Search results

Hi @eldakrory I'm actually not sure to what question you refer exactly but 0.1587 = 1 - NORM.S.DIST(+1.0, true) = 1 - 84.13%. That is, when standard normal Z = +1.0, 84.13% of the area under the normal pdf is to the left. Put another way, the probability that a random standard normal will be...

HI @RushilChulani From the perspective of today, each year's future spread payment, S, will either be made or not (by the protection buyer). The probability it will be made is (1-PD)^n and the probability it will not is 1 - (1-PD)^n where these two probabilities add to 1005, such that the...

Hi @RushilChulani I think I do understand why that's not obviously intuitive. After all, it's different than how the contingent payoff is treated which may be more intuitive in contrast. After all, the contingent payoff probabilities are unconditional (aka, joint) default probabilities which...

Hi @Bernard57950 First Malz finds the z-spread in example 7.2, please see my screenshot below. Given an observed trading price of 95.00 the z-spread is the value that adds to the riskfree spot rate of 3.47% such that the cash flows, when discounted at (3.47% + Z-spread) equal the observed price...

@Jacques The De Laurentis book contains many typos and inaccuracies, we have repeatedly asked GARP remove it from the syllabus due to its problems. FWIW

Hi @eldakrory sorry to hear that (copy @Nicole Seaman) We will ask the developers to take a look .... thank you for your patience, David

Hi @Branislav You make a good point: a better input assumption would be a portfolio volatility, σ(r), that is higher than 10.0%; it does not need to be double, but a higher volatility would preserve a natural, theoretical trade-off between the higher-return/higher-risk portfolio and the...

Hi @queliujin As Nicole mentions, there are actually already several discussions in the forum about this; e.g., https://forum.bionicturtle.com/threads/2-scenarios-futures-contract-with-predetermined-price-or-future-spot-price.20323/post-58786...

Hi @ankit4685 (you don't need to follow-up post: both Nicole and check the forum daily, if we don't respond immediately, it's only because either we have excess backlog or the question requires much time to answer. In fact I prefer that you not double- or triple-tap as a courtesy to us, thank...

HI @ankit4685 The first calculation (the shock value in green) is a simple linear interpolation between the "peak" shift of 0.010% (i.e., one basis point) at 2.0 years (i.e., the 4th period) and zero basis points at 10 years (the 5th period). The shocks are graphed in the upper right corner of...

Hi @nansverma I consulted EVA for several years as a management consultant (and learned under one of the Stern Stewart thought leaders), including several EVA installations. Neither Giacomo nor Crouhy provide rigorous definitions, and it's no secret that I am highly critical of the Giacomo...

Hi @JamesVU2000 i have no idea to what you are referring, sorry. I have an older COC video (here at https://trtl.bz/2UQSkVZ) which gives a forward price of $10.51 = $10.00 *exp(6% - 1%) = $10.00 *exp(0.050) = $10.00 * 1.051271096 = $10.51271096. But I have recorded more recent (and better!) COC...

Hi @Ganesh S Tanpure Yes, if you use your calculator along with solving problems, you cannot help but gain proficiency with the calculator. The core material does not generally teach the calculator alongside the concepts; that is, it does not "embed" calculator steps into the content. Frankly...

Hi @Tereza (cc @Nicole Seaman) These are credit exposure profiles (typically PFE on y-axis and always Time on x-axis). Examples are found in Jon Gregory's xVA (i.e., the 3rd edition and currently assigned) in Chapter 7 (Credit Exposure and Funding); or in his Counterparty Credit Risk and DVA...

Hi @Branislav That's is Elton's Question 13.1 and, you are correct, they do not provide the riskfree rate. It is not necessary: we have two equations and we can solve for two variables, in this case, we can solve for both the market risk premium (MRP) and the risk-free rate. I'm not sure why I...

Thank you @hung312312 You are absolutely correct. Apologies. But thank you! cc @Nicole Seaman on page 104 of the huge Hull R19 study note, the 4th bullet should replace the final 0.70% with 0.50%, such that it should read: The total advantage is given by the difference between the respective...

Hi @Sujatha sundarji That's just a given assumption (you have no way of inferring it indirectly!). The problem is giving you, to assume, that the price increases from $100 to $120 (at end of year 1) to $130 (at end of year 2) and further than the dividend is $2 per share. Given that, the...

Hi @Jaskarn That's Jon Gregory, as you surely know. I *think* (but am not certain) based on the context that he means the loss on a (bilateral) OTC derivative contract (e.g., interest rate swap), not necessarily, is not necessarily known at time of counterparty default, such that CCDS are a...

Hi @Jaskarn Regarding the earlier doubt, that concerns most of Gregory's second half of his book. I do not have time for a long answer. Feel free to start a new discussion with other members. The short answer is that, certainly CVA is calculated at the trade (aka, position, instrument) level but...

Hi @MiguelVitiello Here it is https://www.dropbox.com/s/0ox4l1nrs23el8w/8.a.1_Grinold.xls?dl=0