What's new

Search results

  1. V

    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
  2. V

    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
  3. V

    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...
  4. V

    Spectral Risk Measure

    Hello David, I have a clarification on the implication of spectral risk measure. What does it convey? Since we are taking weighted average of of quantiles (weights being calculated as per Dowd's formula' or assigned according to discretion), should I understand the spectral risk measure as the...
  5. V

    Implied Volatility

    Hello David, Can you please explain why the Implied volatility of calls is different from puts in real markets. As per Hull, the IV of call and puts have to be same. But when I look into actual markets, the data is otherwise. I tried to google around, but could not find a convincing answer...