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@dymny Well, use a shortcut for it, we can approximate the Binomial distribution as a Normal distribution and find out using the formula: (x-p*n)/sqrt(n*p*(1-p)) where x is the currently recorded exceptions, p is the VaR significance, p*n is the expected exceptions for the VaR confidence level...

Hi @brian.field , The best way is the Buffett way! or the Original version by Ben Graham, whichever you prefer! Value investing would protect us:)

And @brian.field I was reading your insights on Diversification; Integrated approach, the above post also made me wonder, if correlations increase during periods of stress as they always do, then the computation of Marginal and Component VaR would be wrong as well. So much for the Mapping of...

Hi @Mkaim I doubt GARP would test the Mathematical procedure for Mapping the Linear and Non Linear Derivatives to their Risk Factors; Check the GARP published 2016 Exam syllabus guide from GARP, if it shows 'compute' for a topic, then the computation would be tested; since you state 'Describe'...

Oh Mr. Field! Thats an honor sir!

Well, that is based on my own interpretation of the Gregory text. I will explain like this, you see, I worked as a controller for a factory, therefore we speak in terms of costs, CVA is an adjustment for the loss of your counterparty receivable, therefore the closest measure of that loss is the...

Hi, @ami44, I have read a couple of your posts. I consider you as one who has both practical and theoretical knowledge of these things. Anyway I have a query here, originally CVA was defined that way right? Risky value = Risk free - CVA as there was no negative sign in the formula for CVA and it...

Ha, the Great Gregory, the master of Counterparty Risk:) The point we have to understand here is that the Counter party risk deals with our receivables, the obligations of an opposite party to a financial instrument to our organization, therefore, the CVA is an adjustment to reduce the value of...

Dear @David Harper CFA FRM I would be extremely grateful if you could read the conversation post that I have created with you. It talks about a lot of current issues and I do need your inputs. Thanks

Dear @Nicole Manley Thanks so much! That was a pleasant surprise. As usual, may I have the Amazon gift card please?

In case, it interests you, there is a historical phenomena to dividing the US Treasury Bond prices by 32; It used to be that when the Bonds were first formulated, famously by Alexander Hamilton, and adopted later on after considerable debate by the Founding Fathers, there was a 'Shilling' in US...

Dear @NNath, I don't have the exact formula that you have written, however, I may be able to explain the calculation of the spread of a corporate bond like how Malz intended. Take a Zero Coupon Corporate Bond as D, the present value of the ZCB Corporate is D(Present) = D*e^(-r-z)*t where z is...

Dear @Kavita.bhangdia This might not be what Gregory stated but this article covers some of the drawbacks of CCPS https://forum.bionicturtle.com/threads/central-counterparties.9308/ There was a current issues section when we wrote, unfortunately removed for the current cohort, that summed up...

Thank you @Nicole Manley !I will have the Amazon gift card please

Thank you so much David! It is an honor that my post went into BT FB page:)

Thanks! @Nicole Manley , I will have the Amazon gift card please.

Good luck with your project on the simulation!

Dear @michsant I happened to have some time today, therefore I did manage to prepare a very simple Excel. I have prepared it for the older SA approach to Credit Risks based on Basel II which of course is currently applicable under Basel III. Please check it out and do confirm if this is what...

I think he means the Standardized Approach to Credit Risk as given by Basel II and currently under revision under Basel III. @michsant, do you mean the Credit risk exposure calculation based on credit ratings? We cannot give the Excel Sheet as prepared by @David Harper CFA FRM and co. as it is...