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Recent content by patriciar

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    confusion with effect of recessions on High yield bonds return

    Hi David, this statement clearly helps me understand the relationship between price-yield-return-expected return and-spread. The conclussion I get is that I should not be comparing the study's results of different authors as they both can be true in their respective samples. I hope GARP just...
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    confusion with effect of recessions on High yield bonds return

    Yes, David, Your explanation of spreads and CDS basis certainly helps. But it still sounds weird to read that prices decline are related to asset returns drops, I guess we can not say price declines when asset returns drops, but the other way around, and, I guess we are not referring to yields...
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    confusion with effect of recessions on High yield bonds return

    Hi David, First of all, I just wanted to say that your answers are always really helpful. Thank you for helping me during late hours (I hope you were able to rest)!. 1st : Maybe I am missunderstanding the mechanics of the spread, you said "reacted to COVID with price declines (aka, spread...
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    confusion with effect of recessions on High yield bonds return

    Hi David, Trying to get the whole idea of book 5, I found something that sounds weird: (previously have looked through the existing threads and there is no discussion about this) On reading "When selling becomes viral" (current issues) the author gives 2 ideas : 1st: during the Covid crisis...
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    GARP.FRM.PQ.P2 Credit VaR - About diversification in IRB approach~

    Hi David, I am not sure where to post my doubt as I haven't found a thread that answers my question: In Basel II it is true that the capital for credit risk equals EAD*LGD*MA*(WCDR-PD), which essentially represents VaR(worst case)-ExpectedLosses, and where Capital is posted for UnexpectedLosses...
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    Stress testing & scenarios analysis

    Hi David, I have a doubt about whether “Stress Testing” is a Qualitative or Quantitative measure? On reading “Implementing Robust RAF” it says that VaR has drawbacks such that it does not account for nonquantifiable risks, that is why stress testing is needed to provide a “qualitative view”...
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    Understanding Credit-Linked Notes

    Many Thanks David!! All clear now :)
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    Understanding Credit-Linked Notes

    Hi David, I understand the structure of CDS and CLN but this thing about still bearing credit risk is confusing me. Could you explain me this? GARP says, it is the protection buyer (issuer of the CLN) who is retaining the risk of default of the asset portfolio above and beyond the collateral...
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