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P2.T6. Credit Risk (25%)
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Errors Found in Study Notes P2.T6. Credit Risk
Hi @olgenue Yes, exactly. I actually did notice this too, along with several other errors in the new Giacomo (e.g., the Merton model is wrong too). We have emailed the authors and the publisher to request/input on an errata, but we have not received any replies. Because it's a new reading, I didn't want to risk making my own edits. The source is below, hopefully you'll agree our note does...
Hi @olgenue Yes, exactly. I actually did notice this too, along with several other errors in the new Giacomo (e.g., the Merton model is wrong too). We have emailed the authors and the publisher to request/input on an errata, but we have not received any replies. Because it's a new reading, I didn't want to risk making my own edits. The source is below, hopefully you'll agree our note does...
Hi @olgenue Yes, exactly. I actually did notice this too, along with several other errors in the new Giacomo (e.g., the Merton model is wrong too). We have emailed the authors and the publisher to request/input on an errata, but we have not received any replies. Because it's a new reading, I...
Hi @olgenue Yes, exactly. I actually did notice this too, along with several other errors in the new Giacomo (e.g., the Merton model is wrong too). We have emailed the authors and the publisher to...
Nicole Seaman
,
Aug 5, 2015
Replies:
10
Views:
930
David Harper CFA FRM
Mar 5, 2017
GARP.FRM.PQ.P2
2016 GARP PQ - Question 5 - CDS (garp16-p2-5)
If so, I'd like to know how the PV of the premium leg above relates to this formula:
If so, I'd like to know how the PV of the premium leg above relates to this formula:
If so, I'd like to know how the PV of the premium leg above relates to this formula:
If so, I'd like to know how the PV of the premium leg above relates to this formula:
no_ming
,
Oct 1, 2016
Replies:
8
Views:
365
bpdulog
Mar 22, 2017 at 6:34 PM
Credit Risk in 2014
12. A trader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask spread of CAD 0.1. Assuming the returns of ZZZ are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% VaR, using the constant spread approach on a 10,000 share...
12. A trader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask spread of CAD 0.1. Assuming the returns of ZZZ are normally distributed, what is closest to the estimated liquidity-adjusted, 1-day 95% VaR, using the constant spread approach on a 10,000 share...
12. A trader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask spread of CAD 0.1. Assuming the returns of ZZZ are normally distributed, what is closest to the estimated...
12. A trader observes a quote for Stock ZZZ, and the midpoint of its current best bid and best ask prices is CAD 35. ZZZ has an estimated daily return volatility of 0.25% and average bid-ask...
brunnim
,
Mar 1, 2014
Replies:
10
Views:
1,097
bpdulog
Mar 20, 2017 at 7:18 PM
Stulz Ch 18 - Total Return Swap
Hi all, Can someone explain why the bank gets paid whether or not the bank defaults or not? They receive $20 million, which is the difference between the value at maturity and the value of the debt at t=0. If the debt defaults, they get $30 million which is the difference betweeen the value at the time of credit event and the value at t=0. I understand why the bank gets paid if there is a...
Hi all, Can someone explain why the bank gets paid whether or not the bank defaults or not? They receive $20 million, which is the difference between the value at maturity and the value of the debt at t=0. If the debt defaults, they get $30 million which is the difference betweeen the value at the time of credit event and the value at t=0. I understand why the bank gets paid if there is a...
Hi all, Can someone explain why the bank gets paid whether or not the bank defaults or not? They receive $20 million, which is the difference between the value at maturity and the value of the debt at t=0. If the debt defaults, they get $30 million which is the difference betweeen the value...
Hi all, Can someone explain why the bank gets paid whether or not the bank defaults or not? They receive $20 million, which is the difference between the value at maturity and the value of the...
bpdulog
,
Mar 19, 2017 at 10:23 PM
Replies:
0
Views:
36
bpdulog
Mar 19, 2017 at 10:23 PM
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:
87
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:
47
David Harper CFA FRM
Mar 13, 2017
Spot rate Vs Swap rate..
Hi David, In Malz material Example 7.7 - the material reads "We assume a flat swap curve for all maturities : with a continuously compounded spot rate of 4.5%" so the swap rate is assumed to be close to spot rate and hence it is 4.5% in the below equation : how do you easily spot whether this is spot rate or Swap rate.. (Is it because it is positive i.e. swap rate (equating to bond price) )...
Hi David, In Malz material Example 7.7 - the material reads "We assume a flat swap curve for all maturities : with a continuously compounded spot rate of 4.5%" so the swap rate is assumed to be close to spot rate and hence it is 4.5% in the below equation : how do you easily spot whether this is spot rate or Swap rate.. (Is it because it is positive i.e. swap rate (equating to bond price) )...
Hi David, In Malz material Example 7.7 - the material reads "We assume a flat swap curve for all maturities : with a continuously compounded spot rate of 4.5%" so the swap rate is assumed to be close to spot rate and hence it is 4.5% in the below equation : how do you easily spot whether this...
Hi David, In Malz material Example 7.7 - the material reads "We assume a flat swap curve for all maturities : with a continuously compounded spot rate of 4.5%" so the swap rate is assumed to be...
rajeshtr
,
Mar 4, 2017
Replies:
0
Views:
70
rajeshtr
Mar 4, 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:
171
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:
129
Rohit
Feb 22, 2017
delaurentis - chapter 2 - recovery
I have read it many times now and still not 100 percent sure. But I guess the main point he makes is that Recovery depends heavily on the jurisdiction and type of contract and that this information is lost if you look at a Recovery from a generalized or global point of view. So from a model perspective (regarding estimation of Recovery) it would be very hard to incorporate the specific...
I have read it many times now and still not 100 percent sure. But I guess the main point he makes is that Recovery depends heavily on the jurisdiction and type of contract and that this information is lost if you look at a Recovery from a generalized or global point of view. So from a model perspective (regarding estimation of Recovery) it would be very hard to incorporate the specific...
I have read it many times now and still not 100 percent sure. But I guess the main point he makes is that Recovery depends heavily on the jurisdiction and type of contract and that this information is lost if you look at a Recovery from a generalized or global point of view. So from a model...
I have read it many times now and still not 100 percent sure. But I guess the main point he makes is that Recovery depends heavily on the jurisdiction and type of contract and that this...
farahm
,
Feb 5, 2017
Replies:
1
Views:
81
Daniel26
Feb 7, 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:
567
Daniel26
Feb 4, 2017
Learning spreadsheet P2.T6 Malz ch7
@David Harper CFA FRM Thanks for clearify that!
@David Harper CFA FRM Thanks for clearify that!
@David Harper CFA FRM Thanks for clearify that!
@David Harper CFA FRM Thanks for clearify that!
Linghan
,
Jan 27, 2017
Replies:
2
Views:
93
Linghan
Jan 30, 2017
effect of default probability on equity and mezzanine
Thanks @David Harper CFA FRM
Thanks @David Harper CFA FRM
Thanks @David Harper CFA FRM
Thanks @David Harper CFA FRM
southeuro
,
Nov 14, 2014
Replies:
15
Views:
1,341
Dhruv@L2
Jan 11, 2017
Cash-funded vs. syntethic CDO (borrower consent/notification)
Hi All, I wanted to raise the following topic and share my insights about Cash-funded vs. syntethic CDO and whether one of these requires the borrower notification/obtaining borrower consent? This could be of one of these tricky questions in the exam (similarly engineered questions have turned up at the exam in Nov. 2016) David, it would be much appreciated if we can have your take on this?...
Hi All, I wanted to raise the following topic and share my insights about Cash-funded vs. syntethic CDO and whether one of these requires the borrower notification/obtaining borrower consent? This could be of one of these tricky questions in the exam (similarly engineered questions have turned up at the exam in Nov. 2016) David, it would be much appreciated if we can have your take on this?...
Hi All, I wanted to raise the following topic and share my insights about Cash-funded vs. syntethic CDO and whether one of these requires the borrower notification/obtaining borrower consent? This could be of one of these tricky questions in the exam (similarly engineered questions have turned...
Hi All, I wanted to raise the following topic and share my insights about Cash-funded vs. syntethic CDO and whether one of these requires the borrower notification/obtaining borrower consent?...
emilioalzamora1
,
Dec 7, 2016
Replies:
0
Views:
87
emilioalzamora1
Dec 7, 2016
VaR question (Part 2 exam - members put other question you can recall)
I am stuck with this question too, I was thinking if 5% of loss on 25 loans (1% recovery rate) then that should be time 1.645 but the answer does not match!
I am stuck with this question too, I was thinking if 5% of loss on 25 loans (1% recovery rate) then that should be time 1.645 but the answer does not match!
I am stuck with this question too, I was thinking if 5% of loss on 25 loans (1% recovery rate) then that should be time 1.645 but the answer does not match!
I am stuck with this question too, I was thinking if 5% of loss on 25 loans (1% recovery rate) then that should be time 1.645 but the answer does not match!
arkabose
,
Nov 19, 2016
Replies:
1
Views:
221
frmpart2dan
Nov 19, 2016
GARP Part 2 Questions 76 and 33 (garp16-p2-76) (garp16-p2-33)
Just to add to the helpful comments already here: Question 76 is asking for the unconditional PD in year 4, which can be also answered by subtracting th 3-year cumulative PD from the 4-year cumulative PD: (1-5.5%)^4 - (1-5.5%)^3 = 4.64%. I like this calculation because to me it is somewhat intuitive: as the unconditional probability is the probability "from the perspective of today," if the...
Just to add to the helpful comments already here: Question 76 is asking for the unconditional PD in year 4, which can be also answered by subtracting th 3-year cumulative PD from the 4-year cumulative PD: (1-5.5%)^4 - (1-5.5%)^3 = 4.64%. I like this calculation because to me it is somewhat intuitive: as the unconditional probability is the probability "from the perspective of today," if the...
Just to add to the helpful comments already here: Question 76 is asking for the unconditional PD in year 4, which can be also answered by subtracting th 3-year cumulative PD from the 4-year cumulative PD: (1-5.5%)^4 - (1-5.5%)^3 = 4.64%. I like this calculation because to me it is somewhat...
Just to add to the helpful comments already here: Question 76 is asking for the unconditional PD in year 4, which can be also answered by subtracting th 3-year cumulative PD from the 4-year...
equanimity
,
Nov 17, 2016
Replies:
6
Views:
185
David Harper CFA FRM
Nov 18, 2016
Collateral can increase exposure?
I think Gregory is just illustrating an outlier possibility related to "the need to post collateral and parameters such as minimum transfer amounts create some risk above the threshold." The portfolio value -15 implies this party has posted collateral but the collateral amount is not continously accurate (per MTA and other parameters) such that $18 has actually been posted and $3 is due to be...
I think Gregory is just illustrating an outlier possibility related to "the need to post collateral and parameters such as minimum transfer amounts create some risk above the threshold." The portfolio value -15 implies this party has posted collateral but the collateral amount is not continously accurate (per MTA and other parameters) such that $18 has actually been posted and $3 is due to be...
I think Gregory is just illustrating an outlier possibility related to "the need to post collateral and parameters such as minimum transfer amounts create some risk above the threshold." The portfolio value -15 implies this party has posted collateral but the collateral amount is not...
I think Gregory is just illustrating an outlier possibility related to "the need to post collateral and parameters such as minimum transfer amounts create some risk above the threshold." The...
arkabose
,
Nov 17, 2016
Replies:
1
Views:
90
David Harper CFA FRM
Nov 17, 2016
CDS and CDS Index long or short
@David Harper CFA FRM , no probs! With the amount of hard work and support you are giving to this forum at this moment, little mistakes are not unexpected!
@David Harper CFA FRM , no probs! With the amount of hard work and support you are giving to this forum at this moment, little mistakes are not unexpected!
@David Harper CFA FRM , no probs! With the amount of hard work and support you are giving to this forum at this moment, little mistakes are not unexpected!
@David Harper CFA FRM , no probs! With the amount of hard work and support you are giving to this forum at this moment, little mistakes are not unexpected!
Johnny Firpo
,
May 13, 2014
Replies:
14
Views:
10,800
arkabose
Nov 14, 2016
Merton formula
Hi @Arnaudc Okay, right, as I actually look at Malz currently, you are correct about his assumption in the first step (page 219). Sorry to misrepresent him on that, thank you for pushing back, I learned something here!
(fwiw, my key influence is ) Malz page 219: "Example 6.3 (Merton Model): We apply the model to a firm that has an asset value of $140. We’ll assume the firm’s sole debt issue...
Hi @Arnaudc Okay, right, as I actually look at Malz currently, you are correct about his assumption in the first step (page 219). Sorry to misrepresent him on that, thank you for pushing back, I learned something here!
(fwiw, my key influence is ) Malz page 219: "Example 6.3 (Merton Model): We apply the model to a firm that has an asset value of $140. We’ll assume the firm’s sole debt issue...
Hi @Arnaudc Okay, right, as I actually look at Malz currently, you are correct about his assumption in the first step (page 219). Sorry to misrepresent him on that, thank you for pushing back, I learned something here!
(fwiw, my key influence is ) Malz page 219: "Example 6.3 (Merton Model): We...
Hi @Arnaudc Okay, right, as I actually look at Malz currently, you are correct about his assumption in the first step (page 219). Sorry to misrepresent him on that, thank you for pushing back, I...
shanlane
,
Mar 13, 2012
Replies:
10
Views:
1,482
David Harper CFA FRM
Nov 10, 2016
P2.T6.309. Default correlation, Malz sections 8.1 and 8.2
I am sorry. I goofed up. I had this question no. 74 in mind when I raised the query.
I am sorry. I goofed up. I had this question no. 74 in mind when I raised the query.
I am sorry. I goofed up. I had this question no. 74 in mind when I raised the query.
I am sorry. I goofed up. I had this question no. 74 in mind when I raised the query.
taunk
,
Oct 30, 2016
Replies:
2
Views:
101
taunk
Oct 30, 2016
GARP.FRM.PQ.P2
hazard rate (garp16-p2-33)
Hi @frmqiu Yes, the language in question 2016.P2.Q33 was reported earlier in the year as imprecise. I recall that GARP agreed with our feedback. @Deepak Chitnis is correct that the solution implicitly is the discrete conditional PD, but the phrasing suggests it wants a joint probability. Please see here for more detail
Hi @frmqiu Yes, the language in question 2016.P2.Q33 was reported earlier in the year as imprecise. I recall that GARP agreed with our feedback. @Deepak Chitnis is correct that the solution implicitly is the discrete conditional PD, but the phrasing suggests it wants a joint probability. Please see here for more detail
Hi @frmqiu Yes, the language in question 2016.P2.Q33 was reported earlier in the year as imprecise. I recall that GARP agreed with our feedback. @Deepak Chitnis is correct that the solution implicitly is the discrete conditional PD, but the phrasing suggests it wants a joint probability....
Hi @frmqiu Yes, the language in question 2016.P2.Q33 was reported earlier in the year as imprecise. I recall that GARP agreed with our feedback. @Deepak Chitnis is correct that the solution...
frmqiu
,
Oct 30, 2016
Replies:
3
Views:
115
David Harper CFA FRM
Oct 30, 2016
Merton drift in DD
Hi All, P2.T6.R43 I am trying to conceptually understand how the DD value is calculated statistically. The numerator is the expected value of the price, and the denominator is the standard deviation. My question relates to the numerator. Assume T-t=1 ln(Vo/K) is the current log "return" at T=0. We then add what I assume is the expected drift until maturity (r-(sig^2)/2). How am I supposed...
Hi All, P2.T6.R43 I am trying to conceptually understand how the DD value is calculated statistically. The numerator is the expected value of the price, and the denominator is the standard deviation. My question relates to the numerator. Assume T-t=1 ln(Vo/K) is the current log "return" at T=0. We then add what I assume is the expected drift until maturity (r-(sig^2)/2). How am I supposed...
Hi All, P2.T6.R43 I am trying to conceptually understand how the DD value is calculated statistically. The numerator is the expected value of the price, and the denominator is the standard deviation. My question relates to the numerator. Assume T-t=1 ln(Vo/K) is the current log "return" at...
Hi All, P2.T6.R43 I am trying to conceptually understand how the DD value is calculated statistically. The numerator is the expected value of the price, and the denominator is the standard...
The Great Khan
,
Oct 21, 2016
Replies:
0
Views:
113
The Great Khan
Oct 21, 2016
Total Return Swap (Crouhy) - Figure 12-7 - mistake?
many thanks, David! Apologies,I was referring to Crouhy's first edition in my question (there it is Figure 12-7). Now it makes good sense.
many thanks, David! Apologies,I was referring to Crouhy's first edition in my question (there it is Figure 12-7). Now it makes good sense.
many thanks, David! Apologies,I was referring to Crouhy's first edition in my question (there it is Figure 12-7). Now it makes good sense.
many thanks, David! Apologies,I was referring to Crouhy's first edition in my question (there it is Figure 12-7). Now it makes good sense.
emilioalzamora1
,
Oct 20, 2016
Replies:
3
Views:
143
emilioalzamora1
Oct 21, 2016
MtM and Exposure for Netting
Hi @arkabose Yes, agreed. Your circled item is from the source (Gregory) and it's not listed in his errata that I can see (). However, I agree with you. This looks like a mistake to me (sorry). Your second paragraph, of course, is CORRECT: in a fixed cross-currency swap, the counterparty who pays the higher interest rate has a positive expected future M2M; i.e., the higher relative rate, per...
Hi @arkabose Yes, agreed. Your circled item is from the source (Gregory) and it's not listed in his errata that I can see (). However, I agree with you. This looks like a mistake to me (sorry). Your second paragraph, of course, is CORRECT: in a fixed cross-currency swap, the counterparty who pays the higher interest rate has a positive expected future M2M; i.e., the higher relative rate, per...
Hi @arkabose Yes, agreed. Your circled item is from the source (Gregory) and it's not listed in his errata that I can see (). However, I agree with you. This looks like a mistake to me (sorry). Your second paragraph, of course, is CORRECT: in a fixed cross-currency swap, the counterparty who...
Hi @arkabose Yes, agreed. Your circled item is from the source (Gregory) and it's not listed in his errata that I can see (). However, I agree with you. This looks like a mistake to me (sorry)....
arkabose
,
Oct 19, 2016
Replies:
1
Views:
195
David Harper CFA FRM
Oct 20, 2016
Netting factor
Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
Thanks vm for the confirmation David. Makes sense with this lower bound. Rgds,
Kaiser
,
Oct 12, 2016
Replies:
2
Views:
213
Kaiser
Oct 12, 2016
GARP.FRM.PQ.P2
2016 GARP PQ - Question 52 -Netting
Hi @no_ming In this question, the type of instruments don't really matter as the question is giving you the mark-to-market value ("current market value"
of the positions. Credit exposure is max(value, 0). So the credit exposure here without netting is 54, but with netting it is only 21: Without netting: max(0, +21) + max(0, -33) + max(0, +33) = 54 With netting: max(0, 21 - 33 + 33) = 21
Hi @no_ming In this question, the type of instruments don't really matter as the question is giving you the mark-to-market value ("current market value"
of the positions. Credit exposure is max(value, 0). So the credit exposure here without netting is 54, but with netting it is only 21: Without netting: max(0, +21) + max(0, -33) + max(0, +33) = 54 With netting: max(0, 21 - 33 + 33) = 21
Hi @no_ming In this question, the type of instruments don't really matter as the question is giving you the mark-to-market value ("current market value"
of the positions. Credit exposure is max(value, 0). So the credit exposure here without netting is 54, but with netting it is only...
Hi @no_ming In this question, the type of instruments don't really matter as the question is giving you the mark-to-market value ("current market value"
of the positions. Credit exposure is...
no_ming
,
Sep 28, 2016
Replies:
1
Views:
185
David Harper CFA FRM
Sep 28, 2016
de Servigny, Chapter 3 - Spreadsheet
Hello @mh2452 Any spreadsheets that are not published under the individual readings are published under that topic's Topic Review section in spreadsheet bundles. So if you to into Topic 6, you will find the spreadsheet bundles for that topic. I hope this helps! Nicole
Hello @mh2452 Any spreadsheets that are not published under the individual readings are published under that topic's Topic Review section in spreadsheet bundles. So if you to into Topic 6, you will find the spreadsheet bundles for that topic. I hope this helps! Nicole
Hello @mh2452 Any spreadsheets that are not published under the individual readings are published under that topic's Topic Review section in spreadsheet bundles. So if you to into Topic 6, you will find the spreadsheet bundles for that topic. I hope this helps! Nicole
Hello @mh2452 Any spreadsheets that are not published under the individual readings are published under that topic's Topic Review section in spreadsheet bundles. So if you to into Topic 6, you...
mh2452
,
Sep 24, 2016
Replies:
1
Views:
118
Nicole Seaman
Sep 26, 2016
PQ-external
Excess spreads question~
Hi @no_ming Your question is good because sometimes default is assumed to refer to only the principal (as your solution infers), however here (in my opinion) the question does specify "accumulates 6.625 mm of losses from defaults and unpaid interest." And, this is natural (yes?): losses should refer to both unpaid principal and unpaid interest. So, given the phrasing, appropriate would be...
Hi @no_ming Your question is good because sometimes default is assumed to refer to only the principal (as your solution infers), however here (in my opinion) the question does specify "accumulates 6.625 mm of losses from defaults and unpaid interest." And, this is natural (yes?): losses should refer to both unpaid principal and unpaid interest. So, given the phrasing, appropriate would be...
Hi @no_ming Your question is good because sometimes default is assumed to refer to only the principal (as your solution infers), however here (in my opinion) the question does specify "accumulates 6.625 mm of losses from defaults and unpaid interest." And, this is natural (yes?): losses should...
Hi @no_ming Your question is good because sometimes default is assumed to refer to only the principal (as your solution infers), however here (in my opinion) the question does specify "accumulates...
no_ming
,
Sep 18, 2016
Replies:
3
Views:
185
David Harper CFA FRM
Sep 23, 2016
PFE & EE Question~
@no_ming Re: In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right? Yes, if you increase µ or σ then you are shifting or "expanding" (dispersing) the normal distribution, so the x% PFE will increase, in the same way that higher volatility or lower return will increase (absolute) value at risk because there x% tail (quantile) is further into loss...
@no_ming Re: In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right? Yes, if you increase µ or σ then you are shifting or "expanding" (dispersing) the normal distribution, so the x% PFE will increase, in the same way that higher volatility or lower return will increase (absolute) value at risk because there x% tail (quantile) is further into loss...
@no_ming Re: In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right? Yes, if you increase µ or σ then you are shifting or "expanding" (dispersing) the normal distribution, so the x% PFE will increase, in the same way that higher volatility or lower...
@no_ming Re: In another word, not only EE, if Sigma and mean increase, PFE, EPE etc. also increase, is that right? Yes, if you increase µ or σ then you are shifting or "expanding" (dispersing) the...
no_ming
,
Sep 15, 2016
Replies:
8
Views:
234
David Harper CFA FRM
Sep 16, 2016
PQ-external
CVA & credit limit question:
Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.
Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.
Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.
Mr. Harper, very clear explanation , thanks a lot. Dr. Jayanthi Sankaran, also thanks for your help.
no_ming
,
Sep 15, 2016
Replies:
3
Views:
197
no_ming
Sep 15, 2016
Equity tranche spread wrt correlation
Hello Sir, Can you please help me with the below question Question 1 Part a) Consider the following assets present in loan portfolio of IMT Bank Ltd, all the assets below are mortgage loans. Exposure 1 Exposure 2 Exposure 3 Portfolio Commitment $100,000,000 $120,000,000 ...
Hello Sir, Can you please help me with the below question Question 1 Part a) Consider the following assets present in loan portfolio of IMT Bank Ltd, all the assets below are mortgage loans. Exposure 1 Exposure 2 Exposure 3 Portfolio Commitment $100,000,000 $120,000,000 ...
Hello Sir, Can you please help me with the below question Question 1 Part a) Consider the following assets present in loan portfolio of IMT Bank Ltd, all the assets below are mortgage loans. Exposure 1 Exposure 2 Exposure 3 ...
Hello Sir, Can you please help me with the below question Question 1 Part a) Consider the following assets present in loan portfolio of IMT Bank Ltd, all the assets below are mortgage loans. ...
afterworkguinness
,
Nov 14, 2015
Replies:
8
Views:
2,082
Vishal Singh
Sep 10, 2016
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