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...
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...
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...
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...
When will you post spreadsheets for some calculation in study notes?
I have trouble understanding the calculation on page 33/137 in Market Risk Study Notes.
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