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Hi @MiguelVitiello This is from a Jorion example somewhere (maybe the FRM handbook?). I am pretty sure that those Available Capital numbers are simply given assumptions. Just like the risk-weighted assets are given assumptions. RWA are assumptions on the asset side of the balance sheet...

@nansverma Cumulative PD = 1 - exp(-λ*t) where λ is hazard rate. The unconditional PD (aka, joint) is the difference between cumulative PD: Unconditional PD = 1 - exp(-λ*t2) - [1 - exp(-λ*t1)] = exp(-λ*t1) - exp(-λ*t2), is maybe what you are thinking of. Say λ = 10%, to be dramatic. The...

Hi @MiguelVitiello Please see above (I moved your question). The first colored column (labelled "Min Capital Req'd" where OpCapital = 250) are the minimum requirements; the second colored column (labelled "Min Capital, Actual" where OpCapital = 100) is the actual allocation of capital given the...

Hi @JamesVU2000 Great idea! I have captured the idea for the next revision ...

Hi @queliujin The 2019 LO (in the study notes) are the best guide. Admittedly, do need to (and are going to) update the focus review videos, although most of the material in the FR continues to be relevant (by definition: because the FRs are not edge material but rather core material); e.g., CPR...

Sure thing @arpitasaraswat Hey, as it happens, i just recorded a video for this (Tuckman's Chapter 1 arbitrage) because I am currently publishing Tuckman snippets to youtube. If you like, please take a look:

Hi @nansverma you've asked a 5/6-part question, so I'll really just have to chip away at it as my time permits ... hopefully some others will chime in ... 1. Yes, you are correct. In your version (Gregory switched expressions when he updated his editions, but the substance is always the same...

@prakashsista This is classic Stulz. If you are an investor who suffers from information asymmetry, then you know (much) less than management about the company, or a company's project. One way to cope with the uncertainty (lack of information) is to charge a higher price for your investment...

did you get my private message?

Hi @arpitasaraswat Sure, my replication of his T 1.5 is below. We are replicating the 0.750% of 11/30/2011 bond shown on orange column (6) which has been identified as "trading cheap" (its traded price of $100.190 is lower than the theoretical price we get by applying discount factors). The...

Hi @Branislav Yes, absolutely the principal is missing. Apologies, our mistake. Thank you! Also, the $100.00 is missing in the coupons: the first coupon cash flow is not 0.75%/2 but rather $100.00 * 0.75%/2. cc @Nicole Seaman The highlighted formula should read: ($100.00 * 0.75%/2 × 0.99925) +...

Thank you @Detective, yes I absolutely agree. Our mistakes here. Thank you!

Hi @ericbmoreira I don't understand your question. I think we need to clarify the terms. First, by the way, I have recorded a more recent video specifically on the par yield. It is based on Tuckman and shows the specifics of constructing the par yield curve; it is called "Par yields are swap...

Hi @RushilChulani Yes, you are correct (cc @Nicole Seaman) , there is a typo. Apologies. Thank you. On page 5 on the study note, it currently reads "Fu(x) = Pr{X - µ ≤ | X > µ } ... " which omits the x, as it should read ""Fu(x) = Pr{X - µ ≤ x | X > µ } ... ". We will fix this. Thank you!

@claudia99 but it's not, right? It acts the same in the mortality table ... the conditional probability of death during the 41st year must be higher than the corresponding unconditional probability. Say the cumulative prob of survival through the end of the 40th year is 96.0% and the conditional...

Hi @nansverma In Gregory's Figure 7.14 (where the lines are not very well distinguished), I think for this illustrated payer (i.e., pay fixed, receive floating) interest rate swap the EE is the upper, positive line, the EFV is the middle (less positive) and the NEE is the negative line. Due to...

Hi @JeffSchmitz Yes, right, it's my mistake. As you suggest, the graph is labelled "Illustration of a square root of time exposure profile" and therefore reflects a generic diffusion concept which is applicable, as Gregory mentions, to FRA/forward contracts but even to the early years in a swap...

Hi @nansverma No worries, here is fine. Our notes do honor (copy) Gregory as Gregory does write (in the source) "In practice, this can be achieved either through legal rules that ensure the return of any collateral not required (in priority over any bankruptcy rules), or alternatively by a third...

Hi @Vinobe It's the same fundamental forward/spot concept, albeit here is semi-annual compounding, that informs most "bootstrapping" examples. The root idea is, in this case, is that investing at the 2-year zero rate should equal (at least at time zero) the return of investing at the 1.5-year...

HI @dyurlova I haven't annotated, or seen annotated yet, any version of that question. (I've recorded three youtube videos that review Miller's Bayesian examples https://forum.bionicturtle.com/tags/miller-ch6/ but not this one). Sorry!