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Hello, I had a couple of very random (and hopefully easy) questions about videos 7a and 7b from last year I was hoping someone could answer for me. 1. When talking about the spread for LVaR, how exactly is that computed? What is a 2% spread? Does that just mean, for example, if a security has...

Yes it did. Thanks! Shannon

Hello, From the constant-spread LVaR adjustment formula, we see that when we increase the holding period, we decrease the adjustment. When you (or Dowd) says "holding period" what exactly are you referring to? I assume this means the time over which you liquidate the position, because this...

That makes perfect sense. Thanks! Shannon

Thanks! If I may pose a quick follow up to that question, in that video it states that a "lower risk rating is given to an asset with a longer tem to maturity." So, from your explanation above, this means a security with a longer maturity has LESS risk? This seems counter-intuitive, unless I...

Hello, I understand what credit risk is and what the ratings mean, but sometimes the vocabulary seems little vague. For instance, in video 6d, you say that a lower risk rating is given to an asset with a longer tem to maturity. I hate to even ask this question because I feel a little silly...

That was very helpful. It is also nice to know that I am not just overlooking something very simple and that there is at least one other person out there that finds this as strange as I do:). Thanks! Shannon

Great. Thanks!! Shannon

Hello, I have two simple questions about Alman's Z score I ws hoping you could answer for me. Are we supposed to memorize the formula for this or just how to interpret it? It seem s a little silly to have to memorize a bunch of betas and their corresponding variables, but if that's what they...

I figured it out. Sorry!! Thanks anyway, Shannon

Looking forward to seeing what you come up with. I am sure it will help clear things up for me! Thanks in advance for you help, Shannon

Thanks. Shannon

No worries. You have been very extremely helpful. A friend of mine told me that you were very good about answering questions and she was right. I am very glad I decided to join for part 2! Thanks, Shannon

Hello, I am almost embarassed to ask this:oops:, but here it is. After the paper you sent me (thank you, by the way) and another reading of the Canabarro chapter, CVA makes a lot more sense. One thing I am having trouble understanding is what is actually meant by CVA loss. Is this just...

Thanks!! Shannon.

Hello, I watched video 6a and also read the two chapters it was based upon. The example on slide 64 of that video absolutely boggles my mind. It seems to be making two adjustments for the same thing, but I know this cannot be right. The math is simple, 5-2=3, (or 2+3=5) but what do each of...

Hello, I am reading this paper, which is long but a pretty easy read, and had a few questions I was hoping you could answer. 1. This statement, from p 32, really confused me: After the lockout period...the o/c is released. What does is mean by released? I understand what the lockout implies...

Thank you! Shannon

I certainly do. I will keep an eye open for the new material. By the way, is there any value in watching the videos of the sections that were removed since last year's exam? Thanks, Shannon

Hello, I am reading Ch 2 of "Mortgage Backed Securities" and am having a REALLY difficult time following the discussion on the dollar roll market. There is even an example in the text but since the numbers are pulled out of thin air it does not help that much. Maybe I am just getting confused...