老師，在IRS中，the seller是支固定收浮動(dòng)，還是the buyer?
老師 題目里的counterpart earns Libor?100BP 這里的counterpart為什么不是bank面對(duì)的hedge fund 直接就是CDS費(fèi)用？
老師您好，54題我是不是直接可以把原始的定價(jià)92直接算到現(xiàn)在6個(gè)月的價(jià)格 然后相減就好了吧
老師您好，75題，sell the repo怎么理解，就是作為repo的融資方嗎？
老師您好也就是說題目中，給出的 asset return 只會(huì)用在求physical PD 來用對(duì)吧， 剩下的計(jì)算還是要用rf~
押卷的53題，還是不明白，可否再詳細(xì)說一次。53. A firm has entered into a USD 20 million total return swap on the NASDAQ 100 index as the index payer with ABC Corporation, which will pay 1-year LIBOR ＋ 2.5%. The contract will last 1 year, and cash flows will be exchanged annually. Suppose the NASDAQ 100 Index is currently at 2,900 and LIBOR is 1.25%. The firm conducts a stress test on this total return swap using the following scenario: NASDAQ 100 in 1 year: 3,625 LIBOR in 1 year: 0.50% For this scenario, what is the firm’s net cash flow in year 1?
Is CCP for exchange or for OTC market only?
When cDS correlation increase then cds value will increase, does it mean the cds premium will reduce? When there is someone wanna but the cds after the correlation change
CVA increase will increase RWA, so if increase in DVA will reduce in RWA?
老師這道題是原題嗎？ 感覺不是很嚴(yán)謹(jǐn)，如果我看成是sell CNY call,可以有效對(duì)沖delta？
有個(gè)問題，邊際違約概率是不是就是聯(lián)合違約概率，然后例如第二年的邊際違約概率=(1-d1)d2
老師，第17題，cln的計(jì)算，我仍然不懂，能不能再說一說？
What is the difference of convertible bond and CoCo? Convertible bond = long normal bond + long call equity option Coco= long bond + short call equity option??
這個(gè)題第二種方式將原債券均分之后，不還是一種債券嗎，我認(rèn)為相關(guān)系數(shù)為1 呀，損失全都損失，感覺起不到分散風(fēng)險(xiǎn)的作用
老師，這題里面，The PV of payment 里面這個(gè)公式看不懂，感覺有點(diǎn)像一級(jí)里面說的life insurance的算法，但是一時(shí)間又想不通
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