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Exam Feedback November 2017 Part 2 Exam Feedback
+1 Submitted on 3rd and still under review.- dlrm
- Post #535
- Forum: FRM Part 2 Exam Feedback
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RWA
15.6 Estimate the capital required under Basel I for a bank that has the following transactions with a corporation. Assume no netting. a. A nine-year interest rate swap with a notional principal of $250 million and a current market value of −$2 million. b. A four-year interest rate swap with a...- dlrm
- Thread
- hull-rmfi-15-6
- Replies: 8
- Forum: P2.T7. Operational Risk & ERM (25%)
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Transition matrix and PD
Oh, now I see, default probability for A is 0.08% too, sorry )) Question is closed- dlrm
- Post #2
- Forum: P2.T7. Operational Risk & ERM (25%)
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Transition matrix and PD
In BT's pdf "Brian Nocco and René Stulz, “Enterprise RiskManagement: Theory and Practice” is example with transition matrix, and at page 4 there is statement "Given an optimal target rating of ‘A,’ the firm discerns this rating will be achieved if itsprobability of default is 0.08%." Could you...- dlrm
- Thread
- nocco
- Replies: 2
- Forum: P2.T7. Operational Risk & ERM (25%)