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Passed L2! 1 1 1 2 1 Thanks!

Hmpf, I fell for the caveat, and put the 20, ignored the risk free rate. Regards, J

Hi, i remember it was asked for the risk-neutral mean loss rate in this question, which is 20%. rfr did not matter at all, neither did loss given default; see one of the Cannabero assignments: The risk-neutral mean loss rate is the rate at which investors act as they are risk-neutral. Regards, J

Hi again, I see, but there was a trick from GARP-side: It was not "short" as in "sell short" but it was "Short maturity put option on...with 1 month expiry". Regards, J

No there is no other way. Remember mapping for options in Delta-Normal VaR and that Delta for put options is always negative.

Hi Ibrahim, it is not; Option A is correct. An IO has negative duration, it will increase in value when yield rise. Hence, the put on the IO will profit when yield go down. Thus will have positive duration. Apply the same argument for the put on the zero, and you'll see that this combination...

@1: chose: Eurodollar Future. Think those are available until 10 years. @2: chose: Buy the put option on the zero should be correct: Duration positiv for the zero; hence you will profit when yields go down. BT you will profit from the put only if yields go up ==> negative duration; Revert the...

Sorry :-(

hi, ibrahim, you are right in this case, but the option was: "A takes a loan from B and posts collateral in form of B bonds. "

No it offered to sell put options on its own stock. If that weakens - implying weakening credit quality of B - put options will turn into money for A, hence increasing counterparty exposure for A in the moment credit quality of B is deteriorating ==> Hence, credit exposure and credit quality...

Hi shanelane, do not worry, it's not said that you did not pass yet. From the effort you put in (as I see from the questions you raised), you definitely should have.

Hy LankyLint, It said: A has debt with B and is worried about credit quality of B. What kind of action will cause wrong way risk from the perspective of A. All other options created wrong-way risk for B.

First, do not care about that A already has positions with B - this was only said for confusion. Actually it was asked what kind of trade would create wrong-way risk for Bank A (on a stand alone basis). No matter, if using collateral from Bank B for its debt with bank B it will create...

Ok, than I took the wrong one, I did only see the 4 NAVs in the table. But at least my logic has been correct :-(

It was 4 NAVs. Hence 3 periods.

@1: No, it was bank B offering selling puts on its own shares. Take into account, that question was asking from Bank A perspective. If bank A takes a debt from B and secures it with bonds of B, it will be a wrong-way risk for B. @2: I also chose NIX and Information ratio, even though Cheson...

Hi, @convertible: Still, it leads to a cash outflow, even though performance will be positive. @hedge fund fees: see my logic above. Regards, J

Hi, i left it out on purpose actually, cause with 4 prices you only have 3 periods covered 2008-2009, 2009-2010 and 2010-2011 I think. Hence, only for those periods we can calculate the fees, because for one fee we would NOT know whether there is a performance fee to be applied or not. Regards, J

@Inflows: Pretty sure that it was indicated that the stock is going down. @Hedge fund fees: HF price always arround 35; Hence, it was 0,7 + 0,66 + 0,66 = 2,10 in Management Fee PLUS positive return was 7,8, net return was 5,8%, absolut performance fee ca. 0,4. Thus, something around 2,50...

Hi, here my remarks. Overall, I had a very good feeling, when leaving the site. But it changed by now...:-( Best, J @Net Excess Spread: You have to deduct the guarantee fee. It is "Net" excess spread. So the correct answer was 0.15. @Liquidity Duration: It said that the trader wants to...