malz

Dear David, Regarding AIM: Assess the effects of correlation on a credit portfolio and its Credit VaR in Malz Chpater 8, could you kindly explain how the number of defaults are calculated in the example provided? Many thanks, Karine

Hi David, Regarding AIM: Describe a waterfall structure in securitization (Malz, Chapter 9 Structured Credit risk) On page 34 of our notes could you kindly explain how the principal of 85 for senior tranche and principal of 10 for the mezzanine tranche in the example were calculated please...

Hi, In the chapter Portfolio credit Risk (Allan M Malz) regarding the CVaR it is mentioned that when the PD is less then the significance level, then CVaR would be (-) ve or there would be a gain instead of loss as extreme loss is Zero, and if PD is more than significance level then CVaR is...