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Congratulations @FrmL2_Aspirant and @bpdulog Good luck on all your endeavors and stay in touch on the forums and LinkedIn. Congratulations to all those who cleared the examinations!

Thanks @David Harper CFA FRM ! Good to be back here and back in India again. I must say I loved the education offered in your country. The Excel is superb, I have downloaded it for my reference.

As the Worst Case Default Rate (WCDR), which is used in the computation of Credit VaR is affected by default correlation, I would hazard that the Credit VaR is affected by our estimates of the correlation. https://courses.edx.org/c4x/DelftX/TW3421x/asset/Week6_PD3_2.pdf This particular link...

Dear @Linghan I don't have the material with me at the moment but as you want the cumulative PD, we have the following formula: P(t*<t+tau|t*>t) = F(tau) where F (tau) is the cumulative PD at tau which is 1 - exp(-lambda*tau) and where lambda can be approximated as z/(1-R) where z is the...

You are correct. The tangency point on the efficient frontier where the CML touches is the Market Portfolio and that is the point where the Sharpe ratio is the highest I am not sure if you can find the market portfolio that way because, the Sharpe ratio is in itself the slope of the efficient...

Thanks Nicole, I would like to have the Amazon gift card please

I cannot vouch for the accuracy of this, perhaps, we can say that the treasury securities and the Equity market are negatively correlated, I would assume that if we chart the correlation between the S and P 500 Index (the proxy for the market) and the T bills, we can find negative correlation...

d1 and d2 are derived from the BSM model which is applied in the Merton model for the valuation of Equity and Debt. https://forum.bionicturtle.com/threads/merton-model-a-summary-of-the-issues.5646/. David covers in great detail how to calculate the value under the Merton model...

I would personally think that any credit scoring model is basically the same as the models that are used in Machine Learning, the word parsimony, as a scientific principle refers to something that can be done in the most simplest of ways, therefore, in the same vein, we refer to models in...

Dear Nicole Congratulations! Best Wishes for a happy married life:) I noticed that while I was posting, but wanted it to come straight from the horse's mouth:D I would like to have the Amazon Gift card please Thanks PS:Changed from Paypal to Amazon Gift card

Dear @taunk I think that the Log likelihood ratio is the more advanced version of the basic backtesting that was discussed prior to it. We know that the Backtesting model as initially adopted comprised of the N, which is the number of exceptions as well as the T which is the sample size (number...

Thanks David. I value your take on these very much!:)

Dear @David Harper CFA FRM I happened to do a thread on the Brexit when all hell broke loose in June. I thought it might be worthwhile to bring it up again, there are a couple of Risk strategies that have been discussed by the others and me. I would certainly like to hear your thoughts on the...

Dear David and Nicole Have a happy vacation!:)

Dear @ami44 Thanks for the above document. If I get it correctly, you have stated throughout this thread that the possibility of the Delivery Squeeze affects the CDS alone, reducing its value by reducing the spread. It has no effect on the Bond spread, however, this in itself depresses the...

Yes, I don't know what the exact mechanics of the market are, but a reading of Gregory seems to concur with your last point above, Gregory states that the possibility of a squeeze like how it reduces the CDS spread and thus its value, also reduces the Bond Spread because the scarcity of supply...

Thanks very much @Nicole Manley ! :) I would like the Amazon gift card please Thanks once again

Beautiful @ami44 , Thanks that cleared my confusion! So, what I get is that the CDS spread is not the same concept as Bond spreads, therefore, if I get it correctly, CDS spread is the premium paid by protection buyer to protection seller and since the protection buyer is willing to pay less of...

Hi @arkabose Gregory has been known to be dubious with the CDS-Bond basis. Look at his error with the Funding cost example, as you know, increase in the Funding cost of a Bond, increases the spread demanded by the Bond holders and hence the Bond spread rises, CDS being unfunded remains the...