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Yes I do - unsmoothing the returns to add noise back to the reported returns.

Are you referring to the one - that was questioning about the diversification benefit? The one with diversification benefit - I calculated the individual var (A+B+C) and Diversified Var with given Portfolio SD. Difference between both is the benefit.

Hello - I really don't know. I did the straightforward EL calculation with LGDxPDxExposure. As far as I remember there was no other detail available to get another figure.

Yeah - I had the same thought! But found this option demanding. Haha! Only think I can do right now is celebrate how I cleared the Level 1 looking at its difficulty in comparison to Level 2.

Did anyone select Treynor risk adjusted measures - considering the portfolio was diversified and was required for comparison.

Agreed. With missing portfolio VAR and Value - BETA was equal to MVAR.

Yeah, that would be part of due diligence, however to manage operational risk - I read a point somewhere that says ensuring the planning is done for VENDORS as well.

True, however this still required the expected return to beta calculation which would change the risk adjusted outcome. Even I remember asset 1 and asset 3

Here is the extract from one of the presentation on John C Hull Volatility smile, it is actually a “frown” with volatilities declining as we move out of or into the money? This is my understanding. I may be wrong.

I think bimodal is the distribution, not the implied volatility. More of implied density

-Best expected MVAR to Expected return (no portfolio var was given) - which portfolio will be increased. This one I calculated Expected return/BETA = with highest getting most investment -Step that will reduce undercollateralization Decrease MTA or something. -Best practice for small...

Volatility smile in case of price jumps. This was a frown?

Calculation of CCP's equity after exposure of its member. Did you all get 250M?

True - I think I've done an error there. I selected GP with frequency.

Yeah - I don't remember the reason why I selected this option. However I think it was in relation to hedging recommendation or risk reducation - so not having to manage a customer account for bitcoin/cash is a benefit. Example: Making incorrect entries onto the client ledger/incorrect...

I selected - customers are shielded, so they aren't withdrawing the cash.

Yes, I wasn't very clear about it. Considering the mean reversion rate was small. I selected 4.53 or something%

No - even I'm not clear it was just an assumption, considering threshold is already an amount - so the number of exception would be key. I could be wrong as well.

I don't remember any question about Vasicek model. Can you give me a hint?

Yes, I have selected Pareto only.