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    Example 6.3 credit risk measurement and management : computing z spread

    Hello David, Thank you very much for this really clear answer. Thanks to your excel table, I have totally understood the concept. The Z-spread has to be found by iteration (example 7.2), then regarding the example 7.3, we can calculate different bonds values considering an increase/decrease...
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    Example 6.3 credit risk measurement and management : computing z spread

    Hello, Thank you very much for your answer. I totally understand and should have mentioned that I made reference to the garp book, FRM Part 2, Credit Risk Measurement and Management, page 155 (chapter 6 : spread risk and default intensity models), example 6.3. Thank you very much for your...
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    Example 6.3 credit risk measurement and management : computing z spread

    Hello, May someone help me with the 6.3 example regarding the computation of the spread 01 (p.155). In fact, I don't understand the way it is calculated. 0.07/2 * e-(0.0347+0.04605-0.00005)i1/2 + e-(0.0347+0.04605-0.00005)*5 Where i = 2 to 5? I don't manage to find the results...
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    GARP Ebook

    Hello Karim, Thank you very much for your answer. It's a shame that it doesn't work better. It is a fast way to summarize the key points instead of writting them down and losing some precious time! Have a nice day and good luck for the FRM part 2! Best regards, Bernard
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    GARP Ebook

    Hello, Does anybody know if it's possible to copy paste information from the ebooks to Word for example? Thank you for your help Regards
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