Dear @David Harper CFA FRM I woudl kindly ask for some literature that could be reference for this topic ( at this moment only have Antonio Castagna, Francesco Fede-Measuring and Managing Liquidity Risk-Wiley (2013) , but there are topics more related to prepayment modelling of mortgages, and...
Sorry if missed something, but why do you think that RF should be stated in the question? It could be derived from the equations?
Maybe irrelevant but I am afraid I am missing something methodologically important.
Thanks in advance
Dear David ,
I will kindly ask for help regarding this topic. Suppose if I want to quantify market and funding liquidity risk separately.
Under this my first taught is:
- for funding liquidity risk what will be PnL loss in case of utilizing expensive sources of funding ( suppose negative...
Thanks a lot for video lectures they are much inspiring Still I was little bit confused with all these different names duration, modified duration, Macauly duration,.. etc...I will shortly examine mine view of this and kindly ask you to comment ( but without laughing:))
This is dummy question so was not sure where to put it..when I enter on mine BA II Plus calculator ( by this order):7%+6% = I am receiving 0.0742? Please advice to whom to contact regarding this since it is time wasting issue stopping me in question set working! Thanks a lot in...