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:
1,112
bpdulog
May 17, 2017
Learning spreadsheet P2.T6 Malz ch7
Hi @David Harper CFA FRM , wanted to clarify (this is a dumb question). Are we expected to calculate the z-spread w/ our calculator on the Part II exam?
Hi @David Harper CFA FRM , wanted to clarify (this is a dumb question). Are we expected to calculate the z-spread w/ our calculator on the Part II exam?
Hi @David Harper CFA FRM , wanted to clarify (this is a dumb question). Are we expected to calculate the z-spread w/ our calculator on the Part II exam?
Hi @David Harper CFA FRM , wanted to clarify (this is a dumb question). Are we expected to calculate the z-spread w/ our calculator on the Part II exam?
Linghan
,
Jan 27, 2017
Replies:
3
Views:
149
trigg989
Jul 21, 2017 at 8:27 PM
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?
Hend Abuenein
,
May 1, 2012
...
2
Replies:
25
Views:
23,030
Mohammed.qureshi
Jul 17, 2017 at 2:57 PM
Impact of Default Correlations on EL
@David Thank you! I will contact him about this. Nicole
@David Thank you! I will contact him about this. Nicole
@David Thank you! I will contact him about this. Nicole
@David Thank you! I will contact him about this. Nicole
VinayB
,
Jul 1, 2017
Replies:
4
Views:
68
Nicole Seaman
Jul 13, 2017
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...
Hermz29
,
Jul 10, 2017
Replies:
3
Views:
70
emilioalzamora1
Jul 11, 2017
KMV Distance to Default
Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15 of these firms defaulted after one year. The expected default frequency for the company = 15/2000...
Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15 of these firms defaulted after one year. The expected default frequency for the company = 15/2000...
Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular company we compute and get a DD of 3. To compute EDF, 2000 companies last year has a DD of 3, and 15...
Was trying to implement KMV model for PD estimation. One doubt, after estimating the DD (distance to default) how to map the same to Expected default frequency. For example, “For a particular...
ChadWOB
,
Mar 20, 2012
Replies:
7
Views:
2,878
dev
Jun 30, 2017
Malz Chapter 8:Portfolio Credit Risk
Hi @kik92 Yes, you are almost certainly correct: the exam cannot realistically ask you for most of the calculations above. I remind you that, above, we re-created Malz Table 8.1 for those who want a concrete understanding (which I realize takes extra time). However, let me just quickly gin up a conceptually similar question that could be asked: A portfolio contains five bonds each with i.i.d....
Hi @kik92 Yes, you are almost certainly correct: the exam cannot realistically ask you for most of the calculations above. I remind you that, above, we re-created Malz Table 8.1 for those who want a concrete understanding (which I realize takes extra time). However, let me just quickly gin up a conceptually similar question that could be asked: A portfolio contains five bonds each with i.i.d....
Hi @kik92 Yes, you are almost certainly correct: the exam cannot realistically ask you for most of the calculations above. I remind you that, above, we re-created Malz Table 8.1 for those who want a concrete understanding (which I realize takes extra time). However, let me just quickly gin up a...
Hi @kik92 Yes, you are almost certainly correct: the exam cannot realistically ask you for most of the calculations above. I remind you that, above, we re-created Malz Table 8.1 for those who want...
kik92
,
Jun 4, 2017
Replies:
3
Views:
88
David Harper CFA FRM
Jun 7, 2017
Describe a waterfall structure in securitzation
Thank you David
Thank you David
Thank you David
Thank you David
kik92
,
May 23, 2017
Replies:
2
Views:
96
kik92
May 24, 2017
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:
131
bpdulog
May 19, 2017
P.2 Credit VaR
@bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback" (e.g., ask for consistency in definitions). Thanks,
@bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback" (e.g., ask for consistency in definitions). Thanks,
@bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE: official guidance from GARP? I don't know what you mean, exactly, sorry. Primarily I "upload feedback"...
@bpdulog Yes, I agree with that solution, I feel like it's almost the only calculation you can make with that information, including (i) assume it's a 95.0% CVaR and (ii) assume CVaR = UL. RE:...
chopin
,
Feb 15, 2017
Replies:
7
Views:
107
David Harper CFA FRM
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:
58
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:
703
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:
101
Abhijit CMA
May 14, 2017
Hedge Risky Bond with T-Bond futures : is there operational risk?
Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
Thanks David. Yes it clarifies in detail (Single Factor Vs multiple buckets, Convexity, basis risk) and also needs dynamic hedging as the factors change.
rajeshtr
,
May 11, 2017
Replies:
4
Views:
31
rajeshtr
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:
813
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:
168
bpdulog
May 13, 2017
Hazard Rates and probability of survival
Thanks!!
Thanks!!
Thanks!!
Thanks!!
Kashif Khalid
,
May 16, 2016
Replies:
11
Views:
2,024
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:
4,081
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:
626
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:
364
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:
227
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:
294
Biju
Apr 19, 2017
Effect of time to maturity on sub bonds
Hi @irwinchung Yes, I think yours is a great simplifying frame. Two key drivers of the subordinated debt value are "optionality" (or I might say "net volatility effect"
and the present value effect of discounting debt. The "optionality" is subtle/complex because in the model subordinated debt = [call option on firm's assets with K = senior debt] - [call option on firm assets K = total...
Hi @irwinchung Yes, I think yours is a great simplifying frame. Two key drivers of the subordinated debt value are "optionality" (or I might say "net volatility effect"
and the present value effect of discounting debt. The "optionality" is subtle/complex because in the model subordinated debt = [call option on firm's assets with K = senior debt] - [call option on firm assets K = total...
Hi @irwinchung Yes, I think yours is a great simplifying frame. Two key drivers of the subordinated debt value are "optionality" (or I might say "net volatility effect"
and the present value effect of discounting debt. The "optionality" is subtle/complex because in the model subordinated...
Hi @irwinchung Yes, I think yours is a great simplifying frame. Two key drivers of the subordinated debt value are "optionality" (or I might say "net volatility effect"
and the present value...
irwinchung
,
Apr 13, 2017
Replies:
1
Views:
27
David Harper CFA FRM
Apr 15, 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:
564
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:
142
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:
183
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:
109
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:
1,789
bpdulog
Apr 12, 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:
8,992
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:
92
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:
931
David Harper CFA FRM
Apr 5, 2017
Showing threads 1 to 30 of 560
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...