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1. Won’t rising rates make it easier to fund the pension plan? As for the impact on the shareholders fund (i.e. shareholders equity), I am not too sure. I selected that it decreases. My logic was that when rates rise, fixed income asset prices drop but the pension plan's liability remains...

Also, for how banks deal with Unexpected Losses, what’s the answer?

So what was the answer provided in the exam? I thought I chose an obvious answer but can’t seem to recall it. Did the answer speak about the clients right to cancel contracts? Was there one or multiple answers that talked about the cash flow problem? Cause I remember choosing an answer which...

If the question was to reduce Beta or to fully/partially hedge, then the answer must've been to go Short. IIRC in both questions, the portfolio in question was long in nature. Now what I can't remember was if did either of them say that the Beta had to be increased (or to increase exposure to...

Oh yes, it gave a value for example Beta at 1.5 and wants to reduce it to 0.6. So the answer is (0.6 - 1.5) * (Portfolio value/(Futures * Multiplier)). Very direct. Answer was to go short of course. The one with CSI index was a bit longer because you had to calculate the Beta. I can't recall...

- was that a question on currency hedging or the CSI Index hadging? - yes, it was a short butterfly - was it short put or long put? Was the question asking from the perspective of AUD or some other currency? Cause if AUD is the foreign currency, then you need to go long put which protects you...

If truly the Test Statistic was between the Critical Values, then surely you do not reject H0. As to whether the Test Stats actually was between the CVs or above, I honestly do no recall. But I believe the computation for the Test Stat was relatively straightforward so you should be correct.

Does anyone remember a theory question about spot/fwd rates? There was a currency question involving Mexican Peso and that the foreign denominated currency portfolio suffered 3.3% loss p.a. Since the duration was 6 months I took (1-0.033/2) * foreign currency portfolio * exchange rate, and...

LOL I'd definitely never have picked Treynor option if it said "increasing Beta" along with it. It's so obvious that Treynor falls. That's not a mistake I'd make. Still if the way you're describing it is exactly as how it appeared in the paper...then well I'm SOL. But I don't believe I'd have...

Yep that one is definitely Gaussian Copula. Another question I asked previously on Quants but didn't get an answer to was the question asking to find the Covariance and Std Deviation of returns. For Std Deviation, the choices were 0.03 and 0.04. For covariance it was 0.0011 and 0.0016. I...

Wasn't ESS and SSR given in the question? It's a bit hazy. I remember Explained Sum of Squares, and the other being Sum of Sq of Residuals. Don't think TSS (total sum of squared) was provided. Then it's just plug and play.

- For the beta/volatility question on Treynor/Sharpe/Sortino/Alpha...I chose Treynor. - Based on the numbers for the margin question, which are all correct as you listed them out, the variation margin is 32,000 + 22,000 = 54,000. The thing is it doesn't make sense for the account value to be...

Wasn't there only one answer with 6.5 and 6.55? I chose answer A. FRA...can't remember answer but I got something that was a match.

I don't recall the ES question...but shouldn't it be high alpha and low sample size to achieve max ES? Someone said it was 16.xx for the convexity. I had no idea but guessed that answer. Initial margin definitely not posted to default fund. Correct me if I am wrong. I chose a different answer.

There was a question on which is a source of operational risk. The answer I selected was a rogue trader (or something to that effect). Correct?

What does hip mean? Also I seem to recall the tstat and cv were both around positive three or thereabouts.

It is quite clear that if the |TS| > |CV|, reject H0. H0 is always defined as the hypothesis containing the equal sign, be it for one or two tail tests. H1 is the hypothesis always without the equal sign. As for the T distribution question, I honestly can't recall my answer. But if it was two...

For the GARP code of conduct question,pretty sure question mentioned something about "general accepted practices", no? In which case there's only one obvious answer. https://www.garp.org/#!/about/code-of-conduct

I'm not sure if people realize or not, but the question says there were FOUR contracts purchased. It wasn't really obvious in the question this bit of info. So the initial margin of 8000 multiplied by 4 is 32000.

I got this wrong. Answer should be rising interest rates makes it easier to meet the commitment and also increases the shareholders fund. I put it as decreases shareholders fund.