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well if you use your BAII Plus calculator: N=6, i/Y=2.5 (Annual Libor 5% / 2); PMT = + 2.8 (100*5.6%/2); FV=+100 CPT PV=101.6524 which is close to C. however this valuation does not take into account credit risk of default of referenced counterparty (+ and perhaps the counterparty that issued...

After reading two wonderfull recent cases of risk management failure at global financial institutions, decided to create a summary slide with major points for each case. Again slides are usefull only after initial reading. Enjoy and good luck to all of us next week.

It is much easier to remember that VaR is about the worst loss, you should select that sign plus or minus that would produce the highest VaR amount. Any amount less because of the sign'' is a step into wrong direction. That intuitive way, no need to remember 4-5 forms of the same VaR Formula, IMHO

I just wondered why GARP asked us to read only till page 75 of the report on MF Global case, well probably after page 75 interesting conclusions are listed as main causes of MF Global's failure. I Just copied from the contents the titles of paragraphs and labeled them in general terms...

I looked through the 2014 AIMS, LCR is there, NSFR is NOT. So I say - concentrate on LCR but remember about Type II error mentioned by David.

I believe that it's better to think graphically, always picture the distribution shape (bell shape), if expected return is expressed in loss term, it is still a mean & median of the bell shape. To the left of it will be more losses, to the right will be less losses. Since VAR is about worst...

I hope that you could produce fresh new practice exam for part II, more relevant to 2014 sullybus at least one week before the exam date

I thought this question is really about Merton model (or the version in Stulz with subord debt). Under Merton Model, the Debt is equal to PV of zero-coupon bond with par value being equal to value of Debt (=Long a riskless loan of $300 million) + short position in put for company assets (= short...

Ro=beta squarred

thanks for spotting the typo, of course it should be 250 not 2500 days. It is also possible to use 252 days. In such case VAR = 1,919, also I did not rounded numbers, which might also cause some difference in numbers calculated.

I might be wrong but I think for VAR we would need to first scale down parameters from annual to daily, and then deduct from expected return so-many standard deviations as required at given confidence level. Step-1. Daily parameters. daily mu=0.14/250 = 0.00056; daily sigma= 0.19/SQRT(250) =...

As per my understanding, some of the important ideas behind the lengthly Malz' chapter on Liquidity & Leverage in one slide:

as additional one slide for CHARACTERISTICS AND OPERATIONAL REQ'MENTS OF HQLA

A little mnemonic tool to help me and maybe somebody else memorize some of the important EXOTIC OPTION (disclaimer: names of countries and nations are used only in reference to their usage in weird finance world, so no offense) It may not make any sense, but still usefull at least for me :) An...

Could not attach PDF file with 4 slides, will post to moderators if they wish to post it somewhere for BT members usage.

I tried to create for myself a one page summary of BASEL II to capture all major ideas in one place, but I couldn't, managed to squeeze it to four slides, as the material is huge. I mainly copied images from BIONIC TURTLE study notes, so all copyright belongs to our beloved BT :) I decided to...

thanks alot. I would like to accrue it till Nov exams (I hope) :)

I can't get the whole concept of CLN. As I understood, CLN are securities issued primarily by SPE/SPV that pool some sort of cash stream generating assets (mortgage, loans, bonds, ABS, etc) from some reference name and promise to stream those cash flows to the investors, who would subscribe to...