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  1. J

    P2.T6.322. Credit exposure metrics, continued

    The three answers are: a. b. d. Please refer to textbook P.264-265
  2. J

    P2.T6.315. Tranche sensitivities in structure products

    I think the answer to 315.1 is B, because statements a, c, and d was mentioned in the text book. I also have a question regarding the default01. The textbook points out that default01 is always positive, but the formula for default01 is: 1/20[(mean value/loss based on PD+0.1%)-(mean...
  3. J

    Merton model, a summary of the issues

    Thanks a lot. Very clear explanation with perfect logic.
  4. J

    Merton model, a summary of the issues

    @David Harper, Since this topic focus on the Merton Model, may I post a related question? The answer is to calculate the Dt by present value of D minus put option, my question is, why not using call option to calculate the Et directly? Many thanks
  5. J

    FRM

    FRM
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