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# Recent content by Jonathangao

1. ### P2.T6.322. Credit exposure metrics, continued

The three answers are: a. b. d. Please refer to textbook P.264-265
2. ### P2.T6.315. Tranche sensitivities in structure products

I think the answer to 315.1 is B, because statements a, c, and d was mentioned in the text book. I also have a question regarding the default01. The textbook points out that default01 is always positive, but the formula for default01 is: 1/20[(mean value/loss based on PD+0.1%)-(mean...
3. ### Merton model, a summary of the issues

Thanks a lot. Very clear explanation with perfect logic.
4. ### Merton model, a summary of the issues

@David Harper, Since this topic focus on the Merton Model, may I post a related question? The answer is to calculate the Dt by present value of D minus put option, my question is, why not using call option to calculate the Et directly? Many thanks

FRM