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Apr
15
awarded  Critic
Apr
15
comment Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option?
Greece prepares debt default options (FT)ft.com/intl/cms/s/0/…
Mar
20
awarded  Curious
Mar
10
comment How to calculate unsystematic risk?
The above definition is useful to get the idiosyncratic market risk and has to do with shares. As equity is even subordinated debt with respect to bond holders, the idiosyncratic credit risk (not reflected in market price varaitions) should not be included?
Dec
19
awarded  Yearling
Sep
15
awarded  Popular Question
Aug
27
answered Risk Neutral Pricing Necessary Condition
Aug
20
revised Is it possible to model general wrong way risk via concentration risk?
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Aug
20
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?
Aug
20
revised Is it possible to model general wrong way risk via concentration risk?
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Aug
20
revised what is General IB2 Restriction in Basel II credit risk model
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Aug
20
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.
Aug
20
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?
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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?
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Jul
31
revised Is it possible to model general wrong way risk via concentration risk?
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