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Hi there @trigg989 In my opinion, there is ! Consider the classic case of the events leading up to the Financial crisis of 2007-2008, take especially the case of Countrywide corp. They assumed that once, any Loan given to absolutely non credit worthy people is securitized and removed from...

Hi there @emilioalzamora1 ! I am honored to talk to you, I have seen the amazing clarity of the responses given by you in the forums.:) If I am not wrong, you are asking why the difference arises between the two methods, right? I would like to hazard a guess here based on my understanding of...

The Quoted price would be given in the problem as that is what is quoted on the Terminal for the Futures or the Bonds. The general convention in the US is to quote the clean prices. As far as the Conversion factor goes, you can calculate the same provided the yield on the 'standard' Bond is...

I am attaching an Excel explaining the computation of Dirty and Clean prices Basically, the calculation of the Dirty Price of a Bond when you buy the same in between coupons takes the following formula: ∑CF/[(1+YTM)^(days to next coupon/days between coupons)*(1+YTM)^(t-1)]+FV/[(1+YTM)^(days to...

Dear @juhsu In the case of a Bond, the PV of all its cash flows at a given time incorporates the interest (the coupon) from that time onwards as well the final principal repayment, hence the accrued interest calculation is captured in the PV of CF computation itself. Thus, you get the Full or...

@gargi.adhikari We have to remember that in Dowd's version of the formula, alpha is the Confidence level and hence we have to divide by 1-alpha, which gives us the probability of exceeding the losses at a given Confidence level. I have attached an Excel based on Dowd's example showing the...

Congratulations @FrmL2_Aspirant and @bpdulog Good luck on all your endeavors and stay in touch on the forums and LinkedIn. Congratulations to all those who cleared the examinations!

Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.

As the Worst Case Default Rate (WCDR), which is used in the computation of Credit VaR is affected by default correlation, I would hazard that the Credit VaR is affected by our estimates of the correlation. https://courses.edx.org/c4x/DelftX/TW3421x/asset/Week6_PD3_2.pdf This particular link...

Dear @Linghan I don't have the material with me at the moment but as you want the cumulative PD, we have the following formula: P(t*<t+tau|t*>t) = F(tau) where F (tau) is the cumulative PD at tau which is 1 - exp(-lambda*tau) and where lambda can be approximated as z/(1-R) where z is the...

You are correct. The tangency point on the efficient frontier where the CML touches is the Market Portfolio and that is the point where the Sharpe ratio is the highest I am not sure if you can find the market portfolio that way because, the Sharpe ratio is in itself the slope of the efficient...

Thanks Nicole, I would like to have the Amazon gift card please

I cannot vouch for the accuracy of this, perhaps, we can say that the treasury securities and the Equity market are negatively correlated, I would assume that if we chart the correlation between the S and P 500 Index (the proxy for the market) and the T bills, we can find negative correlation...

d1 and d2 are derived from the BSM model which is applied in the Merton model for the valuation of Equity and Debt. https://forum.bionicturtle.com/threads/merton-model-a-summary-of-the-issues.5646/. David covers in great detail how to calculate the value under the Merton model...

I would personally think that any credit scoring model is basically the same as the models that are used in Machine Learning, the word parsimony, as a scientific principle refers to something that can be done in the most simplest of ways, therefore, in the same vein, we refer to models in...

Dear Nicole Congratulations! Best Wishes for a happy married life:) I noticed that while I was posting, but wanted it to come straight from the horse's mouth:D I would like to have the Amazon Gift card please Thanks PS:Changed from Paypal to Amazon Gift card

Dear @taunk I think that the Log likelihood ratio is the more advanced version of the basic backtesting that was discussed prior to it. We know that the Backtesting model as initially adopted comprised of the N, which is the number of exceptions as well as the T which is the sample size (number...

Thanks David. I value your take on these very much!:)

Dear @David Harper CFA FRM I happened to do a thread on the Brexit when all hell broke loose in June. I thought it might be worthwhile to bring it up again, there are a couple of Risk strategies that have been discussed by the others and me. I would certainly like to hear your thoughts on the...

Dear David and Nicole Have a happy vacation!:)