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AfterWorkGuinness
  • Member for 9 years, 10 months
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2 votes
1 answer
431 views

Is credit exposure conditional on default?

1 vote
0 answers
323 views

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

0 votes
1 answer
2k views

How is internal risk transfer different than moving from banking book to trading book?

6 votes
1 answer
9k views

How to calculate Credit VaR?

1 vote
1 answer
22k views

Cumulative vs marginal probability of default

3 votes
4 answers
9k views

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

1 vote
1 answer
73 views

Pension funds co-investing with private equity?

8 votes
1 answer
535 views

How does rehypothecation cause systemic risk?

0 votes
1 answer
2k views

Calculating expected shortfall

3 votes
2 answers
619 views

CVA using difference between 2 counterparty's spreads

7 votes
2 answers
2k views

VaR mapping - Forward Foreign Currency Contract

1 vote
2 answers
3k views

Why do we need correlated random variables in a Monte Carlo simulation?

3 votes
1 answer
641 views

Where can I find historical DJIA closing prices?

4 votes
1 answer
176 views

How does RAROC identify capital requirements?

2 votes
0 answers
163 views

Future value of the debt under Merton model

1 vote
1 answer
284 views

Binomial tree notation

1 vote
1 answer
1k views

CDO selling or buying credit protection?

0 votes
2 answers
3k views

Corporate bond quote convention

2 votes
2 answers
918 views

Meaning of conservative in risk management?

0 votes
2 answers
63 views

What risks is an exchange exposed to?

5 votes
1 answer
7k views

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

3 votes
1 answer
1k views

Calculating probability of default with no recovery

1 vote
2 answers
3k views

CDO tranche spread

1 vote
1 answer
64 views

What are pre and post stress capital?

4 votes
0 answers
835 views

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

2 votes
2 answers
85 views

What are the causes of incorrect prices in the market?

2 votes
2 answers
271 views

How are we underestimating liquidity risk?

1 vote
0 answers
30 views

Just how transparent are CDOs?

3 votes
1 answer
57 views

What is the date of reserve (operational risk)

2 votes
0 answers
187 views

Using a hybrid approach to calculate operational risk capital