Search results

Hi David, 1. What is a haircut? 2. Does the haircut% of the loan have to be the same as the haircut% of the collateral? 3. In the COMPREHENSIVE approach, if there is portion of th loan not collaralized, will the standard approach kick in and apply? 4. why in COMPREHENSIVE approach...

Hi David, 2. for K=LGD*PD*f(M,b), I am not sure if it is a different (or simplified) approach from ASRF, or it is just not strict. Could you pls confirm? In the exam, does it mean I am not supposed to use K=LGD*PD*f(M,b)? 4. sorry one more thing. Is the K risk weighing function? I do not...

Hi David, 1. For 7.d.1_b2_adequacy spreadsheet, I wonder how tier1 and tier3 capital are allocated for market risk since both have extra? ie, why not tier3=350 and tier1=0 so the totally will be 1,650 than 1,550, and so it will end up with a higher capital ratio for the bank? 2. OK.. I...

Hi David, 1. Tier 3 can only be used for market risk. it lead me to think that their is minimum capital requirement for each risk type. Or do I miss anything? (Sorry I am a little lost of your point while reading your answer..) 2. To try to answer your question (for me to ponder), since PD...

Hi David, Could you explain how lognormal VAR's formula is derived? Thanks,

Hi David, I think in Direct equity, SPE is also the issuer of the equity. so what is the difference between direct equity and equity tranch? Thanks.

Hi David, Could you take a look of this when you have chance? Thanks.

Hi David, "Discuss the potential impact of sectoral concentration on capital requirements within the Basel II IRB model. •The authors find that the market model produces an estimate of economic capital that is 10% to 90% higher than the sector model" Could you explain what the market...

Hi David, Could you explain how this is derived? "but if 1.0 correlation, PD (1st) goes all the way down to 1%" Sorry I am a little slow. :) Thanks.

Hi David, So swap = -put + vulnerable call in that case. Which formula should we use in exam? Stulz's or ours? thanks.

Hi David, I found this: http://forum.bionicturtle.com/viewthread/1566/ Now I beleive the delta-gamma approxamation is to approximate the price of the derivative, than its VAR directly. Thanks.

Hi David, that is all right. Thanks anyway..

Hi Divid, Could you take a look this question. I have found it is quite confusing. Thanks.

Hi David, 3. So your example is actually an example of 'full" revaluation, and the delta-gamma approxamation is to calcuate new derivative (or bond) price not to directly calculate the VAR, right? is it what this AIM means? Or is there a way to directly calculate derivative's VAR using...

Hi David, just to double check, in your example, http://www.bionicturtle.com/premium/spreadsheet/6.e.2_implied_pd/ you ignored recovery rate (or zero RR), right? thanks.

Hi David, 1. How does one know how many basis points will be needed to represent 95% %ile VaR? 2. are you using bond as an analogy of derivative like option, so bond=derivative and yield=stock? 3. Is VAR(bond) = Bond Price - New Bond Price? But you also said "take the VaR of stock price...

Hi David, I think I understand Taylor expansion.. my question is how to use it to evaluate the VAR of a derivative? maybe an example is helpful. Also for the full revalution method for derivitive's VAR, it says to revalute the derivative by decreasing underlying's value by x%VAR.. But the...

Hi David, It seems that the mapping can only work at the initiation of FRA when it is a zero-sum game. If after 1 month the market moves, we cannot use 2-mo long + 5 mo short to map anymore, since (R2 + original preset fixed forward rate) does not equal to (2* R5) anymore.. At the time, how...

Hi David, it seems that marginal VAR can be used in investment process, while info ratio is used in risk budgeting process. Are they consistent? Thanks.

Hi David, It seems that t-stat for Jensen's alpha and t-stat for info ratio are same (=IR * sqrt(T))? What about t-stat for Sharpe ratio? is it equal to Sharpe * sqrt(T)? Thanks.