Well, but it is specified in the text that the 10th item is the VaR. It isn't calculated VaR is given...
I give up on this question. Next time, I'll know I've to exclude VaR...
You have 1000 pnl values. 99% VaR is USD 1.484 (it is given) which is the 10th item.
And it is included in the ES calculation. Why this 10th item, which is the VaR, is included in the ES calculation?
I don't say that Moey is incorrect. His formula is given in "Dowd, Measuring Market Risk" ...
Thanks for the explanation! I'm so ashamed I'm wrong with such a simple question!
I've done an other kind of exercise before where the VaR was included in the expected shortfall calculation... So I've kept in mind to sum the values where L>= VaR.
As you can see below, VaR 99% is given =...
I've really disliked the long texts with 3 questions associated. I've skipped them and kept them for the end of the exam. But at the end I was so tired I don't even remember those questions :( ... I count all of them as failed :'(
Well, I've always seen CVA expressed as ∑ EA*PD*LGD*discount_factor.
So I've calculated
CVA1 = EA1*PD1*LGD1*df1 with PD1 = 1-exp(-hazard rate * 1)
CVA2 = EA2 *PD2*LG2*df2 with PD2 = (1-PD1)*1-exp(-hazard rate * 1) = (1-PD1) * PD1 because it was said that hazard rate is constant.
Then CVA =...
Are u sure it was a 2 tails test? VaR is always a one tail test... Well the exact same exercise was on bt video on Youtube. We had to calculate the z value. Mean=5%*252 trading days. Vol =sqrt(nqp)=sqrt(5%*95%*252) and zvalue=(20-mean)/vol which was above critical t value
I've answered the same thing. I've done a similar exercise before (hereunder) and the exposures reduced by CCP was 32 (10 + 4+ 4 +14) in this excercise
Exposures:
The overcollateralization question, I think the answer was C. This question was quite straigthforward I think, but may be I've misunderstood the question. I don't remember the numbers unfortunately :( .
1- calculate the amount of interest paid by the pool of loan (4 million I think it was 80...
we should all stop to panic and stop to go on the website, may be that will allow them to solve the problem earlier. I hope we will have the same results tomorrow but right now we can't change anything.
They told me (and I called twice) that results will remain the same. I asked why my results went from "passed" to undeterminated and they told me "don't worry results will be the same, if it was passed it will still be passed. just wait a couple of hours, we had a technical error on the website"
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