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I got smthg like 0.92 or 0.94....

was there any final decision how to calculate the EWMA question where a cuple of daily returns were given?

then it was clearly a calculation mistake as everything was given, AE was calculated for the expected loss....too bad

btw - seems like a lot of people are posting what they did, but I stll couldnt see a final answer for some of the questions...

average exposure was about 67k... I got an answer from the given options for expected loss. then used the formula for unexpected loss which is pretty straightforward and didnt get a proper answer... may be it was a calculation mistake. or was there something tricky that I missed?

oh no....I have chosen option b) as I thought they converge.....

there was also a graph with spot and forward rates ...which one did you pick here?

it was one qualitative question...answers included information about price movements, share number...the rest dotn remember

can someone please clarify on the futures / spot difference and which one did you choose?

I was also not sure if fiduciary capacity or financials....will be very happy if it is the "fiduciary capacity"in the end

btw - the forward rate question had answers in EUR/USD ...some of you did convert although I dont see why this is needed here. the foreign currency from this perspective is the USD..an views?

there was 1Q wrt to indentures..I picked 1st answer: acts in a fiduciary capacity. can anyone confirm?

was that the the on with 25% standard deviation or with 30%...? if you remember...

The difference to the mean in the new confidence interval was 4 times less than the previous one. That's why I think also that no. of scenarios should be 200 * 8 = 1600 to reduce 4x. But I picked up 800.....

How did zou calculate the bond price where 3 bonds were given and the price of the 2nd was the one they asked for_

I also took 800, but now think that 1600 was the right answer... for the 2nd one - narrowed to 2, 0.25% with 1200 scenarios and 0.30% with 700 scenaros, dont know which one I picked in the end...

yes, VaR is not subadditive, but which answer was this? and futures & spot - answers included number of shares, price movements....dont remember exacty, but struggled with this one

oh, and two more....200 scenarions and 2 confidence intervals, how many scenarios? 2. standard deviations and scenarios were given, what is the most efficient estimator?

There was a question regarding futures and spot differences, physical settlement, VaR assumptions made by the manager - options were jointly distributed variables, not correlated, i.i.d...dont remember the last options how did you answer these?

btw - does someone remember the market order question: it was something like price decline, 5 USD or above as a target and then decide which order. Which one did you pick???