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  1. K

    Malz Chapter 8:Portfolio Credit Risk

    Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine
  2. K

    Describe a waterfall structure in securitzation

    Hi David, Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk) On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...
  3. Nicole Seaman

    errata Errata for Malz Financial Risk Management: Models, History and Institutions 2016-10-14

    Errata for Financial Risk Management: Models, History and Institutions Allan M. Malz March 30, 2013
  4. Nicole Seaman

    P2.T7.511. Transaction liquidity risk and liquidity-adjusted VaR (Malz)

    Learning outcomes: Identify the main sources of transactions liquidity risk. Calculate the expected transactions cost and the 99 percent spread risk factor for a transaction. Calculate the liquidity-adjusted VaR for a position to be liquidated over a number of trading days. Questions: 511.1...
  5. Nicole Seaman

    P2.T7.510. Balance sheet leverage (Malz)

    Learning outcome: Explain the impact on a firm’s leverage and its balance sheet of the following transactions: purchasing long equity positions on margin, entering into short sales, and trading in derivatives. Questions: 510.1. On opening day, Lever Brothers Multistrategy Master Fund LP has...
  6. Nicole Seaman

    P2.T7.509. Collateral markets (Malz)

    Learning outcomes: Explain specific liquidity issues faced by money market mutual funds. Describe the economics of the collateral market and explain the mechanics of the following transactions using collateral: margin lending, repos, securities lending, and total return swaps. Calculate a firm's...
  7. Nicole Seaman

    P2.T7.507. Model error cases (Malz)

    Learning outcomes: Identify challenges related to mapping of risk factors to positions in making VaR calculations. Identify reasons for the failure of the long-equity tranche, short-mezzanine credit trade in 2005 and describe how such modeling errors could have been avoided. Identify two major...
  8. Nicole Seaman

    P2.T7.506. Model error (Malz)

    Learning outcomes: Describe ways that errors can be introduced into models. Describe how horizon, computational and modeling decisions can impact VaR estimates. Questions: 504.1. In finance, a standard model of the behavior over time of an asset price or risk factoris the geometric Brownian...
  9. Swarnendu Pathak

    Credit VaR

    Hi, In the chapter Portfolio credit Risk (Allan M Malz) regarding the CVaR it is mentioned that when the PD is less then the significance level, then CVaR would be (-) ve or there would be a gain instead of loss as extreme loss is Zero, and if PD is more than significance level then CVaR is...