Search results

  1. I

    Youtube - Standard Approach to Credit Risk under Basel II

    Hi David I just finished watching the video on the "Standard Approach to Credit Risk under Basel II" I wanted to know if the formula is: Total Capital/ RWA (Credit Risk) + Market Risk+ Operational Risk > 8% Why are we multiplying the exposure to the credit risk portion by 8%? Isn't it...
  2. I

    Counterparty Credit Exposure

    Hi everyone, I have a question regarding Counterparty Credit Exposure. Given a Monte Carlo simulation for a Special Purpose Vehicle (SPV): The point is to calculate the Capital required (for a 15 day period) to cover the positive exposure of Interest rate swaps transacted with One Counterparty...
  3. I

    A credit simulation ran for a 15 day period, to calculate capital required to cover the credit...

    A credit simulation ran for a 15 day period, to calculate capital required to cover the credit risk. I understand an upcoming payment for the out-of-the-money counterparty within the 15 day period, would increase the capital required. However, how come when the in-the-money counterparty makes a...
    • ichew
    • Profile post
Top