I'm now reading the BIS paper "Studies on the Validation of Internal Rating Systems"
http://www.bis.org/publ/bcbs_wp14.htm
http://www.bis.org/publ/bcbs_wp14.pdf?noframes=1
that adds "unstressed PD" and "stressed PD" to the point-in-time (PPT) and through-the-cycle (TTC) rating systems.
I...
Using your notation in slide 21, Market B, could Saunders be talking about the *forward* rates f(1,2), f(1,3), f(1,4), f(1,5) [which would be the *spot* rates 1 year from now]?
I'm going through Saunders p. 337 on CreditMetrics and the use of *forward* rates doesn't seem to jive with slide 22 of Market B.
It seems to me that Saunder's r1, r2, etc. should be *spot* rates [slide 21] rather than *forward* rates.
Note that de Servigny also talks about *forward*...
I took a look at your episode question ... and cool! That was perfect!!!
(You don't have to create an XLS but would appreciate answers to my nitnoid questions.)
OMG! I didn't even know about the "2008 FRM Screencast Tutorial Q&A;" folder.
(Right now I am going through my "first pass" in...
On slide 26 on Credit Assessments: Standardized Approach could you give concrete examples of "Banks-Option 1," "Banks Options 2" and "Banks-Short-term claims under Option 2" are [paragraph 63]? Also why does a risk-weight of *150%* makes sense for credit assessments "Below B-"? (Wouldn’t EAD be...
I am missing something with the substitutions so could you go through step-by-step equations 17.20 through 17.23 in Grinold (p. 500)? Also could you provide some insight or interpretation of the mathematical manipulations? For example where did u_PAR(t) in Eq. 17.23 come from?
Note that I...
Just FYI but Tavakoli has a new book out " Structured Finance and Collateralized Debt Obligations: New Developments in Cash and Synthetic Securitization (2nd Edition) that was released in September 2008.
http://www.wiley.com/WileyCDA/WileyTitle/productCd-0470288949.html
Looking forward to...
I went through Credit C slides 34 & 35 and it appears that the super-senior tranche relates to the tranched portfolio default swap (TPDS). I’ve read Meissner (p. 49) and saw
http://www.bionicturtle.com/learn/article/tranched_portfolio_default_swap/
To be honest I still don’t understand...
I just went through Credit C slides 34 & 35 and it appears that my question above on the super-senior tranche relates to the tranched portfolio default swap (TPDS) . I've read Meissner (p. 49) and saw
http://www.bionicturtle.com/learn/article/tranched_portfolio_default_swap/
To be honest...
David,
This might be off-topic which is why I did not want to create a new post but if "super senior" tranches are super safe because they are at the top of the totem pole, why did Merrill Lynch write them off this past June instead of holding them to maturity...
I thought that your illustration of expected exposure and worst exposure using an "interest rate swap" on Credit B slides 10 & 11 were terrific! Question: does this *parabolic* shape (i.e., par at terminal value) apply to say, the "off-market yen-US dollar currency swap" on page 128 of...
I've been working through Hull and is it possible that the 6-month LIBOR rate of 5.5% [cell D7 in EditGrid] is "conceptually" not the right one to use for calculating the floating bond's cash flow?
The 6-month LIBOR rate in your term structure of interest rates schedule [D7] is a measure of...
In the screencast you mentioned that you did not use Tuchman's notation for forward rates. Is the notation on slide [Acrobat p. 17] right? Note that on the next and last year's slides you used f(1.5,2.0).
On page 106 on your study notes, an example is presented on calculating f(1.5,2.0). Are...
Ooops, typos. It is still not clear to me how the change in futures price ["Futures Price Gain” = E29] can be computed by the change in spot price of jet fuel [E28 = $1] divided by r^2.
I thought r^2 was a measure of the “goodness of fit” (r =1 means a perfect linear fit; r = 0 means...
It is still not clear to me how the change in future price ["Futures Price Gain" = E29] can be computed the change in spot price of jet fuel [E28 = $1] divided by r^2.
I thought r^2 was a measure of the "goodness of fit" (r =1 means a perfect linear fit; r = 0 means uncorrelated or totally...
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