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David, I wanted to thank you dearly for all the support you provided during the long tedious few months leading up to the test. I am sure you probably hear this from all of your students, but without your class and especially you teaching it, I don’t think I would have had a chance of...

Why are we subtracting the economic capital from the total loan value in estimating the ineterst charge? from our example, Are banks not borrowing 1 billion from the depositors and making a loan for higher charge? The capital requirement for this loan is 100m and banks invest in highly liquid...

Why is the theta on european put options be positive sometimes? I can say maybe sometimes by looking at the mathematical expression but how we can explain qualitatively.

Under the supervisory backtesting framework, how do we count the number of exceptions at 99% confidence level?

Why is the maturity adjustment in the IRB credit risk weight function higher for low PDs?

The market trades a 1-year bond at 50bp credit spread, and a 3-year bond at 60bp. In the USD market conditions as of fall 2001 and with a recovery rate of 50 percent, what is the implicit probability of default before year 3? a) 1%. b) 2%. c) 3%. d) 4%. What are the treasury rates for...

David: Please help me in solving the following questions... 1) The US Government Bond Zero Curve give a 1-year semiannual yield of 4 percent, on the same basis a corporate security has a yield of 5 percent. What is the market implied 1-year default probability of the corporate...