Sorry, I see that I've been a moron. Forgot about the capital ratio. Couldn't understand why you'd keep capital to 200% of the exposure. Thank you for not treating my question with the much harsher response it deserved.

What is the intention of a 200% risk weight? Is it anticipating increased exposure to that credit rating in lead up to default (trying to borrow out of debt)? Can't find much derivation.explanation of this anywhere. Any response very appreciated.

Great. That's the one. Thanks. If it's any consolation I must have seen it somewhere before, presumably in something already in our library.Isn't Google's motto 'Don't Be Evil'? Semantic loopholes, evil, sneaky or other?

<t>I seem to remember, though am beginning to question my memory, stumbling across a very nice alternative derivation of Black-Scholes in one of the Wilmott on Quantitative Finance books. Each term was added as a hedging a component, and the final step was taking expectation of the pnl/error terms o...

<t>The formula you have there looks like the one period version of the calculation from Basel III, with LGD of 100%. I haven't had time to go through the QIS paper you posted the linked to, but the correct formula to calculate CVA VaR on is the one from the accord. You stress the spreads on that for...

<t>QuoteOriginally posted by: ppauperNewt calls Obama's Trayvon Martin comments 'disgraceful'Quote"Is the President suggesting that if it had been a white who had been shot that would be ok because it didn?t look like him?"No, he's saying if he had been white he would have been told that Zimmerman l...

<t>Antonio>Apologies, I'm not familiar with the details behind accounting treatment (net equity vs liability). I assume the liabilities argument is a PV/mark-to-market of liabilities approach, whereas the net equity has to do with a known (or expected) loss at maturity, which has effectively been re...

<t>Sorry, I'm busy trying get a grip on some concepts around CVA and any help would be greatly appreciated. You enter into a swap with a counterparty, but that swap is actually not the whole swap, it's the risk free swap + CVA * pd portion.In practice, you can either enter into a contract of to cove...

<t>I'm confused regarding the inclusion of the CVA hedges in the CVA VaR capital charge calc. Based on the following statement in the accord : "102. Only hedges used for the purpose of mitigating CVA risk, and managed assuch, are eligible to be included in the VaR model used to calculate the above C...

Thanks

<t>I'm looking for FX forward quotes for middle eastern currencies (Riyal, Afghani, etc.). I didn't really expect to find much, and haven't been surprised. Is there any reasonable source for quotes for these currencies? Or some sort of "rate" that could be used for the implied forwards? Looking for ...

Thanks. Are there any good references dealing with these results?

<t>Apologies for the stupid question, it's been a while and I'm finding the literature confusing. I've commonly seen implemented, finite difference methods where the american option price is set to be the maximum of the solved value at a particular node, and the immediate exercise value at that poin...

Glad you enjoyed it. The lady-man link should be fixed now. They all bring zombies but in some cases the effect is a bit more subtle. I've seen this leehayes around. Big zombie fan?

<t>I notice that number 1 on Amazon Rankings is Bailout Riches!: How Everyday Investors Can Make a Fortune Buying Bad Loans for Pennies on the Dollar (Hardcover)Though, possibly, by the far the most interesting title in the Top 50 would be Pride and Prejudice and Zombies, unless of course you count ...