In Figure 18.3 where the CCP is used, suppose that an extra transaction between A and C which is worth 140 to A is cleared bilaterally. What effect does this have on the tables in Figure 18.3?
Answer to relevant QuestionsSuppose that one investment has a mean return of 8% and a standard deviation of return of 14%. Another investment has a mean return of 12% and a standard deviation of return of 20%. The correlation between the returns is ...Suppose a three-year corporate bond provides a coupon of 7% per year payable semiannually and has a yield of 5% (expressed with semiannual compounding). The yields for all maturities on risk-free bonds is 4% per annum ...Calculate DVA for the bank in Example 20.2. Assume that the bank can default in the middle of each month and that the default probability is 0.001 per month for the two years. Assume that the recovery rate for the ...What difference does it make to the VaR calculated in Example 22.2 if the exponentially weighted moving average model is used to assign weights to scenarios as described in Section 13.3? Using Table 25.1, calculate the volatility a trader would use for an 11-month option with a strike price of 0.98.
Post your question