What's new

Search results

  1. E

    Callable bonds on discount and premium

    Hi, I can take a guess to help you with this question: Callable bonds would be traded at a discount compared to a plain vanilla bond because the embedded call option gives the bond issuer the option of calling the bond back at a fixed strike price. Callable bonds would theoretically have...
  2. E

    Win prizes for forum participation!!

    Thank you Nicole. This is a pleasant surprise. I appreciate all the work that goes into maintaining the forums and answering all our questions. It'd be lovely to get the $15 Amazon gift card. Cheers, Evelyn
  3. E

    WCS worst case scenario

    Indeed. Thank you David. If you code it, it would be interesting to see a snippet of the result.
  4. E

    WCS worst case scenario

    Thanks David. This helps me IRL as this question was posed to me by a superior. i.e., can you look into reporting the "worst case scenario" instead of VaR based risk metric. I am very relieved that you confirmed my (rudimentary) understanding of this concept!
  5. E

    WCS worst case scenario

    Thanks Nicole for directing me to this post. The spreadsheet contained in this thread is very helpful.
  6. E

    WCS worst case scenario

    Hi David, I'm having concrete grasp of the WCS concept. I find your learning spreadsheet to be always helpful to get in depth understanding. I tried to look for how WCS is generated online but unfortunately have not had any luck. If you have done a WCS spreadsheet example before, I would really...
  7. E

    Website Trouble

    Yes I have the same experience. Same question as to ETA for restore. Thanks, Evelyn
  8. E

    Errors Found in Study Materials P1.T4. Valuation & Risk Models

    Hi, I found some youtube videos on ULCi and spreadsheet on 2 asset ULC calculation. So please ignore the latter part of my comment. Thanks, Evelyn
  9. E

    Errors Found in Study Materials P1.T4. Valuation & Risk Models

    Hi David, On page 9 of the Study Notes for P1.T4 Schroeck's Chapter 14 on Capital Structure in Banks, under section "Describe how economic capital is derived", "Step 3. Estimation of Unexpected Loss Contribution (ULC) to the lending portfolio as a function of expected loss, weight of the loan...
  10. E

    Valuation & Risk Models / Hull, Chapters 13, 15 & 19 / Instructional Video: Hull, Chapters 13, 15 &

    Hi Nicole, In the video for Chapter 15; the spreadsheets discussed in slides 23 and 38 are not found in the learning spreadsheet for Chapter 13, 15 and 19. Is there anyway they can be posted? Many thanks, Evelyn
  11. E

    VaR spreadsheet

    Hi Nicole, I'm going over David's video for Allen Chapter 3 Putting VaR to work. I couldn't find a thread that talks about this in particular so I'm hoping you can help me out. On Slide 45 of 52 David has this Excel spreadsheet that I wish to follow along with formulas. I can't find it as...
Top