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  1. V

    Hull, Options, Futures, and Other Derivatives, Chapter 25

    I dont understand this logic. If CDS spread>bond yield, then how is buy bond and buy CDS better. If CDS pread is 170bps and bond yield = 120bps, then net earn = Rf -50bps. So final earning is less than Rf.
  2. V

    Hull, Options, Futures, and Other Derivatives, Chapter 24

    Vasicek model gives WCDR which is same as 1-V(T,X). Then why are we using V(T,X) while calculating Credit VAR. Formula for credit VAR should be L(1-RR)(1-V(T,X)) rather than L(1-RR)V(T,X). Is there any typo in this or previous slide ?
  3. V

    Chapter 9: Structured Credit Risk

    Why is VAR value so high for Senior Tranche ?
  4. V

    P2-T6-Malz, Chapter 8: Portfolio Credit Risk

    Where can we get link to the Copula video?
  5. V

    Hull, Chapter 19. Credit Value at Risk

    for BBB to B calculation for PV is at t=1month which is compared with current price which is at t=0. Shouldn't the time frame be same for loss calculation ?
  6. V

    P2.T5. Tuckman, Chapter 8

    The video does not cover topic 'Decomposition of bond returns' which has been added in curriculum in 2025.
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