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Recent content by vijayaraghavan sundararajan

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    Securitisation -Attachment point & Detachment point

    Will there be a case where the attachment point and detachment point be same? The reason being under Basel standardized method when A=D, then risk weight of 1250% is applied. Hence needed to clarify if Attachment point can be same as detachment point. Thanks in advance, Vijay
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    effect of default probability on equity and mezzanine

    @[email protected] Sorry my friend. I know only the how and not the why of it.. I go with the assumption that it is the nature of the instrument and mezzanine exhibits more convexity than equity/senior. Also the relevance of CVAR in this has to be much appreciated by linking it with the capital...
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    effect of default probability on equity and mezzanine

    @Delo and @[email protected]: Please refer the attached excel which shows the impact on increasing PD and correlation (while keeping either of it constant) on CVAR in various tranches of CDS. Whilst I could solve for the impact in equity and senior, I found it bit manually cumbersome (read as excel) to...
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    Certified FRM

    Certified FRM
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    Difference between Marginal and incremental VAR

    @Stuti I believe that we are trying to calculate the % of portfolio Variance that's been contributed by the asset, hence the covariance (asset, portfolio) is divided by the portfolio variance.
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    Thanks @ShaktiRathore Your insight and help is very much appreciated as always.. Thanks again.
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    Thanks @ShaktiRathore . I would appreciate if you would suggest which among the above is most credible and as competitive as FRM. Thanks in advance
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    Can any one please help us with the above?
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    Passes FRM-2 with 21212 Thanks a lot @David Harper CFA FRM
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    Cannot disagree on this. Happy reading :)

    Cannot disagree on this. Happy reading :)
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    Technical error in replying to the thread

    @Nicole Manley many thanks for that
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    Technical error in replying to the thread

    @Nicole Manley @David Harper CFA FRM CIPM I am not able to reply to the thread P2.T5.506. Risk-free rate versus LIBOR and the overnight indexed swap (OIS) rate and the page says that I do not have enough privelages. Could you please fix it. Rg, Vijay
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    OIS discounting

    @afterworkguinness , thanks a lot for your offer for help. I am only concerned about the relevance of this subject as BT does not have any videos on that and neither do schweser notes cover this topic in depth, hence I am bit clueless. I will let you know if I have any doubts on that.. Thanks...
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    OIS discounting

    Hello @Nicole Manley @David Harper CFA FRM CIPM , For FRM part-2, Chapter 9 from Hull's Futures, options and other derivatives-9th edition is the assigned reading. Do BT has any instructional videos on that? I could not find any videos under the readings. How important is this topic from exam...
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    Marginal CVA vs Incremental

    Hello, The concept of Marginal CVA or Incremental CVA can be explained from the point of view of exposure, i.e. marginal and incremental exposure. The formula for CVA is (1-LGD) * Sum product of exposure*PD*Discount factor for various periods in future. Replacing the exposure with marginal...