Hi guys, I went over topic of economic capital chapter and got a confusion.
the book says Economic Capital charge for Market risk
also, credit capital charge=capital factor*market value of position.
My confusion is that what's the difference between Basel MRC CRC method...
Hi, does anyone has any idea about RBA SF IAA of asset securitization? I did not quit get,
I wonder which part of capital charge responsible for securitization? Market Charge or Credit Charge? the book said IRB approach allow three method to calculate the capital requirement: RBA SF IAA, does...
17. The bank’s trading book consists of the following two assets:\
Correlation (A, B) = 0.2
How would the daily VaR at 99% level change if the bank sells 50 worth of asset A and buys 50 worth of asset B? Assume there are 250 trading days in a year.
Hi guys, I wanna ask a simple question regarding VaR.
I remembered that Var(N days)=Var(1 day)*sqrt(N days) right?
and the following is two types of VaR, my question is which one fit above equation?
Relative VaR = Portfolio value * (volatility * normal deviate)
Absolute VaR= Portfolio value...
Hi does anyone knows why should we set a ratio equal to 8%? in another word, why just like
Total capital>=Credit risk capital + Market risk capital + Operation Risk Capital, why should we times 12.5 on each part and finally time 8% again?
Hi David, I got a problem which has confused me for a long time, what's the difference between support tranche and equity tranche? Does it true that the senior tranche in CMO will not suffer any concentration risks and extension risks, since support tranche will cover first? but the senior...