There was a question on ho Lee drift model. And what drift would give a 0% interest in lowest node. Question on WCDR for Credit Risk. On Portfolio weight using TR and sd the answer was 6,400,000.
There was a question with a graph where A had a higher slope and then declined while B had a lower Slope that stayed constant. And we were asked to choose the correct option: 1. Implied probability in second year for B is higher than A 2. Initial cost of CDS for A is higher than B. I chose #2...
I think the exam was just about the right level. Though I can remember at least one question on Bond Pricing where none of the options matched the actual answer. I tried my head around it, cleared the calculator a couple of times, but no luck. I fumbled a little bit on Mortgage Pricing and...
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