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Hey there @brian.field Please do stop by here whenever you are available. @David Harper CFA FRM I miss the forums too, however, I shall endeavor to come here as and when I do get the time. Let me tell you at this juncture that my FRM qualification has enabled me to make the shift from...

Dear @Nicole Seaman Thanks very much! As usual, I will have the Amazon Gift card please Thanks

Dear @Nicole Seaman Thanks very much! I would like to have the Amazon Gift Card please Thanks once again

Hi there @saurabhpal49 I recommend you watch the movie, "The Margin Call". It is worth it and this situation plays out at the wee end. Thanks

Hi there @saurabhpal49 As you might be aware, one of the components of the measurement of Liquidity Risk is based on the impact of our trade on the security price. Hence, whenever our trade cannot be expected to have an impact on the security price, exogenous measures are used. However, this...

Thanks very much @Nicole Seaman !:) I would like to have the Amazon gift card please

@tosuhn I think the above quote is a good starting point for your question. When you are on the payment side of fixed interest rates in a Fixed-Floating IRS, I would suppose that it is akin to being on the short side of a Fixed Coupon Bond, hence, the PV01 would be positive (being the negative...

Hi there @FieryJam You may find this useful. It talks about the pro cyclical nature of VaR based on the approach employed based on the excellent discussions of @emilioalzamora1 and @David Harper CFA FRM...

I think this question doesn't arise at all now ;). We only invest at Rf rate and hence Hull's derivation is also proved. Thanks

Thanks for asking me these probing questions, if not for you, I would never have realized that I was making a mistake by including both discounting and compounding in the same angle :eek:. To make it clear, the equation only works if you invest in the Rf rate. Therefore, we have to invest in Rf...

I need some time for having a look at Hull's derivation, however, I can answer your second point. You have taken my case A. In that situation, the Call option neither lapses nor is it exercised and hence it is just a known quantity with some positive value > 0, So we should not replace C with...

Hi there, to complete the cycle, Proof of the LHS as I understand it: Normal Put Call Parity: c+K*exp(-rf*t) = p + S This is assuming we have a portfolio of one Long European Call(c), PV of Strike price as Cash, Short European Put (p) and Short one Share. Here the options are all European...

Hi there @brian.field I have always thought about these things from two angles. I think what David is trying to convey and what you are trying to say is basically approaching the issue from opposite sides. When we think of Call options in general, we can see that the value cannot exceed the...

Attaching the Excel File

Hi there @trigg989 In my opinion, there is ! Consider the classic case of the events leading up to the Financial crisis of 2007-2008, take especially the case of Countrywide corp. They assumed that once, any Loan given to absolutely non credit worthy people is securitized and removed from...

Hi there @emilioalzamora1 ! I am honored to talk to you, I have seen the amazing clarity of the responses given by you in the forums.:) If I am not wrong, you are asking why the difference arises between the two methods, right? I would like to hazard a guess here based on my understanding of...

The Quoted price would be given in the problem as that is what is quoted on the Terminal for the Futures or the Bonds. The general convention in the US is to quote the clean prices. As far as the Conversion factor goes, you can calculate the same provided the yield on the 'standard' Bond is...

I am attaching an Excel explaining the computation of Dirty and Clean prices Basically, the calculation of the Dirty Price of a Bond when you buy the same in between coupons takes the following formula: ∑CF/[(1+YTM)^(days to next coupon/days between coupons)*(1+YTM)^(t-1)]+FV/[(1+YTM)^(days to...

Dear @juhsu In the case of a Bond, the PV of all its cash flows at a given time incorporates the interest (the coupon) from that time onwards as well the final principal repayment, hence the accrued interest calculation is captured in the PV of CF computation itself. Thus, you get the Full or...

@gargi.adhikari We have to remember that in Dowd's version of the formula, alpha is the Confidence level and hence we have to divide by 1-alpha, which gives us the probability of exceeding the losses at a given Confidence level. I have attached an Excel based on Dowd's example showing the...