Search results

It's now official. Many thanks to BT team ! Excited for Part II !

Did again the change of the date/time thing : quartiles just got inverted to 1-2-4-1 that make more sense. Waiting for tomorrow confirmation.

I did the change of the date/time thing. It shows that my quartiles are 4-3-1-4 and still passed, LOL I think we have to wait till tomorrow morning to see the official result.

I remember choosing $0 too

Thanks for confirming that. If loss values were given, I think we got it right.

I remember choosing the same answer but do not remember the question, lol

About the question on the historical 99% ES : Maybe I got confused on this one. I thought we were given the ten worst losses (in descending order) in a table. To compute the ES, I took the average of the highest and second highest loss (so the first and second values in the given table). Does...

I doo agree with you. There were surprisingly too many qualitative questions.

Unfortunately, I do not remember the value and the letter I chose. But applying the formula gave one of the choices.

I also do not remember clearly the question regarding Gaussian Copula, but I'm very confident in my answer : "the marginal distribution of each variable is mapped to the standard normal distribution"

Yes, we were given the expected annual return (mu) and volatility (sigma) of a stock, and asked to compute the mean return, with the assumption that the annual return is normally distributed. I assumed the stock followed a lognormal process of BMS model, and used the formula : mean return = mu...

I also think it is clear that the answer was the "Control Variate" method.