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  1. C

    VAR - Converting time horizon

    hello david, I have a little confusion at this point, is this a wrong or right equation Absolute VaR = -drift*T/250 + sigma*deviate*SQRT(T) ? anther point is, I remembered VaR(N day)=VaR(1day)*sqrt(Nday) right? so is this means relative VaR or Abs VaR? thank you!
  2. C

    Questions about Capital Adequacy ratio

    Hi does anyone knows why should we set a ratio equal to 8%? in another word, why just like Total capital>=Credit risk capital + Market risk capital + Operation Risk Capital, why should we times 12.5 on each part and finally time 8% again?
  3. C

    Questions about CDO and CMO

    Thank you so much! very helpful!
  4. C

    Questions about CDO and CMO

    Hi David, I got a problem which has confused me for a long time, what's the difference between support tranche and equity tranche? Does it true that the senior tranche in CMO will not suffer any concentration risks and extension risks, since support tranche will cover first? but the senior...
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