Search results

Alan, that's true thanks for the color!

@alan - that definitely makes sense, However, this also makes me wonder if we all got the same exact test.... I'm 100% sure my test read it VaRs plotted were via delta-normal approach. which is why i was wondering how that changes the answer.

@alan: in regards to the following question... would you answer change knowing the VaRs were estimated via linear approx ie the delta-normal approach? "Qn Oh, I instantly loved this question when i heard it from my friend. Given a plot of VaRs vs. Confidence level (92%, 94%, 96% and 98%)...

Ugh.. Just found out i got Q1 wrong "Port has 7 yrs durations and is appropriatiley hedged with US treasury bonds (was this 3 month treasury??). what instantaneous change in the interest rates would cause an aggregate gain?" (note this isn't the q verbatim) a) longterm rates rise short...

MBS's are often structured into various tranches by securitizers. Often times to fit investors risk and reward appetite. They could be senior tranches which are usually AAA rated and subordinate tranches. They are bonds essentially made out of structured debt.