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In the study notes it is mentioned that a good model will produce approx. the number of expected exceptions and an example of 95% VaR model is used over 250 days. The computation shows that it will produce approximately 5% * 250 days = 25 days exception. Is that a typo? Should it not be 12.5...

Hi @David Harper CFA FRM , this question is w.r.t. Hull Chapter 24: Credit Risk. Can you please help me understand why the calculation for PD between year 2 and 3 (PD2,3) uses the euler's number e whereas the calculation for PD between year 1 and 2 (PD1,2) just uses the difference between...

@David Harper CFA FRM Hello David. I am unable to understand the calculation of required amount of stable funding in example on page 14. Further, the asset side does not equal to 100. Can you please explain the question ? or is the question incomplete.

Hi @David Harper CFA FRM Gregory, Chapter 7: Credit Exposure and Funding In the below table, You have explained the impact of collateral on the exposure amount. E.g Future value is 25 in scenario 1 with no collateral it means we have receivable of 25 from counterparty but if we have posted...

Hi. I bumped into this gem and found it to be very clarifying. However I wanted to make sure there was no mistake here. https://www.bionicturtle.com/what-is-a-z-table/ On the left hand graph (the distributions) shouldn't the title read Pr(z<=1.35) = 91.15? The graph on right probably needs...

the question is: Helman Bank has made a loan of USD 300m @6.5% per annum. Helman enters into a Total Return Swap under which it will pay the interest on the loan plus the change in the MtM value of the loan, and in exchange Helman will receive LIBOR + 50 bp. Settlement payments are made...