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it's in HULL, CHAPTER 15: BASEL I, II, AND SOLVENCY II, HULL, CHAPTER 15: END OF CHAPTER Q&A

Hi David, I'm not sure how the risk weights in 15.6 are calculated. I'm using this formula: max(V, 0) + a × L and applying the following add on factors a) 0.015*250 = 3.75 b) 0.005*100 + 3.5 = 4 c) 0.1*50 +1 = 6 then I am using the table below to get the relevant risk weight for a corporation...

got it. thank you very much!!

Hi David, In question 3.16 I get a slightly different number for the present value of the premiums received. Here's my calculation Y+(0.988594Y/1.03^2)+(0.97725/103^) = 2.8261669, while the answer is 2.800458. Where am I going wrong?

Hello, How was the confidence interval in question 10.2 calculated?

Hello David, If I am given the returns of stock for a certain period of time and I need to calculate VaR with the following formula VaR = portfolio value * (∑(R) – zσ), how do I calculate the expected return ∑(R). Should I just take the average of the log returns, or should I calculated the...