I have cleared the Nov part 1 exam and below are my quartile scores.
Foundations of Risk Management and Var - Q1
Quant and FMP - Q2
I have studied mostly from Schwezer notes which I completely regret as I found the exam lot tougher than the practice papers. I would like to start to prepare for...
No, not that question, there was a question on coherent risk measure properties. I remember few options as below
Var(a+b)<= Var(a)+ Var(b)
ES(3x)=9E(x)
Var(3x)>= 3 Var(x)
Something like the above
Balaji
I remember 1 more question on Coherent risk measures comparing both Var and ES.
The options were deceptive as they mentioned Var (A+B)<= Var (A)+ Var (B) among the options.
Clearly at the first glance we would go for this toption, however it is also mentioned to select the option that...
In theory I would agree with you guys, but the question is practical and I totally agree with Garp's explaination that the Duration should infact be 15 years. The attachment I have provided in my above comments has Garp's explaination for the same.
Cheers,
Balaji
Guys, check this attachement. This question is actually a 1998 FRM question in the similar lines and also refer to Garp's explaination provided below
Cheers
Balaji
I agree to the explaination but realistically speaking The duration of a zero coupon bond is always equal to its maturity, regardless of whether it is callable. If the issuer calls a zero coupon bond, it will be for the purpose of retiring debt, not refunding at lower rates.
Can someone remember the options given for the Baye's theorem (Fraud test) question?? I reckon I have guessed it but cant recollect the options.
There is one for question regarding the duration of a callable bond maturing in 15 years and callable after 10 years. This answer still remains 15...
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