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Recent content by nansverma

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    Exam Feedback May 2019 Part 2 Exam Feedback

    I passed FRM Part I with 1111 and FRM Part II with 11132. Many thanks to BT and Special thanks to David for support and help in my preparation. I cannot imagine myself going through actual readings from GARP given the time constraints and work pressures. Great job by BT in careful construction...
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    CVA Questions

    Thanks David. Exam was fine, lets see ! Though besides exam, I am still more interested in learning how things work on ground :)
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    CVA Questions

    I have a basic question on CVA : Is it calculated on Profit/Loss value or the future value (which is unknown and hence we take expected value) ? Gregory talks about exposure and replacement cost which seems to be the expected future value and not loss value. Some examples for FRM exam just have...
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    Exam Feedback May 2019 Part 2 Exam Feedback

    I agree they were easy.
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    Exam Feedback May 2019 Part 2 Exam Feedback

    My feedback : The exam tried to trick by giving too much information and some of it also irrelevant information in at least few questions. I think it required reading the question carefully and then picking the relevant information from it. There were questions on SOFR and machine learning...
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    CDS vs TRS vs CLN

    This was an interesting and helpful topic to read on. Thanks everyone who contributed. In Crouhy notes on Securitization in Credit Risk Module, Page 31, I think the terminology for CLN is more like WIki :  In this structure there are no margin calls, and the maximum downside for the investor...
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    Economic Value Added (EVA)

    Thanks a lot David. That was very helpful explanation and clarification. Feel comfortable now, knowing what you mentioned about accuracy and sloppiness.
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    Economic Value Added (EVA)

    I apologize in advance if this is not the right post. A quick question about EVA (Economic Value Added). Study notes Crouhy, Page 17 - it is defined as : EVA (economic value added), or NIACC (net income after capital charge), is the after-tax adjusted net income less a capital charge equal to...
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    Gregory: CVA

    Thank you David. I looked at the other thread and didn't get a clear answer. @Nicole Seaman , I put it here as the other thread discusses CVA as function of credit spread and I thought my questions were different.
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    CVA increase/decrease with Credit spread

    Thanks for the detailed explanation. One comment around marginal default probability- I thought it is defined as {exp(-h*t_i) - exp(-h*t_(i-1))} , i.e. difference of cumulative probabilities for two times instead of just the differential of cumulative default probability.
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    Gregory: CVA

    Hi David, I have a couple of questions regarding CVA - 1. Risky Value = risk-free value - CVA. Is CVA here positive or negative ? My understanding is that its positive here as I would pay less for something risky than its risk-free value. Please clarify as Gregory notes shows it as negative...
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    Credit Exposure

    Thank you once again !
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    Credit Exposure

    Hi David, In gregory notes about expected exposure etc. - In Fig 7.14, EFV of a payer swap is always negative (seems like return %). First, I wanted to confirm EFV is just the expected value of all possible values , which is equivalent to fair value of the swap, is that correct ? If yes, is it...
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    Credit Exposure

    Thank you Nicole. I will keep in mind for future. Since my question was from the part just few pages after my initial question in the study notes, I ended up asking in the same thread. Having said that, yes my question is kind of answered as David's answer is what I expected to be the reason. In...
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    Credit Exposure

    One more thing : Gregory mentions exposure being proportional to sqrt (T). But isnt that the case when we talk about volatility or VaR(PFE) ? If we are just talking about expected exposure, then that would be proportional to just T ?
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