Measure에서 평가
forward measure가 정의되면, 앞서 고정금리 채권과 마찬가지로 FRN의 가격도 기대값의 계산에 따라 결정된다. 그러나 신용위험이 내재된 FRN의 경우 numeraire로 무위험 할인채를 사용하면 스프레드가 그대로 남게되어 Elkaroui and Geman(1994)의 방법을 그대로 사용할 수 없다. 그러나 본 모형에서
II. The Definition of VaR
Value at Risk (VaR)
Maximum loss not exceeded with a given
probability defined as the confidence level,
over a given period of time.
III. Interpretation of VaR
The Question Being Asked in VaR
“What loss level is such that we are X %
confident it will not be exceeded
in N business days?”
Confidence Level
Probability that Por
distinct-and equally ineffective-camps. The first, and by far the most common, is to do nothing: anticipate no needs at all; make no plans for addressing them( rendering the term "talent management" meaningless). This reactive ap-preach relies overwhelmingly on outside hiring and has fal-tered now that the surplus of management talent has eroded. the second, common only among large, older co,pani
II. How is CBM formed
Coalbed methane (CH4) forms in one of two ways. During the earliest stage of coalification (the process that turns plant detritus into coal), biogenic methane is generated as a by-product of bacterial respiration. Aerobic bacteria (those that use oxygen in respiration) first metabolize any free oxygen left in the plant remains and the surrounding sediments. In fresh water
About GM
General Motors Company (NYSE:GM, TSX: GMM), one of the world’s largest automakers, traces its roots back to 1908. With its global headquarters in Detroit, GM employs 209,000 people in every major region of the world and does business in more than 120 countries. GM and its strategic partners produce cars and trucks in 31 countries, and sell and service these vehicles through the follow