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Hi David et al, Probably a simple staright forward question . What is "Unused portion of limit" in capital charge calculation equation below. ( referring to P2.Operational risk - page 12 bottom). Charge(MR)= (F1 * VaR) + (F2 *Unused portion of limit)+ (F3 * excess) Thanks

Hi David et al, In Malz, Chapter 9: Structured Credit Risk - Page 108, it is said "the equity benefits from high correlation, while the senior bond is hurt by it". I did not fully understand that. Say if the defaults rates are high and correlation is high, equity will have more chances of...

Hi David et all, Could you please shed some light on GAP risk and Risk Not In VAR (RNIV) and the typical products covered by these. RNIV has 3 variants 1. Total VaR RNIV 2. Total SVaR RNIV 3. Total Stressed RNIV I can map 1 and 2 to market risk var and stressed var but no clue about 3...

Hi David et al, From VAR topics we know if portfolio A is added to B there will some divesification benefit if correlation between A & B is not 1. Let me add some spice to it. Portfolio A loss distribution approximately resembles normal distribution ( say retail portfolio) Portfolio B...

Hi David et. al., Not sure whether my question is relevant for this topic ( P1 T2). Could you please explain in relatively simple terms 'Importance Sampling in Monte Carlo Simulations'. I understand that its used for reducing variance in tail but it will be good to know a bit more. I...

Hi David, Probably I am jumping the gun here but this is a question lingering in my mind for a while. What is the difference between Incremental Risk Charge(IRC) and CVA. Doesn't both look at the credit migration migration risk and hence isn't there an overlap?. Is it that IRC is limited...