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  1. O

    P2.T7.b2.2 - basel securitization

    Hi David, regarding the question - Why banks should not rely solely on external credit ratings assigned to securitization exposures (option a)? In basel 2 (p 609) it's written that we must use RBA, unless a rating can't be inferred / unavailable. Am I missing something? Thanks, Ohad
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    P2.T6.416. Credit default swaps (CDS) and credit spread curve

    Hi David, I have a theory, which ironically I got from a video you posted a few years ago regarding the positive/negative basis trade: (its a way to test my understanding as well) Maybe the funding cost is the repo rate (which is Libor equivalent per the example), and the spread is based...
  3. O

    P2.T6.416. Credit default swaps (CDS) and credit spread curve

    Hi David, I have a theory, which ironically I got from a video you posted a few years ago regarding the positive/negative basis trade: (its a way to test my understanding as well) Maybe the funding cost is the repo rate (which is Libor equivalent per the example), and the spread is based...
  4. O

    P1.T2.203.3 answer

    Hi, Can you please explain why portfolio A is more peaked according to the answers? KA = 3.7, which means it should have a lower peak than a normal distribution:
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