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Hi David, Could you please explain the below para "Second, in an environment where the EME sovereigns have issued a significant quantity of domestic-currency debt, a high stock of foreign currency corporate debt may increase the incentive for fiscally stressed sovereigns to...

Hi david, I have some doubts regarding CAPM >In capm there is homogenous expection, so why would some one be willing to sell market portfolio as all investors want market portfolio? >Could you please explain the below paragraph: "The expected payoff of any asset remains constant...

Hi David, Could you please explain what is margin stepup with a simple example Thanks

Thanks David

hi David In the BI Component calculation Bucket 1 has a multiplier of 0.11 and Bucket 2 has a multipler of 0.15 In the reading it's mentioned that 0.15 is the internal loss multiplier and it's also mentioned that Bucket 1 doesn't depend on internal losses So in that case what is 0.11 ( since it...

Hi David In BT the below para is mentioned "Unsmoothing affects only risk estimates and not expected returns: Smoothing of returns or the mean estimates require only the first and last price observation but in smoothing of risks, all the risks are counted and spread...

Hi David Can you please explain the below mentioned paragragh from illiquid asset chapter "Rebalance Illiquid Assets to Positions Below the Long-Run Average Holding – In the presence of infrequent trading, illiquid asset wealth can vary substantially and is rightskewed...

Hi David Could you please explain the below mentioned sentence : > First to default spread will lie between the spread of the worst individual credit and the sum of the spreads or all the credits- closer to the latter if correlation is low and closer to the former if correlation is high. thanks

Hi David , Could you please explain the difference between settled and actual recovery rates,with an example And why does 10% settled and 40% actual recovery has low cva compared to 40% of both Thanks

Hi Eltanariel, Even in netting we are offsetting the transactions which is similar to closing it ( as in case of closeout) And both of them is triggered in case the counterparty defaults ,so what's the difference?

Hi David, In Gregory chapter 4 there are separate sections for "netting" and "close out netting " Is there any difference between the 2 as the examples provided for each of them also seems identical Thanks

hi David, Could you please explain the below mentioned sentence Given m a realization of Ei less than or equal to Ki - Bim triggers default. As we let m vary from high to low values a smaller idisyncratic shock will suffice to trigger default

Thanks David for the clarification

Hi David, In the credit spread calculation it's mentioned that an increase in interest rates will increase the value of firm and decreases the credit spread however in the unanticipated change in interest rate section, it's mentioned that an increase in interest rate reduces the value of debt...

Hi David, Could you please explain the risk adjusted pricing concept from delaurentis reading I am not able to understand the basic idea of this reading Could you also please explain each of the 3 formulas and their constituents Raroc> Roe Eva= (Raroc-ke)* Economic capital Raroc...

It really helped Thanks

Hi David In BT notes it's mentioned that endogenous liquidity risk are important when * The market for the underlying of the derivative is subject to asymmetric information, which magnifies the sensivity of prices to clusters of similar trades Could you please explain this point

As per logic if there is economic boom var has to be low and high if there is bust.which implies it is countercyclical. However if time varying volatility is incorporated Var tends to be procyclical Can some one explain why?