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Since Dodd Frank Act prohibits banks to use credit ratings for calculation of regulatory capital, is it fair to say that no US bank uses standardized approach (since std. app. was largely based on external credit ratings? Also, I am reading a recent "Revisions to the Standardised Approach...

How is the "Spread Risk Factor" of 0.005 calculated in below question ? Maybe it is as stupid question, but I can't recall.

I am having trouble understanding - "Increasing recovery increases the implied default probability" ..how is that happening?

I am unable to completely understand trade compression. In the example below, The final contract's coupon is weighted average of what ?

This is related to Constanitides Funds Chapter. What's is the subtle difference - Selection Bias Vs Survivorship Bias? They both are same in nature that funds are not reported due to poor performance.

Hi Tuckman Ch 7 - Term Structure models has a AIM "Define option-adjusted spread (OAS) and apply it to security pricing.". I cannot find material to read on this in BT notes / videos nor in the Tuckman book (maybe i have old version). Can anyone please help?

Hi, I was wondering where can we see real market data (say for exxon, apple etc) for CDS spread, corp bonds, implied PD from CDS etc. ? It will be so good to related to real world as we are studying. Tx

Hi, I tried to capture the effect of factors on Bond metrics. See below. Can anyone please verify whether following is correct? Apologies, as exam is nearing I am feeling pressured for time and hence spared to do extensive forum search. "+" --> Increase "-"--> Decrease Please mention...

An investor has entered into a forward rate agreement (FRA) where she has contracted to pay a fixed rate of 5 percent on $5,000,000 based on the quarterly rate in three months. If interest rates are compounded quarterly, and the floating rate is 2 percent in three months, what is the payoff at...

A bank entered into a 4-year tenor plain vanilla swap exactly three years ago from today. The agreements of the swap are to pay 6.5 percent annually, based on annual compounding with a 30/360 day-count convention, fixed rate on a $50 million notional, and receive 1-year London Interbank Offered...

Hi All & David, I have created a easy reference sheet for Options Strategies. I understood the underlying fundamental on how to deduce the payoffs for various strategies. But where I was struggling was to "remember" which strategy has what payoff and felt the need to have a consolidated view...

Hull.04.12: 04.12a. A 3-year bond provides a coupon of 8% semiannually and has a cash price of 104. What is the bond’s yield? Any idea how do I solve for this in HP 12C? 4e -0.5y + 4e -1.0y + 4e -1.5y + 4e -2.0y + 4e -2.5y + 104e -3.0y = 100 With yield = 7.588%

hi All I have a basic question ... but confuses me - are risk free rate and zero curve same? We use zero curve to calculate PV of bonds cash flow, but we can use risk free too, right? If this is answered specifically in material, you can point me there or any other post. Thanks in advance.