GARP's requirements on credit exposure
- Thread starter ajsa
- Start date
Hi asja,
Once again, a very keen observation. I think the biggest single "hole" in the L1+L2 assignments is counterparty risk; I almost promise you GARP will plug this hole in 2010. (Arguably, it's a mistake as assignment coverage actually shrunk from 2008 for an obviously *hot* topic). Currently, the only true "mapping" is to: Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk (and, to agree with your point, the AIMs under this reading are not surrounding the topic).
Could you clarify the requirements here? I really don't know, it's pure speculation. Arguing in favor of "don't worry about this section; i.e., skip it" are: 1. it's not assigned, and 2. it tends to be more advanced and therefore maybe less likely for the first L2. Arguing against is: topical and relevant. To be immodest, I do think my video tutorial covered the keys: ECE, WCE ... and then if you use exposure on the interest rate swap as the "case study" to give concrete understanding to the terms, I *think* that's mostly what you need ... oh, plus, i would be ready for the question: what (stochastic) process "engine" do we use in MCS for equities, currencies, etc, in the beginining of Canabarro....David
Once again, a very keen observation. I think the biggest single "hole" in the L1+L2 assignments is counterparty risk; I almost promise you GARP will plug this hole in 2010. (Arguably, it's a mistake as assignment coverage actually shrunk from 2008 for an obviously *hot* topic). Currently, the only true "mapping" is to: Eduardo Canabarro and Darrell Duffie, “Measuring and Marking Counterparty Risk (and, to agree with your point, the AIMs under this reading are not surrounding the topic).
Could you clarify the requirements here? I really don't know, it's pure speculation. Arguing in favor of "don't worry about this section; i.e., skip it" are: 1. it's not assigned, and 2. it tends to be more advanced and therefore maybe less likely for the first L2. Arguing against is: topical and relevant. To be immodest, I do think my video tutorial covered the keys: ECE, WCE ... and then if you use exposure on the interest rate swap as the "case study" to give concrete understanding to the terms, I *think* that's mostly what you need ... oh, plus, i would be ready for the question: what (stochastic) process "engine" do we use in MCS for equities, currencies, etc, in the beginining of Canabarro....David
Hi asja - yes, agreed, FAS 133 hasn't appeared since 2007 ... except for a bit of mark-to-market, I don't see *any* accounting/FASB/IASB (really) in 2009 - David
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