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Great move @Nicole Seaman Hopefully @Branislav your question is already above. I think one of the potential confusions here is: are we talking about the re-estimated value of the option or the re-estimated loss? When the stock price drops, the linear approximation implies a lower value (blue...

Hi @kevolution Yes, you are correct about the math: it's the final score that counts. This leads to occasionally counter-intuitive results when trying to associate pass/fail outcomes with quartile outcomes. I previous wrote a tiny spreadsheet to illustrate how, in extremis, it's conceivable for...

Hi @Jaskarn I don't know, I'll have to tag it for research when I have time. If anybody else knows, I'd appreciate any insight. Thanks,

Hi @Jose V I moved your question to this thread where I previously shared the XLS, please see above (protip: it has a tag = "subordinated"). Thanks,

Hi @Linette Joseph Welcome! Jorion is a fundamental author in the syllabus. Not sure what you meant by "antique." I've probably mentioned that the readings are old, but he is a KEY author for sure. @Nicole Seaman can you please take a swipe at the rest of this question, I am super-pressed for...

Hi @Jaskarn This is Gregory's Table 7.3 (per the label) which I believe merely intends to illustrate the impact of collateral on exposure, where the key formula is (Gregory 11.2) given by a slight modification, adding the C, of the most fundamental relationship: Exposure = max(Value - C, 0)...

Hi @Jaskarn Gregory's Figure 7.22 graphs the following three axises: Size of netting set Correlation (this graph happens to be non-negative correlations only) [Z-axis] Netting factor I think the two key relationships are: As correlations decreases, the netting factor decreases. As the...

HI @SP_SK To me, it's a complicated trade but the idea is a pair trade of sorts: Pay fixed in a single variance swap on an index (aka, portfolio), plus Receive fixed in multiple variance swaps on the components of the index Abstractly, imagine the index is only two components, Stock A and...

Hi @Jaskarn Consider you have with a counterparty two trades: Trade 1 MtM = +10.0; i.e., you have a gain on this contract and therefore credit exposure Trade 2 MtM = -9.0; i.e., you are underwater here with credit exposure = Max(0, -10) = 0 Your gross exposure is 10 but your netted exposure is...

H @Jaskarn Because it's not easy to understand the CAP, I started to build a version in Excel so we can add to our learning XLS library (and include in the materials, of course). The first draft is very basic but you can see here...

Hi @Merlinius That's a good point, in my opinion. First, I can speak to what Brunnermeier means (if only because it is thematic in P2.T6 Credit Risk). True, Goldman has entered into (and will decide whether to renew) a derivatives contract with counterparty, say, Acme Hedge Fund. Not only the...

I need to keep that in mind (self-deprecating humor)! ... I wan't worried about you, you seemed to be putting in the work (judging by your forum activity) ;)

@Flashback i've appreciated your humorous attitude throughout ...

HI @jaivipin To be candid, we've prioritized writing practice questions for the new T9. Current Issues. My view is that Study Notes add less value for the Current Issue readings than practice questions: unlike the rest of the syllabus, there exist no good historical sample of Current Issue...

Hi @lynnwong I moved your post. Nicole Seaman keeps a pretty careful watch on the links and, with rare exceptions, they should generally work. I *think* sometimes there is a browser security type issue; that is, I think if you happen to be viewing the notes from a browser rather than a PDF...

Thanks @Nicole Seaman I moved it to T4 (duration, convexity)

Hi @evelyn.peng oh, cool, always excited to be helpful IRL. You know, the more I think about it, if I were going to do this I would be tempted to sample (aka, bootstrap) any distribution, even a parametric and especially a historical dataset. Basically, Dowd's (Chapter 4) "bootstrap historical...

HI @krisenrabindra+icloud.com i moved your post to the P1.T1 forum. You are in the right place. Please notice that, if it's a basic question, there is a high probability it has already been asked. So we request you try a search first (and we also "tag" key conversations; e.g...

Hi @QuantMan2318 Good to hear from you! :) I hope you are doing well. To be honest, I don't quite grok @ami44 's thread in particular in the way that CVA is mixed with CDS (I only read it once, so it certainly can be my misunderstanding); as you say ami44 appears to be "one who has both...

Hi @Jaskarn Hull says a few times in his chapter that "The shape of the volatility smile depends on the option maturity. As illustrated in Table 20.2, the smile tends to become less pronounced as the option maturity increases." What is means is that shorter maturity options tend to exhibit a...