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VVicky26 replied to the thread Netting, Close-out and Related Aspects.So when correlation is low, +20 goes to +21 and -10 goes to -9 then net exposure is 12 which was 10 initially. In case of positive...
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Clay Carter replied to the thread Netting, Close-out and Related Aspects.Hi @Vicky26! You're thinking about this correctly in terms of the mechanics, but what the slide is trying to convey is a bit more... -
VVicky26 posted the thread Netting, Close-out and Related Aspects in P2.T6. Credit Risk Measurement & Management.The opposite signs of MTM is due to fact that each party owes some amount to another. Say A & B, where A defaults. A owed 20 to B and B...
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Clay Carter replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.@Vicky26 The key thing to remember is that V(T,X) in Hull's notation is already the WCDR. It is not 1 minus something, it is the...
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VVicky26 replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.In that case why are we doing '1 minus' in formula for V(T,X). It should just be formula for WCDR, and no '1 minus'.
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Clay Carter replied to the thread P2-T6-Malz, Chapter 8: Portfolio Credit Risk.@Nicole Seaman @Vicky26 Yes, I believe the reference is to Market Risk under Meissner, Chapter 5.
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Clay Carter replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.@Vicky26 The thing to remember is that V(T, X) in Hull's notation is already the WCDR. It is not 1 minus something, it is the worst-case...
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VVicky26 posted the thread Hull, Options, Futures, and Other Derivatives, Chapter 24 in P2.T6. Credit Risk Measurement & Management.Vasicek model gives WCDR which is same as 1-V(T,X). Then why are we using V(T,X) while calculating Credit VAR. Formula for credit VAR...
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Nicole Seaman replied to the thread P2-T6-Malz, Chapter 8: Portfolio Credit Risk.@Vicky26 I'm not sure if this is the video the instructor is referring to, but copulas are covered in Market Risk under Meissner...
