victoriadiaz
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- victoriadiaz
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Thank you!
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Hola! I'm not able to reconciliate the ISR formulas with the example provided... For the CSM example, is it possible the formula should be this instead? * ISR = [Premium Revenue - change in PVFCF - losses + CSM - change in CSM ] At time 0.…
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Crystal clear. Thank you very much!
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Perfecto thank you!
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So in other words... Forwards, future and swaps are always included in the calculation of equity margin. The distinction is that if they are recognized as hedge, they are not considered in sum(MV of equities) but instead have their own formula, whic…
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No worries! I just wanted to make sure I wasn't missing something. But good news that it should be that simple. Thank you very much
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Got it! I might be overthinking this but just to conclude, the "max(net long, net short)" is only relevant if there is those two types of positions for different currencies? Gracias
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Hola! Just want to confirm... if there is a single currency, the first formula is equivalent to 10% * abs(assets-liabilities)? But when there is more than one currency, then need to compare the sum of net long position vs sum of net short position …