Very well explained! Basic insight is how to convert a linear equation into exponential one and how to parameterize the function. I wish Basel Committee itself had published background papers outlining how they reached these formulas for better and easier understanding of bankers.
Hello i think that there is some missing videos (4 videos are private ) in the playlist could we have access to the full list please . and thanks a bunch for the work that you are doing
Hi - thanks for your video it is great and very clear! Can I ask a quick question, the PD parameter in the function, is that at the portfolio level or at the counterparty level?
You're welcome, and thank you very much! In the underlying derivation, it is assumed to work at pool/portfolio level (homogenous pool to be precise!). In practice, exposures are usually grouped, with each group carrying a different PD, so in a way gets applied at pool level, but you can apply it at counterparty level.
Feeling so lucky to have discovered this channel and quantpie website....
thank you!!
Very well explained! Basic insight is how to convert a linear equation into exponential one and how to parameterize the function. I wish Basel Committee itself had published background papers outlining how they reached these formulas for better and easier understanding of bankers.
Thank you for the video ! Very helpful.
Glad it was helpful!
Hello i think that there is some missing videos (4 videos are private ) in the playlist could we have access to the full list please . and thanks a bunch for the work that you are doing
Hi - thanks for your video it is great and very clear!
Can I ask a quick question, the PD parameter in the function, is that at the portfolio level or at the counterparty level?
You're welcome, and thank you very much! In the underlying derivation, it is assumed to work at pool/portfolio level (homogenous pool to be precise!). In practice, exposures are usually grouped, with each group carrying a different PD, so in a way gets applied at pool level, but you can apply it at counterparty level.
Excellent.
Many thanks!
Could you please point me to the video on the quantile formula?