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  1. M

    Question on SaR

    I have a question on study note. On Page 26: Another Example: Alternative approach How to calculate Surplus at Risk (SaR) which is $18.1 in this example? Could you provide a spreadsheet? On page 25, there is another example. It seems for me SaR calculated for this example is using a different...
  2. M

    Question on Hedge Fund Arbitrage Trade Example

    I have a question on study note. On page 76, for Arbitrage Trade example: Under Downside: how to calculate loss on bond position: $200 per bond?
  3. M

    Question about marginal default probability

    I have a question on Credit Risk Study Note Page 90. Marginal default probability = lambda*exp(-lambda*t). Under the formula, it says that "This is always a positive number, since default risk "accumulates", i.e. the probability of default increases for longer horizons. If lambda is small...
  4. M

    Question on Credit Risk Study Note

    On Credit Risk Study note: Page 19 (the number displayed at the right bottom corner) 35.6 According to Ashcraft, in a structured credit product (ABS), the equity tranches prefer higher correlation; i.e. ceteris paribus the equity tranch is less risky as the default correlation increases and...
  5. M

    Why IO has negative effective duration?

    I understand IO benefits from rising interest rate, i.e. interest rate increase -> prepayment slow -> IO keeps getting interest. Does it mean when interest rate increases, the value of IO increases? Effective duration is a measure of slope or sensitivity between price and interest rate. So why...
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