Search results

Hi @David Harper CFA FRM I am not sure where to put this question so please feel free to move it. I just observed that in operation risk reading :- Hull, Risk Management and Financial Institutions you have added new chapter i.e. CH 17 Chapter 17. Regulation of the OTC Derivatives Market...

Jon Gregory is a difficult read i guess... Most of the reading assigned in course are difficult to interpret. Thanks a lot for your clarification David.

Hi @David Harper CFA FRM Under this topic in your notes subtopic "Contingent credit default swaps" You have mentioned the normal CDS has the disadvantage that "a key aspect of counterparty risk is that the loss as determined by the credit exposure at the credit event time is usually unknown."...

Hi @David Harper CFA FRM, I have the same doubt. Please advice. Also, I want to know if below statement true My calculated CVA (LGD of counterparty/PD of counterparty/my EE with the counterparty, for my counterparty) will be my counterparties DVA for itself?

You are a pure blessing to us David. I have no words to thank you.

Hi @David Harper CFA FRM , Malz, Chapter 12: Liquidity and Leverage Subtopic : Explain the impact on a firm’s leverage and its balance sheet of the following transactions: purchasing long equity positions on margin, entering into short sales, and trading in derivatives. Can you explain below...

So earlier people thought that equity spread is explained by index spread but actually they ignored default correlation. In reality Δequity_spread = ΔIG4_index_spread + Δ↓default_correlation + other_omitted_factors. According to this equation at any particular point in time equity spread>=...

Hi @David Harper CFA FRM , Under this thread i.e. Malz, Chapter 11 (Section 11.1): Assessing the Quality of Risk Measures I wanted to ask 2 things 1. Isn't this true that under stress situation correlation increases? In notes, it mentioned that correlation fell during the crisis. 2. Under this...

Hi @David Harper CFA FRM, Hope you are doing great!!! Dowd Chapter 14: Estimating Liquidity Risks I wanted to understand about how we compute liquidity cost? Why we divide spread by half by saying we assume we are not buying and selling at the same time, I mean what does that mean? What I...

hi @David Harper CFA FRM Under this topic in your notes, subtopic "Interest rate risk in the banking book" you have mentioned below line Trade-offs between using an earnings-based or economic value-based approach to measuring interest rate risk in the banking book need to be recognized. The...

I Swear to god, you are such an awesome teacher. You have made my life so simple like seriously. Thanks a ton again.

Hi @David Harper CFA FRM , Thanks a lot for your clarification. In the same topic under sub-topic "Describe index tranches, super senior risk, and collateralized debt obligations (CDO)" you have mentioned "Therefore, issuers of CDOs are super senior protection buyers, not necessarily because...

Hi @David Harper CFA FRM , Gregory, Chapter 12: Default Probabilities, Credit Spreads, Funding Costs In your notes under the above topic, there is a sub-topic "Describe credit default swaps (CDS) and their general underlying mechanics" in this there you explained about how in recent times...

@David Harper CFA FRM How does selective tear-up of transactions or variation margin gains haircutting by CCP works?

Thanks a lot, @David Harper CFA FRM , This clears my doubt now. Just a general question, While I was going through FRM readings I am feeling that it's vast and mostly theoretical in nature as compared to FRM part 1. Please advise the best way to prepare for the exam as per you. I mean on exam...

Hi @David Harper CFA FRM Gregory, Chapter 7: Credit Exposure and Funding In the below table, You have explained the impact of collateral on the exposure amount. E.g Future value is 25 in scenario 1 with no collateral it means we have receivable of 25 from counterparty but if we have posted...

@David Harper CFA FRM Please explain below graph a bit more. I understood from the graph relationship between Correlation and netting factor, as correlation decreases netting factor decreases which means more netting benefit. Also, for any particular correlation, as netting set increases then...

Thanks a lot for such a detailed clarification.

@David Harper CFA FRM There is one line in your notes "Netted positions are inherently more volatile than their underlying gross positions, which can create systemic risk." Why is this so? Please explain with an example. Thanks

Hi @David Harper CFA FRM I am not able to understand below graph completely. I do understand the curve of the model and why it is upward sloping but at a decreasing rate. The curve of our model is increasing at a decreasing rate. This is so because it's cumulative distribution curve. If we...