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  1. Shau_2207

    Clean and Hypo PnL for Backtesting

    Hi, Can someone help with with some reading material for clean and hypo pnl used for VaR backtesting purposes. Also the mechanism of pull to par calculations and its exclusion from clean or hypothetical PnL. @David Harper CFA FRM TIA
  2. Shau_2207

    Funding Exposure vs. Credit Exposure

    @David Harper CFA FRM , Can you please help me explain this? As I understand the it should be default of the counterparty increase funding cost when margin is not posted the party with positive exposure has to fund the amount of loss. Similarly in the second sentence.
  3. Shau_2207

    Credit default swaps

    Hello, Can someone please help me with excel sheet of credit default swaps valuation with reference to attached video?
  4. Shau_2207

    Science of Term Structure- Arbitrage pricing multiple periods

    Hello David, I have a question under Topic Term Structure Science under that LOS- Arbitrage pricing of derivatives over multiple periods. Page 23 i am unable to follow the attached eq, how do we calculate bond value of P(1,1) and P (1,0) for given risk neutral probabilities. In exam will we be...
  5. Shau_2207

    FRM Part 2 May 2023 Study Group

    Hi, Anyone willing to form a small study group for P2, please ping me.
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