what are you upto in IFRS 9? I think you asked a question on it earlier too

If loan level info not possible then better to use market level value rather than static value of 45%. IFRS 9 requires FVPL for investments, CDS based will be more dynamic and can be adjusted according to the scenario

...pooof...duplicate post

IFRS guidance reccomends usage of loan level data on best effort basis including discounted cash flows in recovery. Both the approaches dont incorporate that

There were some concerns about the backtesting of ES approach, 

I understand your point, being a purist to some extent myself, however, the world consists more of non maths people, many with MBA from ivy league who get scared with simple log transformations, forget about EVT and PDEs. Long story short, people learn to drive a car without learning Newton's Laws.

Agree with "underlying maths (chapter 4, for example) is fairly basic and somewhat outdated".  However, what it enables is to solve a problems a lot faster that it was possible and with reduced manual intervention, especially in credit risk modeling (retail, SME & Wholesale) type of a...

Agree with "underlying maths (chapter 4, for example) is fairly basic and somewhat outdated".  However, what it enables is to solve a problems a lot faster that it was possible and with reduced manual intervention, especially in credit risk modeling (retail, SME & Wholesale) type of a...

The bid-ask spread gives you uncertainty in your pd estimate, and I think you should then (in IFRS9 guidelines) add conservatism to compensate for that uncertainty? Is that so? Also, I expect CDS to give a skewed view on pd, there is probably more demand than supply for cdss? So either the mid, or ...

 Thanks
Also, could you please recommend any book for this. I was planning to go through Fixed Income Modeling by Claus Munk. Please let me know if you have any other recommendation.

Thanks in advance.

TBAs are instruments in the market.  The set of coupons for a given collateral type (FN30, FN15, FH30, FH15, GN30, GN15, etc.) is called the coupon stack.  The first two maturities are usually the liquid points. The CMM rate is a rate that is implied by a basket of TBAs.   Usually, "bracketing...

Before comparing them, do you know what the two of these terms actually stand for? Apologies, but my understanding is very poor, as I have just started. OAS is the spread added to yield, to price the bonds to current market value CMM: Is the bond equivalent rate used to price MBS to the par value I...

Newbie question, Can you please help me understand the difference between the OAS and the CMM for TBA mortgages?