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As for gini coeff, I did too in reverse order. Convertible bonds are not good for delta normal var was my choice as I is an embedded option. As for butterfy strategy, I chose $4.

It is true that calculator was used very rare. The same feelings after the exam as described above. Especially 20 qestions unanswered in final 30 minutes.

100) question was about one step bionominal calculation for American put option. Not difficult to calculate but I ran out of time as with the other 10 questions.

How about question on cmo with big senior and mezzanine small tranches and zero equity tranche? First question was impact on senior tranche when correlation increases, PD being unchanged. Second was interest due to equity tranche. Since the was no equity tranche investors, zero pay - this is...

It was really tough.

One question really puzzled me, bank xyz hedging long position in us gov bonds with SCDS. Prev model used average of bid prices, now considering moving to mid price. As the bank was the protection buyer it was paying, not receiving premiums, so one answer is ruled out. As remember, I selected...

Hi David, Quick question. I do understand how to get relative SaR, which is quite easy (volatility of surplus as calculated as above * deviate * Assets Size) how about absolute SaR? for it we need expected value of surplus ("mean") = WA*RoA - WL*RoL, where WA - weight of assets =A/A=1, WL=weight...

just noticed - dates for LCR and NSFR were swapped :) Sorry for the confusion cause, if any.

Decided to sort out BASEL III stuff, and put major point in one place (did not know exactly myself exact % for full capital requirement, what goes where, etc) *************** (some credit goes to excellent presentation from SUNGUARD "Basel III and Beyond- An Overview and Response to...

the main ideas in one slides:

On the another reading, major point in Sovereign CDS-bond spread and risk factors that affect both in the graph in that reading. I just highlighted most important factors.

Stulz CaR is a bit unintuitive, looks like PFE (expected positive cash flows at risk as due to collateral arrangements, change in MtM would mean cash flow requirement for one CP)), Dowd's LaR is lot more easier understandable, where there will be net cash Outflow requirement, it would put our...

Tried to capture the main ideas of this good reading:

Hi David, Thanks for confirming my recapping views. CVaR was for me a very difficult thing not to picture about, but to handle it with actual problems. Different set of problems also took different take on CVaR , which was confusing, at least for me. OpsVaR being treating differently from CVaR...

threshold is a trade-off between having some exposure uncollaterized (i.e. under more counterparty risk) and having less burden with collateral management (less operational, legal risk). Collateral is a thing meant to be actively managed - valued properly, safeguarded, monitored, frequent...

CVaR = UL - EL OpVaR =UL + EL The logic behind, deducting EL from CVaR is, I understand, because EL is projected by the bank as bad loans charge/ provision, and to avoid double counting for Basel capital charge (bad loans provision on P&L is effectively reduces Retained Earnings, and thus...

Well considering that from 2015, LCR is being rolled-in worldwide, I would expect Harp to test candidate's preparedness for this ( plus Basel iii other parameters, NSFR, CET ratio, etc). But that's my wild guess, in 20 questions, say 8-10 for Basel, 3-4 for liquidity (lvar, leverage), 8 for...

one week is left, let's wait :)

Both methods should give the same results, but adjusting the discount rate seems here more easier and quicker (besides I guess I got it EPE all wrong). On the other hand, another question arises, if fair value of CLN is less than par value 99.19 < 100 (= negative NPV), then it makes no sense...

1 step. Find risky rate 0.8=1/(1+y) => y=25% 2 step. insert in formula (1+Rf)=(1-pd)*(1+y) + pd* RR 1.05=(1-pd)*1.25 + pd*0 (1-pd)=1.05/1.25=0.84 => pd=1-0.84=0.16 (1+Rf)<=(1-pd)*(1+y) + pd* RR is important formula, concept that risky asset should provide return equal or greater than risk-free...