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Harder + more material. I would say it took me 3.5 months (every day studying full time) to run through the material. I think you should start now, so that you have time to review and do practice Q's. Overall, there are some parts that are really theoretical and difficult to grasp, especially in...

Couldn't resist..

I highly doubt more than 60 percent people passed in Nov 2015. These numbers are so inflated and bull crock because GARP clearly has incentive to inflate

51) property of ES (under normal distribution ES = 97.5% VaR?) The first option of 95% VaR = 97.5% ES was wrong. I don't remember the answer. 52) calculate VaR with collateral 53) question about CCAR...would equity market value aggressive or conservative capital buffer? ( I put aggressive buffer...

1) Half life of Vasicek - independent of the original distance 2) JP Morgan - ignored & raised risk limits 3) Market maker earns illiq premium even after all the costs 4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances 5)...

It was the least one like 6%. There's a formula for ideal weights of manager according to their info ratio and tracking error

Anyone remember 3 Cumulative default curves on the same graph, asking for comparison? Options were higher CVA, higher initial cost of entering transaction, lower 1-year default after 1 year. I had no clue, so I chose lower 1 yr default after 1 yr due to less steep slope. Also, comparison of...

Did anyone get SMM rather than 115 PSA? When I converted SMM into CPR,I got something like 8%, so I picked SMM. For 100000 euro that had to be removed, I got somewhere around 710k so I chose 709k, I think.

Bro, put delta decreases in magnitude but increases in real terms. I think author meant in magnitude. Imo GARP trying to trick us. I still think I am right lol but I may be wrong. Somebody can confirm

http://www.deltaquants.com/assets/images/putcalldelta.jpg

I agree. Also as spot price increases, delta of both call and put increase(less negative). I am pretty sure about the question. Lastly I also got 8.8% for hurdle rate. Theres a formula which is weighted avg of rates between preferred and common eq

Questions I didn't get: 1) One where an option was increase in default affects senior more - probably got this wrong 2) Definition of step up 3) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior. Chose the latter 4)...

1) Half life of Vasicek - does not depend on the original distance 2) JP Morgan - ignored & raised risk limits 3) Market maker earns illiq premium even after all the costs 4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict...

Is the QQ heavy or thin? I remember the left side was LESS steep but also below the normal line.

Thanks man. I get it now! :D Thanks for all your help

Thanks for the reply, What do you mean that the value of debt is different from face value of debt L? By "value of debt", do you mean the present value of the debt (rather than face value) ? Also, you said "you get present value of equity E through BSM and get value of debt by V-E" but don't...

In the Merton model, we assume from the outset that V = E + L Firm(Asset) = Equity + Debt However, in Merton calculation examples, we are given V and L(face value of debt) and asked to calculate E,by using the BSM formula. This ends up vastly different from being V - L (and I also don't see the...