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Hi , One quick question regarding Kendalls tau.. Do we have to arrange one leg with ranks 1 to 5(assuming n=5). And then get concordat and discordant values.. ? Thanks Kavita

Dedicating B'day to FRM

Vulnerable to options..just do not know the payoff...

Wow.. That was a teaser.. Thanks kavita

3 more days....

No idea.. Where did you get this problem from..?

Gregory chapter 8.. Does it end?

Thanks Delo but chapter 10 says that recovery rate is negatively correlated with default prob...check page 95, chapter 10 Gregory, David's notes.. Thanks Kavita

Why is higher recovery rate means higher implied prob. Of default? And if that is the case then changes to CVA will be net of increase in probability ofdefault and decrease in loss amount.. So will the final CVA lesser if the recovery amount is increased? Thanks Kavita

Hi thanks.. Yes you are right.. I am getting all confused.. Exam pressure building up :(.. Kavita

Hi David, We have two formula for beta 1.beta= (cov Ri, Rp)/ variance(Rp) 2. Beta = (cov Ri,Rp)/std(Ri)*std(Rp).. Which one to use when, I mean which is correct? Thanks Kavita

Very poorly written article in my view.. Very repetitive in concept in para after para.. The author seems to lack clarity of thought.. Rightly said WORKING PAPAER....

Hi David, In meissner readings you have mentioned that in 2007 crisis, model for volatility and correlation was not a problem.. It was the inputs to these models that was problem, garbage in garbage out.. The I was reading crouchy in ops risk (model risk), from what I understand is that the...

HI David, Gregory says that CCP may suffer from winner curse where the lost cost CCP provider ends up with more risky products and less credit worth members.. How is that? Thanks Kavita

Hi David, when we compute CVAR using the quantile methodology for a single bond according to Malz.. Say a BBB rated bond was bought at 106$. The probability of bond migrating to BB is 1.74%, priced at 98.10$ C is .3% priced at 8.64.$ default is .18% priced at 51.13$ IF we have to calculate...

Hi David, Gregory makes this statements about CVA: 2. CVA is LOWER for upwards sloping credit curve..WHY? In my view it should be higher for upward sloping curve because we expect the spreads to increase and hence CVA should increase.. Thanks, Kavita