average exposure was about 67k... I got an answer from the given options for expected loss. then used the formula for unexpected loss which is pretty straightforward and didnt get a proper answer... may be it was a calculation mistake. or was there something tricky that I missed?
btw - the forward rate question had answers in EUR/USD ...some of you did convert although I dont see why this is needed here. the foreign currency from this perspective is the USD..an views?
The difference to the mean in the new confidence interval was 4 times less than the previous one. That's why I think also that no. of scenarios should be 200 * 8 = 1600 to reduce 4x. But I picked up 800.....
I also took 800, but now think that 1600 was the right answer...
for the 2nd one - narrowed to 2, 0.25% with 1200 scenarios and 0.30% with 700 scenaros, dont know which one I picked in the end...
yes, VaR is not subadditive, but which answer was this?
and futures & spot - answers included number of shares, price movements....dont remember exacty, but struggled with this one
oh, and two more....200 scenarions and 2 confidence intervals, how many scenarios?
2. standard deviations and scenarios were given, what is the most efficient estimator?
There was a question regarding futures and spot differences, physical settlement,
VaR assumptions made by the manager - options were jointly distributed variables, not correlated, i.i.d...dont remember the last options
how did you answer these?
btw - does someone remember the market order question: it was something like price decline, 5 USD or above as a target and then decide which order. Which one did you pick???
This site uses cookies to help personalise content, tailor your experience and to keep you logged in if you register.
By continuing to use this site, you are consenting to our use of cookies.