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P2.T6. Credit Risk (25%)
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Errors Found in Study Notes P2.T6. Credit Risk
Hello @RobKing Please see our updated materials list here in the forum: . The updated Gregory notes have not yet been published in the Study Planner. If it is showing a "New" symbol in the study planner, it may be because we updated a small error in the document or we updated the actual webpage that it is published on. When a new or updated set of notes is published, I always make sure to...
Hello @RobKing Please see our updated materials list here in the forum: . The updated Gregory notes have not yet been published in the Study Planner. If it is showing a "New" symbol in the study planner, it may be because we updated a small error in the document or we updated the actual webpage that it is published on. When a new or updated set of notes is published, I always make sure to...
Hello @RobKing Please see our updated materials list here in the forum: . The updated Gregory notes have not yet been published in the Study Planner. If it is showing a "New" symbol in the study planner, it may be because we updated a small error in the document or we updated the actual...
Hello @RobKing Please see our updated materials list here in the forum: . The updated Gregory notes have not yet been published in the Study Planner. If it is showing a "New" symbol in the study...
Nicole Seaman
,
Aug 5, 2015
Replies:
12
Views:
1,001
Nicole Seaman
Mar 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:
59
David Harper CFA FRM
Apr 21, 2017 at 2:57 PM
GARP.FRM.PQ.P2
2016 GARP PQ - Question 5 - CDS (garp16-p2-5)
@bpdulog Sure thing! Although I've revised all of Hull P1, I haven't gotten to the Hull P2 XLS revisions yet. I agree about the (lack of) a pricing change. I tested at several different maturities and I wish I had more time to explore the exact reason why there is basically no change. My expectation actually (was) to see an inflation trend; e.g., extending adds a cost, sort of like a term...
@bpdulog Sure thing! Although I've revised all of Hull P1, I haven't gotten to the Hull P2 XLS revisions yet. I agree about the (lack of) a pricing change. I tested at several different maturities and I wish I had more time to explore the exact reason why there is basically no change. My expectation actually (was) to see an inflation trend; e.g., extending adds a cost, sort of like a term...
@bpdulog Sure thing! Although I've revised all of Hull P1, I haven't gotten to the Hull P2 XLS revisions yet. I agree about the (lack of) a pricing change. I tested at several different maturities and I wish I had more time to explore the exact reason why there is basically no change. My...
@bpdulog Sure thing! Although I've revised all of Hull P1, I haven't gotten to the Hull P2 XLS revisions yet. I agree about the (lack of) a pricing change. I tested at several different maturities...
no_ming
,
Oct 1, 2016
Replies:
12
Views:
434
David Harper CFA FRM
Apr 20, 2017 at 11:04 PM
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:
158
Biju
Apr 19, 2017 at 9:04 PM
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:
479
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:
51
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:
130
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:
45
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:
1,663
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:
21,379
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:
7,403
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:
61
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:
764
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:
73
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:
2,709
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:
118
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:
138
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:
89
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:
112
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:
201
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:
195
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:
607
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:
117
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:
1,428
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:
111
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:
239
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:
212
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:
112
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:
11,898
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:
1,524
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:
116
taunk
Oct 30, 2016
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