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In short, he made the brokers ( citi & bofa ) act as his backoffice. So the entire trade was out of allfirst, and nobody knows what his trades are nor their size. Which exacerbated his losses, when he used net settlement.

Y got me there :) But let's meet each other, bkz I wanna show y what wrong panic is! :)

by the way, panic is a good thing for any examiner, since it raises adrenaline, which solicit yr memory. So, every one gets panicked ^_^

from my experience in L1 in Nov, i think the most important is: Don't get frustrated during the exam if y do not solve many Qs, & do not give up till the last second to solve every Q y can, y will never know, maybe this Q make y be in 2nd qurtile & let y pass. i noticed that on average, y...

Thanks david

Hi David On page 27, 20-18.1, I think it is 24.6-18.1 Plz, correct me if I'm wrong Thank y

hi shannon, first take a look at this link: http://www.investopedia.com/terms/c/catastrophebond.asp#axzz1tDjxwwY1, or review : VaR approach to operational risk , in L1, T4. Cat bond will be priced at discount, IF and only IF, systematic risk happened or about to happen. but this assumption is...

I'm sorry Shannon, but let me correct something, Cat band is issued by the corporate that want to protect it self from cat, & if cata occurs, the corp will stop paying interest and principal, so y have to look at it from the other perspective. In short, it will be undervalue to convince...

In my opinion; 1. CRO, should be hired by board of directors, & it is the responsibility of BoD to accept his resignation, not any one else, not by senior management, to avoid senior management pressure in case of extra risk taking, beyond risk appetite. 2. CRO, must report to CEO & BoD, to...

hi shannon, as y know, this is a way to hedge agaisnt tail risk, but before answering yr q, let me do some breif explanation: y wanna hedge against tail risk, & tail risk means a high volatility situation. ( by the way, i'm totally convinced that tail risk won't happen idiosyncraticlly, when...

Exactly, shannon

I agree with y, but correlation is calculated through time on an ongoing process, not at a point in time, and it is monitored by the manager, to ensure both trader work in line with his VaR. But in this example he assumed imprecisely that he took a sample from the trades at a point in time...

Exactly, but the final step as y called it is active manager.

If taa, for example: 40% in equities & 60 % in bonds ( or choose any combination ). And using this TAA , expected return is for example is 6%. The the manager has the choice in which stocks to invest in, no mre than 40% and which bonds to invest in, no more than 60%. If the manager choose...

hi shannon, i will lnik this one to TAA & SAA let say in this way, there are three levels in this example: 1. trustee ( the SAA ) with VaR of 233 m, for the whole pension fund. 2. then an invetment manager has 4 assets to invest in, but with no more than 233m as a risk measure for the entire...

hi shannon, SAA: is not about passive management, it is more about distributing assets to acheive a strategic return that consistent with the risk taken. example: imagine a CEO tells his treasurer " take this 100 m and invest it in equities only " or " in bonds & options " and i want % 4 as a...

Hi david, On page 46, 4th paragraph, " ..... They had the right to extend the maturity of the ASSET by 1-2 years" I think it is liability instead of asset, Because if siv is not able to rollover its debt, it will be In trouble, and by extending LIABILITY it will reduce the pressure on FI, but if...

hi every one, or hi no one since there are no posts :D in icelandic crisis, on page 37, on " real exchange appreciation indicator : the high interest rates in iceland also saw MASSIVE INFLOW of foriegn capital". that's what i'm talking about, when interest rate is high, capital will inflow...

Hi David, I'm just wondering, how low interest rate and low rate of return on RISKY investment that were in both countries and capital inflow bonanzas happened? this situation do not contradict with " hot money principle "?!!!!!!!

Hi shannon I think it should be under treasury blanket, because they were first only hedging, but then when AIB acquired allfirst, & rusnak joined them, the strategy became making profits, so positions that were taken by them were exposed to market risk, I mean they became trading book instead...