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Are you referring to the question that asked for the percentages in the replicating portfolio based on two bonds, given their respective Key rate exposures to the 2 yr & 5 yr? I can't remember my exact answer, but it was one of the options that involved a very small percentage to one, and very...

Hmm, you may be correct but I remember the question being worded something like "the portfolio was constructed so that it is delta gamma neutral.. what is the actual VaR?" Of course, if the portfolio is somehow quadratic (or linear) then YES - the VaR is actually zero. Else it is most...

I thought the exam was tough, and I regretted not studying more, even though I was not unprepared either. The best way to explain how I feel about the exam is that I took for granted some things I thought I already knew pretty well and told myself I will be able to figure it out during the...

I know the question you are referring to, however I disagree that the answer was zero. Zero was the "trap" answer I believe: the delta-gamma method is an approximation. It is the same as a second-order Taylor approximation. Therefore, being delta-gamma neutral only means you are...