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,
Sorry my friend. I know only the how and not the why of it..
I go with the assumption that it is the nature of the instrument and mezzanine exhibits more convexity than equity/senior.
Also the relevance of CVAR in this has to be much appreciated by linking it with the capital...
@Delo and @[email protected]:
Please refer the attached excel which shows the impact on increasing PD and correlation (while keeping either of it constant) on CVAR in various tranches of CDS.
Whilst I could solve for the impact in equity and senior, I found it bit manually cumbersome (read as excel) to...
@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.
@afterworkguinness , thanks a lot for your offer for help.
I am only concerned about the relevance of this subject as BT does not have any videos on that and neither do schweser notes cover this topic in depth, hence I am bit clueless.
I will let you know if I have any doubts on that..
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...
The concept of Marginal CVA or Incremental CVA can be explained from the point of view of exposure, i.e. marginal and incremental exposure.
The formula for CVA is (1-LGD) * Sum product of exposure*PD*Discount factor for various periods in future. Replacing the exposure with marginal...
Thanks David for your answer which is really impressive as always..
So if I had understood it correctly,
If we had sliced the distribution into more granular slices to get a value of 1.854, did you mean to say that this value of 1.854 will be the same across the board and its only the...
Many thanks for your meticulous and ardent effort to clarify my doubt.
Despite your stupendous answer, I am still confused and here is why.
I am still under the impression that the z value is the number of standard deviations from the mean, because if we have to calculate...