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    Protection selling of own debt securities

    Hello, I don't understand why someone would agree to buy those kind of cds as the cds writter and the underlying debt will have a correlation of 1 (so no protection at all as the cds writter will be in default)
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    Important Please Read: Publishing Process for 2017

    No problem with that @Nicole Seaman , I was just surprised not to see the chapter 17 in the pdf when the resume in the study planner says it is there: "Hull chapters 15, 16 & 17 contains 36 pages covering the concepts of Basel I and II and Solvency II, Basel 2.5, Basel III and Dodd-Frank . After...
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    Important Please Read: Publishing Process for 2017

    Hello @David Harper CFA FRM , I have a question about the Hull study notes P2.T7.Hull_515_524. Indeed in the description it is said that it covers chapters 15 through 17, but in the document only chapter 15 and 16 are covered. On a side note in the question set, there are some question around...
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    Query about ES calculation in Dowd Study Guide Page 15

    @SaiJyotsna92 , when calculating VaR or ES, you don't look at the payoff but at the amount you'll lose. In case of a default, you'll lose 100% (ie the 1) of the value of the bond and in case of no default you'll lose nothing (ie the 0)
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    Important Please Read: Publishing Process for 2017

    @Nicole Seaman , I can see in the FRM part 2 operational and integrated risk management some coming soon items (question sets for SMA, Dowd and De Laurentis). Does it means that it will really come soon or that you're still working on it? Thanks.
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    Settled vs actual recovery rates

    It's very clear as usual, thanks a lot David.
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    Settled vs actual recovery rates

    @David Harper CFA FRM , in you screen capture (and in the xls) should'nt it be recovery set to 40% and 10% instead of LGD? I'm expecting and LGD of 60 and 90% right?
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    Netting vs closeout netting

    Close-out allows you to terminate the deals before bankruptcy, but it doesn't mean you can use netting Netting allows you to net all your trades, but it doesn't mean you can do it before bankruptcy. Nowadays most of the ISDA master agreement includes both netting and close-out but there is...
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    Netting vs closeout netting

    @saurabhpal49 , netting and closeout netting are not exactly the same thing (even if the netting part is the same in both) However, closeout is another mitigation , let me quote Gregory here: " Netting: the ability to offset all transactions (both in an institution’s favor and against it) when...
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    Help to use HPBII calculator

    I can't help sorry. As most people, i have the TI BA2+
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    Help to use HPBII calculator

    @Vvinay , I'm not sure to understand what you need as CAPM is just addition and multiplication: E(r)= rf + B(rm - rf) Where do you need help for that using the HP calculator?
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    Win prizes for forum participation!!

    @Nicole Seaman , Yeahhhh :), Thanks, please let it accrue Kind regards
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    Does selling a call option also counterparty risk free?

    As long as you have EE you'll have a PFE so in the case of an option with a forward premium you have a PFE for a given confidence level, but I'm not sure if I answer really the question you want to ask
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    Does selling a call option also counterparty risk free?

    In fact for an option not in a netting set you have 2 possibilities: - the option will be exercised and will cost you something - the option is not exercised and will be worthless So to be conservative, your credit exposure is the discounted premium (and your MtM will be the sum of your...
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    Does selling a call option also counterparty risk free?

    From my point of view, as long as you are expecting to receive a payment in the future, then you attract CCR as you face the risk to not being paid. Now looking at the EBA FAQ, I interpret that point only for standard option which have the payment upfront and not more customized options with...
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    Win prizes for forum participation!!

    @Nicole Seaman , thanks a lot, I wasn't expecting to be named here. As I'll still be around for some months at leats, please let it accrue :)
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