FRM Part 2 Book 3 Operational Risk and Resiliency Page 307 Example 19.2

[lincoln40113]

Hi David,

Could you show where do the percentages, applied to the swap nationals of different maturities, come from, please? And how are the nationals calculated as well? shouldn't be 100millions for all three swaps?

Thanks David as always

 

[David Harper CFA FRM]

Hi @lincoln40113 See below for what they are doing here. Here is the XLS that i just quickly created to match their calculation https://www.dropbox.com/s/2uhl76jyqpk3qbp/070720-garp-ex-19-2-ce.xlsx?dl=0 Let me know if it's not self-explanatory?
(note to self: footnote 4 may be mistaken, says "where INT[X] returns the closes integer to X" but INT rounds down to nearest integer).