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    Errors Found in Study Materials P2.T6. Credit Risk (OLD thread)

    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...
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    Effect of time to maturity on sub bonds

    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...
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    Tuckman's three step binomial

    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.
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    Copula functions (Meissner)

    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...
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    [VaR Mapping] Cash-Flow Mapping

    @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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    [VaR Mapping] Cash-Flow Mapping

    Also, could anyone explain how to arrive the numbers in the picture below? Thanks in advance
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    [VaR Mapping] Cash-Flow Mapping

    Could anyone explain to me how you arrive at the 6.6234 on page 26? Thanks so much!
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