Thank you so much.
    Replies:
    6
    Views:
    1,975
  10. VinayB

    Benefits of Securitisation

    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Thank you @David Harper CFA FRM ..This is crystal clear now! Thanks, Vinay
    Replies:
    2
    Views:
    175
  11. uness_o7

    z-score calibration (adjustment)

    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I will take a closer look what I get a chance ... thanks,
    Hi @uness_o7 Apologies but I haven't examined carefully his Cost of Classification; it's not technically in the LO syllabus, right? We didn't include in our notes .... That looks interesting, I...
    Replies:
    1
    Views:
    82
  12. VinayB

    Impact of Default Correlations on EL

    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Thank you @David Harper CFA FRM , appreciate the confirmation!
    Replies:
    7
    Views:
    270
  13. Gdb

    CVA, independent amount & margin period of risk

    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    Hi there, I am puzzled with the graph below; isn't the independent amount posted as collateral, either way, whatever happens? Does the margin period of risk then still have an impact?
    upload_2017-11-4_18-20-56.png
    Replies:
    0
    Views:
    181
  14. RM1

    FRM Handbook Example 23.9: FRM Exam 2008 Q 3-31

    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with study notes, writing in-depth PQs, creating new instructional videos, preparing detailed XLS and...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with study notes, writing in-depth PQs, creating new instructional videos, preparing detailed XLS and...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video is correct. Videos take a great deal of time, especially when there is so much material to cover with...
    Hello @dbansal, We have not updated the focus review videos recently (they are on our update list for 2018), but this post is already tagged for revision so we will make sure that the new video...
    Replies:
    8
    Views:
    2,492
  15. FrmL2_Aspirant

    Margin stepup

    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin = coupon rate, where 50 basis points is the margin. Note the text that I located below (from...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin = coupon rate, where 50 basis points is the margin. Note the text that I located below (from...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the floating coupon rate; e.g., maybe the floating rate for a senior tranche = LIBOR + 50 basis point margin =...
    Hi @saurabhpal49 I assume that Choudhry is referring to a coupon with an increasing step function. If the bond/tranche is based on an index, then the margin would be added to determine the...
    Replies:
    3
    Views:
    849
  16. Taunk

    P2.T6.309. Default correlation, Malz sections 8.1 and 8.2

    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Yes David....that surely helped.....thanks so much...hopefully the question in exam shall provide the number of defaults :)
    Replies:
    5
    Views:
    426
  17. kik92

    Malz Chapter 8:Portfolio Credit Risk

    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Excellent David, it's just what I was asking you. Million thanks!
    Replies:
    8
    Views:
    343
  18. saurabhpal49

    First to default put ( crouhy)

    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated default probability. Now compare: If these credits are uncorrelated, what is the approximate...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated default probability. Now compare: If these credits are uncorrelated, what is the approximate...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also, let's simplify and approximate spread by S = PD*LGD but assume LGD = 100%, so that spread approximated...
    Hi @saurabhpal49 I'd explain with a simple illustration. Imagine the basket contains only two credits, each with (unconditional) default probability of, respectively say, 10.0% and 7.0%. Also,...
    Replies:
    1
    Views:
    224
  19. saurabhpal49

    Settled vs actual recovery rates

    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    It's very clear as usual, thanks a lot David.
    Replies:
    4
    Views:
    299
  20. saurabhpal49

    Netting vs closeout netting

    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon" payment is exchanged for the floating "coupon" payment, but they are netted (as in payment netting). If...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon" payment is exchanged for the floating "coupon" payment, but they are netted (as in payment netting). If...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an interest rate swap where, at each (eg) six-month settlement (aka, exchange), the fixed "coupon"...
    @saurabhpal49 But I do not think payment netting is triggered by counterparty default. The difference is between payment netting and close-out netting. The classic example of payment netting is an...
    Replies:
    4
    Views:
    444
  21. saurabhpal49

    Malz single factor model

    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite, IMO, is difficult without understanding the broader model (if you already get it, great!). Below I...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite, IMO, is difficult without understanding the broader model (if you already get it, great!). Below I...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below the latest version of my rendering of his example Malz 8.4. To grok the specific sentence you cite,...
    Hi @saurabhpal49 Malz single-factor model is intermediate/advanced, I just want to "warn" you so that you do not expect to immediately grok it, as it's proven to be challenging . I copied below...
    Replies:
    1
    Views:
    176
  22. saurabhpal49

    Interest rates (Stultz)

    Thanks David for the clarification
    Thanks David for the clarification
    Thanks David for the clarification
    Thanks David for the clarification
    Replies:
    2
    Views:
    174
  23. ram.karthik

    LDA Coefficient Estimation

    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to consider the covariance matrix (to control for variable dependence) by further multiplying the transposed...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to consider the covariance matrix (to control for variable dependence) by further multiplying the transposed...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this correct? Secondly, when we move from Euclidean distance to geometric distance, the authors request us to...
    Hello, I want to verify if the min arg function used to assign a new variable into a particular group. I tried with 2 groups (Male/Female) with 2 variables (height and weight). is this...
    Replies:
    0
    Views:
    75
  24. saurabhpal49

    Risk adjusted pricing (De Laurentis)

    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful illustrations and he has a slide on risk-based pricing. I hope that's helpful!
    @saurabhpal49 I forgot to share the attached presentation to GARP on RAROC by Dr. Yousef Padganeh (Head of Enterprise Risk Management, Commercial Bank International). I think he gives some useful...
    Replies:
    2
    Views:
    244
  25. lianne

    Does selling a call option also counterparty risk free?

    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Thanks Eltanariel. Much appreciated.
    Replies:
    9
    Views:
    2,615
  26. brian.field

    Gregory - Chapter 15 - Wrong-way Risk

    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms...
    Replies:
    6
    Views:
    1,102
  27. JonathanJoke

    Basel II-Current Exposure Method

    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%. My question is why Credit derivative is independent on maturity. Anybody helps me solve this issue,...
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%. My question is why Credit derivative is independent on maturity. Anybody helps me solve this issue,...
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern is "qualify". if the contract is qualify so the addon-factor is 5%, vice versus addon-factor is 10%....
    Hi everyone, I am having a mess in my mind that when using CEM method for counterparty credit risk calculation, the add-on factor for credit derivatives is not dependent on maturity. Its concern...
    Replies:
    0
    Views:
    237
  28. trigg989

    Calculated Stress Losses for Loan/Derivatives Portfolios

    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Thank you so much David. I greatly appreciate the level of detail you provide in your answers.
    Replies:
    2
    Views:
    255
  29. Linghan

    Learning spreadsheet P2.T6 Malz ch7

    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Very helpful @David Harper CFA FRM , thank you!
    Replies:
    5
    Views:
    345
  30. Hend Abuenein

    Understanding Credit-Linked Notes

    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Hi David - how would you value a CLN on a MTM basis. Credit risk (CDS - spread) to the protection buyer and then to the reference portfolio?
    Replies:
    25
    Views:
    26,456
  31. Hermz29

    Securitization Process

    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the securitisation process/chain. Best explanation I have seen so far!
    Above this undoubtedly great explanation by my friend I just wanna point towards the graphics @David Harper CFA FRM has compiled in the study materials about each respective entity in the...
    Replies:
    3
    Views:
    199

Thread Display Options

Loading...