380 reputation
110
bio website
location Switzerland
age
visits member for 1 year, 11 months
seen yesterday

1d
revised Is it possible to model general wrong way risk via concentration risk?
deleted 27 characters in body
1d
comment Is it possible to model general wrong way risk via concentration risk?
should the GWWR mean that your exposure increases due to a market risk factor that increases in the same time the probability of default of your counterparty?
1d
revised Is it possible to model general wrong way risk via concentration risk?
added 168 characters in body
1d
revised what is General IB2 Restriction in Basel II credit risk model
added 3 characters in body
1d
comment what is General IB2 Restriction in Basel II credit risk model
It should specify the Basel 2 requirements, as Basel 3 has a very consistent and self-explanatory section on IB.
1d
answered Stress Testing Methods
Aug
11
answered what is General IB2 Restriction in Basel II credit risk model
Aug
11
revised Is it possible to model general wrong way risk via concentration risk?
added 1474 characters in body
Aug
11
answered Who is the issuer and the counter part of this instrument?
Aug
3
comment Is it possible to model general wrong way risk via concentration risk?
Thank you, @lehalle. Apart from CVA, which one could model via its specific characteristics, would it be an other propagation mechanism for GWWR you could think of, to make the difference from concentration risk? I doubt that regulators double count :( but their definition is not crystal clear, from modelling point of view. And say we don't measure market risk by volatility, but by expected shortfall.
Aug
2
comment How popular is the IRR as a tool for capital budgeting, nowadays?
F=final, I=initial, IRR=(F-I)/I; NPV=F/(1+IRR)=F/(I+F-I)/I=I. The present balue of the final cashflow F is the investit cash I. ?
Jul
31
revised How popular is the IRR as a tool for capital budgeting, nowadays?
added 22 characters in body
Jul
31
revised Is it possible to model general wrong way risk via concentration risk?
deleted 306 characters in body
Jul
30
revised Excel to Java for Interactive brokers
added 102 characters in body
Jul
30
answered CVA number used by Finance Team
Jul
17
comment Excel to Java for Interactive brokers
The implementation of the function is something like
Jul
16
revised Modelling with negative interest rates
deleted 7 characters in body
Jul
16
revised Modelling with negative interest rates
deleted 7 characters in body
Jul
16
revised Modelling with negative interest rates
deleted 7 characters in body
Jul
16
revised Modelling with negative interest rates
deleted 7 characters in body