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Hi David, thanks agin for your help and that you pulled me back on the right way: Hulls statement "With the assumptions in a) to e) above, CVA=DVA=0 and the value of the portfolio in equation (2) simplifies to fnd(rc).” only belongs to the case where CRA=0 due to rf=rc. Due to the fact, that...

Hi David, thank you very much for your detailed explanation. I appreciate very much that you spend so much time to make things clear. Especially the reference to Gregory with CRA=FCA-FBA helps me to memorize that CRA is positive for the market participant who is collateral payer (he posts...

Hi David, thank you very much for your detailed answer and especially for the links to the files. These are very helpful for me in order to do calculations for other parameter sets. Additionally this reinforces my knowledge concerning the calculation of conditional probabilities, which might be...

Hi David, thank you very much for your detailed answer! I'm very glad, that you had time to review my thoughts. Unfortunately I have the following Point: You write: "if the market participant is paid more than the funding cost of the collateral (economic rate), negative CRA would appropriately...

Hi David, I have the following question concerning tail dependence: Assume two random variables which are normally distributed with mean = 0 and deviation=1. What is the conditional probability P(X>=1 | Y>=1) given high tail dependence? Can you show in detail the calculation? Thank you in...

Hi David, according to Hull: If a market participant expects to be a net PAYER of collateral the formula is: f = fnd - CVA + DVA -CRA Question 1: If a market participant expects to be a net RECEIVER of collateral the formula is: f = fnd - CVA + DVA +(!) CRA Is this correct? Question 2...

Hi Suzanne, up to now I can't find neither study notes nor practice questions concerning Stulz, Chapter 18. What are your plannings concerning the release? Thanks a lot!

Hi Suzanne, unfortunately I can't find P2.T6. Credit Risk Measurement & Management (Reading 40) on your site. Did you remove this document? How can I find the study notes concerning Stulz, Chapter 18? Thanks a lot!