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RWA
15.6 Estimate the capital required under Basel I for a bank that has the following transactions with a corporation. Assume no netting. a. A nine-year interest rate swap with a notional principal of $250 million and a current market value of −$2 million. b. A four-year interest rate swap with a...- dlrm
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- hull-rmfi-15-6
- Replies: 8
- Forum: P2.T7. Operational Risk & ERM (25%)
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Transition matrix and PD
In BT's pdf "Brian Nocco and René Stulz, “Enterprise RiskManagement: Theory and Practice” is example with transition matrix, and at page 4 there is statement "Given an optimal target rating of ‘A,’ the firm discerns this rating will be achieved if itsprobability of default is 0.08%." Could you...- dlrm
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- nocco
- Replies: 2
- Forum: P2.T7. Operational Risk & ERM (25%)