Understanding xVA , CVA , FVA , KVA , MVA , COL-VA

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  • Опубликовано: 24 дек 2024

Комментарии • 28

  • @surendrabarsode8959
    @surendrabarsode8959 Год назад +2

    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.

  • @1_percent_upgrade
    @1_percent_upgrade 8 месяцев назад +1

    Clear explanation, numerical examples are rare to find, yours is good

  • @GASTRONOMYbySDV
    @GASTRONOMYbySDV Год назад

    Indeed a very detailed explaination of XVa and other derivative risk

  • @LorenzoMussetti
    @LorenzoMussetti 2 года назад +3

    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.

    • @financeeinstein
      @financeeinstein  2 года назад +2

      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!.

  • @vijethht
    @vijethht Год назад +1

    Thank you for explaining in details. Can you also share the excel file.

  • @ashokdada9375
    @ashokdada9375 5 месяцев назад

    Very Good explanation. Can I get this excel and slides?

    • @financeeinstein
      @financeeinstein  5 месяцев назад

      @@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

  • @stonecastle858
    @stonecastle858 2 года назад +2

    Shouldn't year 3 be 104.39?

    • @financeeinstein
      @financeeinstein  2 года назад

      If you calculate using the same steps I mentioned you will get same numbers...ignore the rounding part. Do subscribe and like this video.

    • @stonecastle858
      @stonecastle858 2 года назад

      @@financeeinstein I think you have used n=4 instead of n=1. The value should be between the other two

    • @financeeinstein
      @financeeinstein  2 года назад

      @@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.

    • @stonecastle858
      @stonecastle858 2 года назад

      @@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.

    • @financeeinstein
      @financeeinstein  2 года назад +1

      @@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.

  • @sonalvishwakarma
    @sonalvishwakarma 11 месяцев назад

    amazing video

  • @cesara7478
    @cesara7478 2 года назад +3

    Awesome video!

  • @ManishVerma-nb3bp
    @ManishVerma-nb3bp 2 года назад +1

    Nice video!! Could you please upload lecture on CDS pricing please.

    • @financeeinstein
      @financeeinstein  2 года назад

      Can you clarify in what context. ? You mean to say how CDS are priced ?

    • @asvlogs2288
      @asvlogs2288 2 года назад

      @@financeeinstein yes

  • @saileedhotre9318
    @saileedhotre9318 2 года назад

    Great coverage!

  • @akheeram9906
    @akheeram9906 2 года назад +1

    Fantastic stuff

  • @nandlalvishwakarma4994
    @nandlalvishwakarma4994 2 года назад +1

    Very well covered

  • @asvlogs2288
    @asvlogs2288 2 года назад +1

    pretty well explained, it just one thing i am not able to grab is the difference between probability of default and expected loss

    • @financeeinstein
      @financeeinstein  2 года назад +2

      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