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Sorry Seidu - don't know anything about SQL!

Shocking indeed to say the least!

Just one more thing I would like to add here is a book by Emanuel Derman 'Models Behaving Badly'. Just bought it!

Hi @JordanMatrix, Yes, I have looked at these courses on Financial Risk and Regulation. IMO, you can easily pick up regulatory material from Hull - 'Risk Management and Financial Institutions' and of course, all the Basel papers. FRM Part II has a load of those readings. Also, David's "This...

Have a great one:)

Will be out of action with the study forum for a while - client work!

Hi @ami44, Just adding a little more to the CDS-bond basis = CDS spread - Asset swap spread An asset swap exchanges the coupon of a corporate bond for LIBOR plus a spread. Reproducing an example from Hull: Let's take a situation where the asset swap spread on a particular bond = 150 bps...

Hi @ami44, You are right on spot. Yes, in general the excess of the bond yield over the risk-free rate will be approximately equal to the CDS spread. In which case, due to your arbitrage argument and mine (see above), the CDS-Bond basis would be equal to zero. Scenarios where the CDS-bond...

Hi @arkabose, In answer to your question let's take the following example: An investor wants to hedge his exposure to a corporate bond by buying a CDS. He buys a 5-year corporate bond yielding 7% per year for face value. He also buys a 5-year CDS, with the CDS spread = 2% per annum (200 bps)...

Hi @arkabose, Please refer to the following link that Shakti Rathore has already referenced above: https://forum.bionicturtle.com/threads/marginal-cva-vs-incremental.8772/#post-37655 They are excellent explanations given on the difference between incremental cva and marginal cva. Thanks!

Thanks Deepak - will do:)

Hi Deepak, Thanks for the various websites that you have mentioned above. The way to learn Excel for Risk Management is to jump into David's spreadsheets, straightaway! Also, Gregory has spreadsheet references all over his chapters. And as far as Options, Futures and Derivatives go, jump...

Hi David, For some strange reason, I get the dollar duration to be 903.70 as against your $869 above - could be a decimal problem: Using the Modified Duration equation: -D = (1/P0)*dP/dy P0 = $100*e^-30*y At y = 4%, P4% = $100*e^-30*.04 = $30.1194 At y = 4.1%, P4.1% = $100*e^30*.041 =...