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AfterWorkGuinness
  • Member for 9 years, 10 months
  • Last seen more than 1 year ago
8 votes
1 answer
535 views

How does rehypothecation cause systemic risk?

7 votes
2 answers
623 views

Implied volatility and nonconstant volatility

7 votes
2 answers
2k views

VaR mapping - Forward Foreign Currency Contract

6 votes
1 answer
9k views

How to calculate Credit VaR?

6 votes
1 answer
3k views

Risk neutral drift vs real world

5 votes
1 answer
6k views

Ho-Lee Model; Please explain

5 votes
1 answer
7k views

Is marginal probability of default the same as conditional probability of default?

4 votes
1 answer
176 views

How does RAROC identify capital requirements?

4 votes
0 answers
835 views

What is the difference between gross and net enterprise wide risk?

4 votes
1 answer
160 views

Why are netted positions more volatile?

3 votes
4 answers
9k views

Why is the value of debt modeled as a short put option in Merton's model?

3 votes
0 answers
2k views

How to calculate yield spread?

3 votes
1 answer
3k views

A little help with the Single Factor model for credit risk

3 votes
2 answers
147 views

Can Economic Capital cover Regulatory Capital?

3 votes
1 answer
57 views

What is the date of reserve (operational risk)

3 votes
2 answers
619 views

CVA using difference between 2 counterparty's spreads

3 votes
1 answer
1k views

Calculating probability of default with no recovery

3 votes
1 answer
641 views

Where can I find historical DJIA closing prices?

2 votes
2 answers
85 views

What are the causes of incorrect prices in the market?

2 votes
0 answers
187 views

Using a hybrid approach to calculate operational risk capital

2 votes
2 answers
271 views

How are we underestimating liquidity risk?

2 votes
2 answers
918 views

Meaning of conservative in risk management?

2 votes
1 answer
431 views

Is credit exposure conditional on default?

2 votes
0 answers
163 views

Future value of the debt under Merton model

1 vote
0 answers
323 views

Why is credit exposure higher for a smaller probability of default than for a larger default?

1 vote
2 answers
947 views

Credit exposure of a long CDS

1 vote
1 answer
64 views

What are pre and post stress capital?

1 vote
0 answers
30 views

Just how transparent are CDOs?

1 vote
1 answer
284 views

Binomial tree notation

1 vote
2 answers
3k views

CDO tranche spread