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    Meissner, Chapter 1: Some Correlation Basics

    Hi @David Harper CFA FRM, While going through the chapter I have a couple of questions: 1. Quanto Option - In the reading it mentions - If the correlation is positive, an increasing Nikkei will mean an increasing yen. That is favorable for the call seller. She has to settle the payoff, but...
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    VaR and ES

    Hi @David Harper CFA FRM - I wanted to know if we have a spreadsheet to calculate the Order Statistics Estimates of Standard Normal 95% VARs and the associated Confidence Intervals. I wanted to understand the calculations.
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    Credit Exposure

    Hi, it is mentioned in the Credit Exposure chapter that Exposure is proportional to T^(1/2). How do we know this result?
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    Difference between Marginal and incremental VAR

    Thank you so much. This makes it clear!
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    Difference between Marginal and incremental VAR

    Hi , I understood all the steps in the derivation of marginal VaR. However, how do we conclude that the numerator is covariance(asset (i) , portfolio)? @arkabose and @vijayaraghavan sundararajan - Thank you for your explanations. I can relate with beta which is a next step after arriving at...
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    Potential Future Exposure (PFE)

    i tried recalling the integration by parts and gave up after that. That is why i was confused with how the final result came. Thank you so much for answering my questions.
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    Potential Future Exposure (PFE)

    Hi @David Harper CFA FRM , @QuantMan2318 - I am reading http://radoudoux.free.fr/last2/jGregoryCPTY%20Risk.pdf on CP, however i do not understand the derivation of EE which is as follows: I am unable to understand how the integral is computed in this case.
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    Hazard Rates and probability of survival

    What is the difference is saying the probability of survival over a time interval = 1 - lambda*(dt) vs e^(-lambda*t)?
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    Hazard Rates and probability of survival

    Hi, I am getting confused between hazard rate and probability of default. Does it mean to say if the hazard rate = 0.1 i.e default occurs once in a decade then the probability of default in 2 years is 0.2? Also what if ask what is the probability of default in 20 years?
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    Risk free debt, merton model

    Hi @David Harper CFA FRM , Can you also help me explain this concept. What does rolling down the curve mean? and when does it happen? The benchmark for this corporate bond at issuance was the 10-year on-the-run Treasury with 5% coupon and maturity date August 15, 2011. As the bond has rolled...
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    Risk free debt, merton model

    Thank you!
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    Risk free debt, merton model

    Thank you!
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    Risk free debt, merton model

    I understand that in merton model we assume that the asset follows a log normal distribution, but i am unable to understand the mean term in the equation I have highlighted in red
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    Risk free debt, merton model

    hi @David HarperFA FRM I was reading the merton in detail and am stuck at the following equation where log asset values follows a normal distribution with the following parameters:
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    Risk free debt, merton model

    Thanks David. This clarifies the question.
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    Risk free debt, merton model

    I tried using the Put call parity equation as well but could not arrive at the result. @David Harper CFA FRM - Can you explain this?
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    Hi Nicole, I did notice the 'Coming soon' label across a couple of sections. I wanted to check...

    Hi Nicole, I did notice the 'Coming soon' label across a couple of sections. I wanted to check with you for the question set for this particular section - https://www.bionicturtle.com/courses/current-issues-in-financial-markets/. I am actually taking the Nov attempt so your response would help...
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    Risk free debt, merton model

    Hi I have a question when evaluating the deb claim . The reading says : "Since equity is a call option on firm value, it is a portfolio consisting of delta units of firm value plus a short position in the risk - free asset. How did we arrive at this?
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    Hi Nicole, I was wondering if we have a question set for the Financial Topics Section? I see the...

    Hi Nicole, I was wondering if we have a question set for the Financial Topics Section? I see the study notes but not any question set for the same in the study planner. Kindly let me know. Thanks
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