I am looking at the formulas for BCVA stress test. However, the notation is really confusing. Could anyone clarify which belongs to which (counterparty or the firm itself)?
For example, in the notes, it says S(I) is the counterparty's survival rate. (Topic 32, page 13)
however, in the...
Hello, I have been reading up on the chapter about senior debt and subordinated date valuation and I saw some in the text "Senior debt always falls in value when firm volatility increases" or "As the interest rate rises, the value of senior debt falls", which does not really offer much...
Hi @David Harper CFA FRM
For the second step: replicating portfolio in Page 18. How did you get all those values at around 600 in (blue/purple highlight)? I could not follow from here.
Thanks.
Hi, @David Harper CFA FRM
Speaking of the Gaussian copula, could you please explain how to compute the following?
(This is a screenshot from page 48 of the Meissner node)
I am trying to figure out how to arrive at 3.44% and also potentially a glimpse into how to solve more-factor equation...
@David Harper CFA FRM
Thanks for the detailed explanation!
For the second exhibit, could you also explain how you arrive at the PV of the flows, $125.93.
I tried to use the 'short USD bill' rate to get it (125.93 = (100 * 1.3013) / (1 + 3.330%) ) and I cannot seem to arrive at that number...
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