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...
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.
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!
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...
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...
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?
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...