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M - Squared - Adjusted Portfolio
Hi David, Can you please confirm the composition of Adjusted portfolio for calculating M-Squared As I understand Adjusted Portfolio= Combination of (RF portfolio + portion of portfolio whose M-squared to be calculated) Eg- SD=Standard Deviation RF=Risk Free part P=Portfolio Part Portfolio...- Biju
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- Replies: 7
- Forum: P2.T9. Risk Management and Investment Management
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Expected Exposure & Counter Party PD
Hi David/All, This may be a trivial question..but a bit not clear to me .When going through the Wrong Way risk where Conditional EE is discussed.. Question 1) Expected Exposure in General terms=Avg ( +ve MTM ) counter party owes to the bank If we take an IR Swap example the above Unconditional...- Biju
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- Replies: 9
- Forum: P2.T6. Credit Risk Measurement & Management
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Credit Exposure
Hi David, Can you please clarify the below on credit exposure profiles 1)Credit Exposure Profiles We mean term structure of Credit Exposure. ie.+ve MTM values at various points in future The Variation in Credit Exposure values at different tenors in future is because of the different...- Biju
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- Replies: 2
- Forum: P2.T6. Credit Risk Measurement & Management