Recent content by Vicky26

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 owed 10 to A. Then MTM values for B are +20 and -10. If correlation is high, then both MTM values will go up/down together. And thus Net value (+10 here) will...

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'.

I dont understand this logic. If CDS spread>bond yield, then how is buy bond and buy CDS better. If CDS pread is 170bps and bond yield = 120bps, then net earn = Rf -50bps. So final earning is less than Rf.

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 should be L(1-RR)(1-V(T,X)) rather than L(1-RR)V(T,X). Is there any typo in this or previous slide ?

Why is VAR value so high for Senior Tranche ?

Its in the video for Portfolio Credit Risk and tutor refers to the link that can be used to access detailed video on Copula.

I got the video for Portfolio Credit Risk. I am asking about the copula video which is referenced to in the video (encircled in red in screenshot I shared). How to access that.

Where can we get link to the Copula video?

for BBB to B calculation for PV is at t=1month which is compared with current price which is at t=0. Shouldn't the time frame be same for loss calculation ?

Chapter on mentioned thread was added in 2025 curriculum but I could not find video on the same. Please update the material including video and question bank at the earliest. I want to complete market Risk in this week.

Yes, referring to these three LOS's.

The video does not cover topic 'Decomposition of bond returns' which has been added in curriculum in 2025.