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Hello, I am confused with this way of calculating the marginal default probability for the 1st year. The question is asking 1-year CVA, so my understanding is 1-year marginal default probability = cumulative default probability for the 1st year, so 1- e^(-0.06*1) = 0.058. However, the number...

Hi, in the instruction vide, Hull, Chapter 17. Estimating Default Probabilities, 52:26, how do we solve the unknown A0 (company's asset value) without knowing the N(d1) and N(d2) ? The narration just said "plug in the numbers", and the GARP book also doesn't say anything. Can someone please...

Hi, The instructional video on the correlation crisis stated that the bank suffered losses because it was "short on equity tranche and long on the mezzanine tranche." But in the GARP, it is the other way around. Is there something I missed ? Thanks.

Hi All, in chp 13, p.605, I am trying to understand the contribution of the key rate 01. Per my understandings, I have calculated the opposite percentage for the 5-year and 10-year rates. My thoughts are : 1. The impact of 5-year rate drops to zero at year 10 2. so starting from year 5, 5...

Hi All, I am very confused with the notation of the domestic and foreign currency. I understand that e.g. EURCAD = 1.46, which means CAD per EUR(CAD/EUR) i.e. 1 EUR = 1.46 CAD (REF Comment #10...