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Hi Brian, The 'on a consolidated basis' means together or closely or firmly united it can mean that when stress tests and scenario analyses are used together(rather than isolated from one another) acts as complement to each other and they can better test the RAF as well as help firms identify...

Hi, FV is the face value which is nothing but the par value only.The price at each period is the par value only ,here we are given the swap rates such that when the price is par value the coupon rate is the same as the swap rate. For T=.5 yr maturity Bond,Price=100=d(.5)*(1+.00705/2)*100, the...

Try these: http://www.wsj.com/mdc/public/npage/2_3023_creditdervs.html http://markets.ft.com/Research/Markets/Credit-Indices thanks

Hi the maximum % loss that the portfolio can suffer in terms of percentage is r*=cutoff return=mean - volatilty * deviate This essentially implies that the minimum value that the portfolio can have is P2* =P1 * (1 - EXP(r*)) where r*=cutoff return is the return at which portfolio suffers max...

Hi, GARCH: σn²=w+a*un-1²+b*σn-1²; w=c*VL a+b+c=1=> VL=w/c=w/1-a-b [VL=Long run avg. variance] also see: https://forum.bionicturtle.com/threads/bt2012-p1-06-garch-volatility-forecast.5730/#post-23567 thanks

Hi, Yes i think it should be mentioned in the question whether the rate is cc or discrete.Its not safe to assume cc unless and otherwise mentioned,please do not assume anything unless and until mentioned in the question.It should be clearly inferred from the question whether cc or discrete...

Hi gargi, Yes in shock up we should add the 1bps to the Yield instead of subtracting.And in shock down we should subtract the 1bps to the Yield. thanks

100.255=0.375/(1+0.001492/2)+0.375/((1+0.005561/2)*(1+0.001492/2))+100.375/((1+0.005561/2)*(1+0.001492/2)*(1+0.010356/2)) 0.375/(1+0.001492/2+.00044/2)+0.375/((1+0.005561/2+.00044/2)*(1+0.001492/2+.00044/2))+100.375/((1+0.005561/2+.00044/2)*(1+0.001492/2+.00044/2)*(1+0.010356/2+.00044/2))=...

Future value of coupons reinvested at 5% semiannually for 5 years. Future value=(coupon(PMT)/2.5%)*((1.025)^10-1)=(2.5/.025)*((1.025)^10-1)=28.0085 which is same as coming from calculator gargi.I think you did some calculation error. thanks

Hi, Yes m stands for number of non-trivial cross-central moments , for m=1 ,K1=[(1+ n - 1)!/1!(n - 1)!]-n=[(n)!/(n - 1)!]-n=n-n=0, for m=2 ,K2=[(2+ n - 1)!/2!(n - 1)!]-n=[(n+1)!/2(n - 1)!]-n=n(n+1)/2 - n=n(n-1)/2 for m=3 ,K2=[(3+ n - 1)!/3!(n - 1)!]-n=[(n+2)!/6(n - 1)!]-n=(n+2)(n+1)n/6 - n thanks

Hi, i hope u are using Texas BA II plus, GO to Cash flow:CF then enter first Cash flow CF0=0,CF1=100,CF2=100,CF3=100,CF4=100,CF5=100,CF6=-150,CF7=-150,CF8=-150,CF9=-150,CF10=-150 now click on IRR and CPT the answer shall come to be 8.447% which is annual compounded interest % to breakeven. thanks

Hi, please see these links if of any help: https://forum.bionicturtle.com/threads/altmans-z-score.5345/#post-14842 https://forum.bionicturtle.com/threads/credit-portfolioview-model.1302/#post-4749 https://forum.bionicturtle.com/threads/credit-portfolio-models-bis-asrf-model.679/#post-2531 Thanks

Thanks Nicole :) please let it accrue.

Hi, face*EXP(-(C5+1)*T)-face*EXP(-C5*T) , where C5= Yield is nothing but the Duration only. Actual=slope of the price yield curve=Duration = 100*EXP(-(4%+1)*30)-100*EXP(-4%*30)/(change in yield) change in yield=100%=1 => Duration=100*EXP(-(4%+1)*30)-100*EXP(-4%*30)/1=-30.12 thanks

Hi also see this good stuff: https://forum.bionicturtle.com/threads/basket-cds.6490/#post-21041 https://forum.bionicturtle.com/threads/correlation-in-senior-and-subordinated-basket-cds.6154/#post-19390 https://forum.bionicturtle.com/threads/basket-cds-value-correlation.4491/#post-11606...

hi please see: https://forum.bionicturtle.com/threads/frm-fun-11-do-we-really-need-all-three-durations-lets-settle-this-now.6012/#post-19321 https://forum.bionicturtle.com/threads/effective-duration-vs-modified-duration.624/ https://forum.bionicturtle.com/threads/duration.4822/#post-12788 thanks

Hi, Yes I agree with Brian this types of problem shall not come where integration of some function is being asked only basic math shall come ,it is possible that some exceptional problem may come around so its better that you take some fresher course in calculus,as many concepts also demand...

you should also enter the value of PV i think. Thanks

Hi Yes you can automatically calculate SD & variance using the STAT & DATA functions of the permit table FRM BA II Plus calculator ,after all you can use the calculator means you can use each and every function that is on the calculator. There are no boundaries use as much functions as you can...

Hi, Its the simple integration of the f(x) , probability density function which should yield Cumulative Density Function F(x), F(x)=CDF= integration of f(x)= x/8 - 0.75 F(x) = integration of[(x/8)dx - 0.75 dx] F(x) = integration of[(xdx/8) - 0.75 dx] F(x) = ((x^2/2)/8) - 0.75x +c sin ce the...