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  1. Arka Bose

    Gregory - Chapter 15 - Wrong-way Risk

    thanks David, yes all i could understand is that he was referring to conditional EE while making the statement. But still the relationship he stated is still puzzling me. If you come to the terms of it sometime, please do let it come in the notes or in the forum! Thanks a lot!
  2. Arka Bose

    Gregory - Chapter 15 - Wrong-way Risk

    Hi, in gregory's chapter, at first he says if there is a positive correlation of exposure and default probability (or negative correlation between credit quality and exposure as u guys said it) there will be wrong way risk. The very next line, he comes to a conclusion saying "Wrong Way risk...
  3. Arka Bose

    Reinvestment rate w.r.t Term structure of yield curve

    I have one question though. Lets look at case 2, the cash flow at the end of second year $50, in your excel, it seems u have taken 3% rate. Shouldnt the reinvestment rate be 1% as only 1 year is remaining and we are having unchanged TS? Similar thing u have done in case 3
  4. Arka Bose

    Reinvestment rate w.r.t Term structure of yield curve

    Thanks a lot David! The unchanged term struture is the main thing to look at i got it now!
  5. Arka Bose

    Reinvestment rate w.r.t Term structure of yield curve

    Hi @David Harper CFA FRM and all, This is not related to FRM, but still concept applies, so I am asking here. In the CFA L3 textbook, this para is given: "In general, for an upward-sloping yield curve, the immunization target rate of return will be less than the yield to maturity because of...
  6. Arka Bose

    Whatsapp 2016 FRM Part 2 Group (Inactive)

    yes, plz follow the link in whatsapp
  7. Arka Bose

    Exam Feedback November 2016 Part 2 Exam Feedback

    passed :) 21121
  8. Arka Bose

    I passed Part 2!!! Thanks to you BT guys!! (Not only David but many people on the forum who were...

    I passed Part 2!!! Thanks to you BT guys!! (Not only David but many people on the forum who were active)
  9. Arka Bose

    VaR question (Part 2 exam - members put other question you can recall)

    There are 500 loans (1 million each) in a portfolio, each having a probability of default of 4%. It is estimated that 25 loans in a portfolio will default with a probability of 5%. What is the 95% value at risk? (I am pretty sure this was the question, however, those who gave part 2 think I am...
  10. Arka Bose

    Exam Feedback November 2016 Part 2 Exam Feedback

    It was tough!!!!! Too many item set type questions like we get in cfa!!
  11. Arka Bose

    good luck everyone!

    good luck everyone!
  12. Arka Bose

    Collateral can increase exposure?

    Gregory has given a scenario where he says Portfolio value is -15 and collateral value is -18. Thus benefit with collateral is -3. (BT notes, Gregory Chapter 8, Pg 72) He says thus, in this scenario, collateral can increase exposure. My question is why should i look at the value of collateral...
  13. Arka Bose

    CDS and CDS Index long or short

    @David Harper CFA FRM , no probs! With the amount of hard work and support you are giving to this forum at this moment, little mistakes are not unexpected! :P :)
  14. Arka Bose

    CDS and CDS Index long or short

    I am thinking Crouch's example like this: The tranche is divided into Senior of $100 and subordinate of $20. Now, sine the subordinate has to first absorb the losses, they are long on the $20 tranche which i term as subordinate. Thus, essentially, they are short CDS for this $20. The bank has to...
  15. Arka Bose

    Whatsapp 2016 FRM Part 2 Group (Inactive)

    Hi use this link to join our grp https://chat.whatsapp.com/DV5bwaI4q0iIE2jx1uzeC9 Thanks
  16. Arka Bose

    MtM and Exposure for Netting

    Hi, I was reading Gregory from the notes where I came across one confusing part. Now the red encircled one is I think contradictory to what is written here: I believe the first image has wrong info? as I dont see the reason why there is not going to be any negative MtM value in case of...
  17. Arka Bose

    Whatsapp 2016 FRM Part 2 Group (Inactive)

    i am in the same line as you. However, I have started revising again
  18. Arka Bose

    Understanding N(d2) of Black Scholes

    Understanding the N(d2) is quite important as it is not only required in option pricing but also required to value debt and model probability of default which is very much prevalent in the part 2 curriculum. I learnt a lot from here, anybody can have a look...
  19. Arka Bose

    Delivery squeeze

    @DR Sankaran, thanks for taking your time and writting such a detailed explanation. I am just confused about the usage of the word 'value' in terms of CDS. Since the author used 'value of CDS leg falls' when there is default, I am confused that whether the value here means higher spread or...
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