Latest activity
-
Clay Carter replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.@Vicky26 The key thing to remember is that V(T,X) in Hull's notation is already the WCDR. It is not 1 minus something, it is the... -
VVicky26 replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.In that case why are we doing '1 minus' in formula for V(T,X). It should just be formula for WCDR, and no '1 minus'.
-
Clay Carter replied to the thread P2-T6-Malz, Chapter 8: Portfolio Credit Risk.@Nicole Seaman @Vicky26 Yes, I believe the reference is to Market Risk under Meissner, Chapter 5.
-
Clay Carter replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 25.Hi Vicky, Thanks for pointing this out. First, let's define the "basis": Basis = CDS Spread − Bond Yield Spread (over Rf) A positive...
-
Clay Carter replied to the thread Hull, Options, Futures, and Other Derivatives, Chapter 24.@Vicky26 The thing to remember is that V(T, X) in Hull's notation is already the WCDR. It is not 1 minus something, it is the worst-case...
-
VVicky26 posted the thread Hull, Options, Futures, and Other Derivatives, Chapter 25 in P2.T6. Credit Risk Measurement & Management.I dont understand this logic. If CDS spread>bond yield, then how is buy bond and buy CDS better. If CDS pread is 170bps and bond yield =...
-
-
VVicky26 posted the thread Hull, Options, Futures, and Other Derivatives, Chapter 24 in P2.T6. Credit Risk Measurement & Management.Vasicek model gives WCDR which is same as 1-V(T,X). Then why are we using V(T,X) while calculating Credit VAR. Formula for credit VAR...
-
-
Nicole Seaman replied to the thread P2-T6-Malz, Chapter 8: Portfolio Credit Risk.@Vicky26 I'm not sure if this is the video the instructor is referring to, but copulas are covered in Market Risk under Meissner...
