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  1. R

    MTM for an equity swap

    how does one mtm an equity swap ? discount the total return vs the libor plus spread and net it? does anyone know as this method would be difficult? Thanks
  2. R

    Equity swaps

    How does the industry mark a plain vanilla equity swap and what risk measures are associated with an equity swap ---equity delta only i think Thanks
  3. R

    CDS premiums

    Hi David: If a single name CDS has a spread of say 800 bps is the the quarterly premium paid by the buyer 200 bps of the notional..also if that is the case is this fixed for the life of the swap or flutuates with the market. Also the 800 bps spread is over what and what is the relation to...
  4. R

    After the FRM

    The FRM has given me a solid foundation. I wanted to know if David or someone nows of a book or paper that takes the knowledge and applies it extensively to the real life examples. Portfolio risk and how do risk managers view and interpret risk. Let me know cheers
  5. R

    time and dollar weighted

    Hi david: Any spreadsheet on this that I can explore? Need to work through a couple of examples pre level 2 thanks Rick
  6. R

    videos 8d and 8e

    Hi david when will 8d and 8 e be ready to view thanks
  7. R

    Increamental VAR

    Hi David: In one of your practice questions, if we will wanted the incremental VAR of of the CAD positions why is USD removed? 2.6. C. $592,000 (component VaR) and $329,000 (incremental VaR) Since beta = Cov/Var = (correlation * volatility * volatility) / variance --> correlation = beta...
  8. R

    VAR using POT

    Hi David: I noticed that the calculation for VAR has n/N u as an input… in the examples, I noticed that the Nu/n is used. In other words, the reciprocal. Is this a typo or are the examples assuming we know the difference. Thanks Rick
  9. R

    Tuckmans' Term structure

    Hi David: I am going through chapter 9 in tuckman's term. I used the main concepts from a qualitative view but am trying to figure out how much I will need to do from a quatitative point. Are we expected to price a CMS. Please provide your insight. thanks Rick
  10. R

    Formula sheet level 2

    Hi David: Do we have a formula sheet for level 2 2012? Also I hear the exam is not as challenging as the level 1. Wanted to get your thoughts...being that a level 1 passes can only take it should increase the competition a bit cheers Rick
  11. R

    Fixed Income Mapping

    Hi David: Will fixed income mapping--principal, duration and cash flow mainly be a qualitative topic. It does say list the describe. I did your questions on the interpolation of duration mapping but should I sprend time on these. let me know thanks Rick
  12. R

    BEY for MBS

    Hi david: I am able to calculate the BEY of the MBS. However, in reference to calculating the nominal spread through an interpolate process, well it is rather confusing. We will need to calculate this and if so can you please comment on the procedure if possible. Thanks Rick
  13. R

    MBS

    Hi David: I noticed that the effective duration for MBS differed to the effective duration of a regular bond. V- - V+ vs V+ - V- (MBS) on the numerator. Wanted ensure this is not a typo and if not the logic behind it. Thanks Rick
  14. R

    Duration

    If the coupon increases does the duration increase or decrease. Think it decreases due to faster cash flows but is this the true reason. Thanks Rick
  15. R

    Merton/KMV ND formula

    Hi David: What is the difference between your PD formula you have for the KMV model verses the N(d) formula you have in the merton model when we calculate the FN(d1) – Xert(Nd2) ? I am thinking it is the drift? Am I correct in the accessment? thanks
  16. R

    Merton-KMV DD

    Hi David: What is the main difference in the N(d) in the Merton and KMV definitions? You have two formulas? Is it main the incorporation of the drift component? thx
  17. R

    hazard rate

    Is the hazard rate = default intensity rate = PD are these used interchangably? Thanks
  18. R

    Merton/KMV

    Hi david: For the Merton/KMV model, we are asked to calculate equity with using F Nd1 – X e-rt Nd2 I know how to calculate if given the Nd1 and Nd2. My question to you is whether we will be given the Nd1 and Nd2. Also taking DD and calculating the PD using Merton should not be a requirement...
  19. R

    Credit linked Note

    Hi David: Does the issuer of the CLN need to own the reference asset.? The buyer of the protection. How much of the note must be issued? just enough max the potential loss if the reference asset defaulted and what is the yield enhancement to the investor? perhaps if you provide me with the...
  20. R

    Marginal/Conditiona VARS

    Hi David: Is it necessary to know all the Marginal (2) and the Component(3) VAR calculations? Jorion has several ways of slicing and dicing it up thanks Rick
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