Hi Suppose have capital structure of senior: 100m, Mezzanine; 50m and Equity: 20m. what's credit enhancement of senior tranche? Looking for example similar or pointers on solution thanks
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There was a question like calculate credit spread and express in continuous compounding. I believe they wanted us to use FRM I material for an FRM 2 question.
If the credit spread is 3% then how would one express in terms of continuous compounding??
thx
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In some sources i am finding that we multiply the numerator (Revenue +ROCE - EL - Int - Op) by the tax rate as it is whereas other sources it says I need to multiply numerator by (1-Tax rate) why is this?
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I have a question on calculating surplus at risk which states that formula to get this is MU - SIGMA x Z but another question says "compute at 95% confidence level that surplus value will be less than X" i.e what is X, for this final answer we use MU + SIGMA x Z. Why the difference in the...
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A quick one. Concept around when they quote bonds or DV01 value as per 100 face value. I want to clarify understanding.
So if quote DV01 as 6 per 100 FV then effectively if the bond value is 1000 then that's just 6*10. DV01.
I think there must be question somewhere that has this wording...
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I see you can become a member of GARP. Is it necessary to pay the $195 fee to be able to take the FRM 1 exam? Or can you not be a member and still take the FRM 1 exam?
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In this example shouldn't the floating leg have the same number of cash flows as the fixed leg. In this example there is one cashflow for floating and I can see the explanation in red but don't understand it. Thoughts?
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Hi
A question that I think has a very straightforward answer (apologies in advance) but I don't know the answer:
For question 3.11 in the pricing conventions, Discounting and Arbitrage section we have an actual / actual day count. The question refers to coupon dates in 2014. Now each year...
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