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...
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...
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...
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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