Very well and clearly explained!! There are hardly any such videos on this topic offering this sort of explanation of the concepts with a concrete example.
Why do we discount the expected loss at minute 14? Expected loss was calculated from expected exposure, which was already a present value so I'm not sure why we need to discount again.
Expected exposure is a point estimate... imagine this ur computing exposure on future days...I.e exposure in 1st year ...2nd year and 3rd year. But these are point estimates of future...so.today if I want to buy the bond I need to compute PV as of today. Hope this helps!.
@@stonecastle858 no the calculation is correct we are computing PV. You can email your query in info.questft@gmail.com. You can compute the same using PV function in excel.
@@financeeinstein I humbly request that you check your numbers. It isn't that the formula is wrong, it's that I think you've used the wrong values in the input. Look at the PVs for 107. They should increase. Yet yours for year 3 is lower than for year 2.
@@stonecastle858 You are right my friend , thanks for pointing it out . am making the correction in the youtube description. I appreciate your detailed view of the video and pointing out that mistake.
PD is dependent on historical performance. Say you never defaulted in your payments , your probability of default will be 1% or zero% . But suppose your financials are poor now and now there is a chance for you to default. This is mainly gauged from credit rating migration. Now your probability of default will be say 5% ..so that is PD. Now you may default on full amount or partial amount I.e LGD...loss given default... Ecl = PD x LGD
Very well and clearly explained!! There are hardly any such videos on this topic offering this sort of explanation of the concepts with a concrete example.
Thanks please share .
Clear explanation, numerical examples are rare to find, yours is good
Indeed a very detailed explaination of XVa and other derivative risk
Why do we discount the expected loss at minute 14? Expected loss was calculated from expected exposure, which was already a present value so I'm not sure why we need to discount again.
Expected exposure is a point estimate... imagine this ur computing exposure on future days...I.e exposure in 1st year ...2nd year and 3rd year.
But these are point estimates of future...so.today if I want to buy the bond I need to compute PV as of today.
Hope this helps!.
Thank you for explaining in details. Can you also share the excel file.
Very Good explanation. Can I get this excel and slides?
@@ashokdada9375 thanks unfortunately we had to format our data folders but m looking for backups . If I get them will post the link here . Thanks
Shouldn't year 3 be 104.39?
If you calculate using the same steps I mentioned you will get same numbers...ignore the rounding part. Do subscribe and like this video.
@@financeeinstein I think you have used n=4 instead of n=1. The value should be between the other two
@@stonecastle858 no the calculation is correct we are computing PV. You can email your query in info.questft@gmail.com.
You can compute the same using PV function in excel.
@@financeeinstein I humbly request that you check your numbers. It isn't that the formula is wrong, it's that I think you've used the wrong values in the input.
Look at the PVs for 107. They should increase. Yet yours for year 3 is lower than for year 2.
@@stonecastle858 You are right my friend , thanks for pointing it out . am making the correction in the youtube description. I appreciate your detailed view of the video and pointing out that mistake.
amazing video
Awesome video!
Thanks.
Nice video!! Could you please upload lecture on CDS pricing please.
Can you clarify in what context. ? You mean to say how CDS are priced ?
@@financeeinstein yes
Great coverage!
Fantastic stuff
😊 thanks
Very well covered
pretty well explained, it just one thing i am not able to grab is the difference between probability of default and expected loss
PD is dependent on historical performance. Say you never defaulted in your payments , your probability of default will be 1% or zero% . But suppose your financials are poor now and now there is a chance for you to default. This is mainly gauged from credit rating migration. Now your probability of default will be say 5% ..so that is PD.
Now you may default on full amount or partial amount I.e LGD...loss given default...
Ecl = PD x LGD