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Indeed.

Something like that, I don't remember exactly. General rate is higher than special rate thus better for the lender of cash and more expensive for the repo party who is borrowing money and placing the collateral.

I think it was about having some excess liquidity to place on short term and question was wether to enter a repo or rev-repo and whether to invest in bonds that trade special or ones at general rates.

Indeed, MRC which is based on the 99% ci 10 days normal + st var, considering also max rule and multiplier. Maybe I was wrong on my calculations but I remember first geting somthing like 7 mil then adjusted to 99% ci 10 days and got higher than 9 mil.

Same here. Given high LGD I thought OC wouldn't be effective, also the waterfall would not be very effective in case of high defaults and high correlations. I remember I specifically checked if smth was specified regarding internal vs external enhancements and there was no such specification as...

I remember also the question asking for model for PD prediction using application data, big sample, many variables. I answered regression too. I don't remember the question referring to machine learning techniques.

You had to transform the VaR from 95% to 99% ci and 10 days, so it was higher than 9 million. This was my result.

Hello, from my part, I managed to finish but with no time left for checks. Quant questions did not seem very difficult, many questions with hazard rates based on cds spreads, cumulative/ anual PDs, ES two or 3 questions, incremental VaR, ho lee, bond discounted value with 2 steps semianual comp...