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  1. Y

    Basel II and Insurance Companies

    David, Does Basel 2 apply to insurance companies in any way...i.e. insurance company as a subsidiary of a bank? jy
  2. Y

    key rate shft

    right...it seems like it should taper to 0 but the more I think about it - maybe its a boundary condition definition that is being applied so as to make it consistent with the parallel shift paradigm without having to have an extra key rate (the 0-2 year maturity)...not inconsistent just...
  3. Y

    key rate shft

    David, In the key rates example (5.b.3) it appears that when the 2 year key rate is shifted it affects only the rates above it up to 5 years...shouldn't it also affect the rates below it i.e from .5 years to 2 years? jy
  4. Y

    formula for Skew

    David, w respect to Skew calculation (page 10 in formulas) how do you go from E(X-U) cubed / stdev cubed to simply U cubed divided by stdev cubed? jy
  5. Y

    Hull's cost of carry

    David, In spreadsheet 3a8 theres an example of Hull Long Bond Forward. Is the $40 coupon given or is iot being backed out? I dont see am indication of coupon payment ...is the interest rate of 4% assumed to be the coupon? jy
  6. Y

    Formulas

    ok...thanks...the powerpoints are first class - dont want to interrupt your work flow.
  7. Y

    Formulas

    David, Do you have a spreadsheet summarizing formulas that are critical to the full exam. JY
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