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Dear Nicole What a pleasant surprise! I would like to have the Amazon Gift card please Thanks Mani

Dear All On this Black Friday ;), let us remember another Black event which taught us several lessons I happened to do a presentation on Black Monday of October 1987, seeing as it were the 30th anniversary of an event which can still teach us several lessons. I have termed it as the crash of...

Dear @sahajiabhijit This can be explained from multiple standpoints: Banks are involved in the business of maturity transformation, it is not possible for a Bank to fund all its loans with deposits of equal tenors, hence most often deposits of shorter maturities fund the longer duration...

Hey there @brian.field Please do stop by here whenever you are available. @David Harper CFA FRM I miss the forums too, however, I shall endeavor to come here as and when I do get the time. Let me tell you at this juncture that my FRM qualification has enabled me to make the shift from...

Dear @Nicole Seaman Thanks very much! As usual, I will have the Amazon Gift card please Thanks

Dear @Nicole Seaman Thanks very much! I would like to have the Amazon Gift Card please Thanks once again

Dear @David Harper CFA FRM I thought as there was a discussion on Endogenous Risks over here at https://forum.bionicturtle.com/threads/exogenous-liquidity-vs-endogenous-liquidity.9310/#post-51818, thought, it might be appropriate to extend this discussion on the Yield Curves to incorporate...

Hi there @saurabhpal49 I recommend you watch the movie, "The Margin Call". It is worth it and this situation plays out at the wee end. Thanks

Hi there @David Harper CFA FRM Good Luck to you to restart "This week in Risk" ! Can't wait for it to resume:) Thanks Mani

Hi there @saurabhpal49 As you might be aware, one of the components of the measurement of Liquidity Risk is based on the impact of our trade on the security price. Hence, whenever our trade cannot be expected to have an impact on the security price, exogenous measures are used. However, this...

Thanks very much @Nicole Seaman !:) I would like to have the Amazon gift card please

@tosuhn I think the above quote is a good starting point for your question. When you are on the payment side of fixed interest rates in a Fixed-Floating IRS, I would suppose that it is akin to being on the short side of a Fixed Coupon Bond, hence, the PV01 would be positive (being the negative...

Hey there @emilioalzamora1 Thanks for this wonderful lecture. To get a better idea of what he is trying to convey, I have attached an Yield Curve based on Constant Maturity Treasury Instruments, calculated for 1M, 3M, 6M, 1, 2, 3, 5, 7, 10, 20, 30 Years. Src: Source Data for the graph...

Hi there @FieryJam You may find this useful. It talks about the pro cyclical nature of VaR based on the approach employed based on the excellent discussions of @emilioalzamora1 and @David Harper CFA FRM...

I think this question doesn't arise at all now ;). We only invest at Rf rate and hence Hull's derivation is also proved. Thanks

Thanks for asking me these probing questions, if not for you, I would never have realized that I was making a mistake by including both discounting and compounding in the same angle :eek:. To make it clear, the equation only works if you invest in the Rf rate. Therefore, we have to invest in Rf...

I need some time for having a look at Hull's derivation, however, I can answer your second point. You have taken my case A. In that situation, the Call option neither lapses nor is it exercised and hence it is just a known quantity with some positive value > 0, So we should not replace C with...

Hi there, to complete the cycle, Proof of the LHS as I understand it: Normal Put Call Parity: c+K*exp(-rf*t) = p + S This is assuming we have a portfolio of one Long European Call(c), PV of Strike price as Cash, Short European Put (p) and Short one Share. Here the options are all European...

Hi there @brian.field I have always thought about these things from two angles. I think what David is trying to convey and what you are trying to say is basically approaching the issue from opposite sides. When we think of Call options in general, we can see that the value cannot exceed the...

Attaching the Excel File