Search results

I am not sure, but I think what you are quoting there is the (net) valuation of the swap. The question asked for the cashflow to the firm (receive/pay more/less than 0.4m) and for (most) swaps, cashflows are exchanged. Also, my realised rho based on the correlation matrix = 40%. This is logical...

I disagree with that. Forgone revenue and opportunity costs are not normally included in OpRisk loss reporting.

Duplicate post.

Not sure. I don't think so. Insurance can lower the capital charge for oprisk, but doubt it should effect the loss reporting.

Aha. you're right. That makes it clearer. So answer would then be that the firm receives > 0.4m.

There was also a question on the shape of the implied volatility curve for options on a stock which is in an M&A process and is therefore expected to either go up by 25% or go down by 20%. This puzzled me for a while. Price jumps cause volatility frowns... but how about expected price jumps? I...

Question on the Ho Lee model and the (non)negative interest rate at the lowest (0,2) node - I don't know if I did it right, but I seem to remember I got to 5.4.

Question on pension fund not being able to cover liabilities with assets - I choose sponsor risk. If L > A, then the plan's sponsor would be expected (by participants as well as regulators) to make up the difference. Sponsor's willingness/ability to do this = sponsor risk. Question was strangely...