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I agree....but I was also thinking about a company that sells protection buying up all or most of the available bonds to deliver which would allow them to corner the market and drive up bids. Brian

Malz seems to imply physcal delivery but he may just be simplifying the details for illustrative purposes only. On page 248, he states, " In the event of default, the contract obliges the protection seller to pay the protection buyer the par amount of a deliverable bond of the reference entity...

Ahhh....that would make a lot of sense. Thank you. Brian

Let's assume a company issues $100 in bonds. Also, let's assume that there are CDS contracts in place with a notional amount of $1000, i.e., more contractual notionals than actual bonds (which is not uncommon.) Assume also that none of the parties that purchased protection in the above scenario...

YES! please and me an email with the code. Thank you!

Malz' Credit Risk Readings, i.e., Topic 45, does a great job of clarifying some of the concepts that were insufficiently covered in Topics 42, 43, and 44. So, if you are feeling unsure, keep plugging forward and Malz will help clarify things - this has been my experience.! Brian

the first 2 links that come up after a google search of Chase Manhattan Drysdale http://financetrain.com/chase-manhattan-and-their-involvement-with-drysdale-securities/ http://www.leagle.com/decision/1984644587FSupp57_1622

I am sure you can search online to find more information. The point is, with respect to the FRM, that Chase's internal risk management framework failed.

Perhaps it means Protect Quails! I don't know! :)

PQ = Practice Questions?

Just realized after looking at the Study Notes for de Servigny. The Distance to Default is d2 from the B-S model and the Merton PD is N(-d2) which explains why the 2.8's sign switches in N(-2.8) above.

Thanks for the help Shakti! Brian

(Log(12.511/10) + (0.05-(0.096^2)*0.5))/0.096 = 1.49 whereas (LN(12.511/10) + (0.05-(0.096^2)*0.5))/0.096 = 2.8 Isn't that amazing? The author reports Log but is actually using LN. Another example of outrageous carelessness that wasted a significant amount of time! :) He could have...

Thanks Shakti.....perhaps I am being careless myself. Your expression does not equal 2.8 as far as I can tell. Rather, LOG(12.511/10) + (0.05 - (0.0196^2*0.5)) / 0.0196*1 = 2.6385. Also, why would the author define V as 3 BB (market cap) and then give Ao = 12.511 BB without defining what Ao...

I am amazed that GARP releases these books with so many errors in them! It is simply careless and doesn't reflect well on the association at all, in my opinion. How can risk managers be asked to operate in a detail-oriented manner when GARP isn't able to do the same? By the way, I am finding...

David and his team do align the material to the curriculum so some material is removed. However, if it is especially relevant or helpful, BT sometimes retains it in the practice questions even if the reading is no longer assigned.

Another question here: Page 71 presents the following: I do not see how the author is coming up with 2.8. Then, he uses the negative in the N() function. This is not presented very clearly. Assume the following: V = 3BB X = 10 BB mu = 5% sigma = 9.6% Do you come up with 2.8? Also, why...

In fact, I can't seem to find from where the numbers in the d1 expression came! Perhaps they were presented in Chapter 1 or 2 of the de Servigny text.

I am reading de Servigny's Default Risk Quantitative Methodologies chapter from the GARP printed textbooks. Page 69 references the Black-Scholes pricing model for the value of a firm's equity under the Merton model. Interestingly, the formula does not reference d1 yet the expression is...

Thanks Nicole. Please email an Amazon card. Brian