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I have a feeling it might take another 4 weeks.

I think I also put that for neural networks, but don't think it's the right answer. Anybody know what the correct option was?

Tbh I am just plucking this from thin air. I am sure it will be much lower. I can't see the top 5% average being higher than 60.

My guess would be 45-48. What do you think?

How confident are people with the Current Issues questions e.g. ML/eMoney/cyber etc?

I think q was abt an analyst going through a database of returns. What were the limitations? Or is that a different q?

Hmm not sure, was it one comparing before and after netting?

Yes, even I subtracted as it was a charge. But not sure why the the answer didn't match the options given. (Return on loan (15) + return on ec (1)-el (5) - op cost(35%}- taxes -transfers 1.5%)/Econ capital is what I used

Ahh I see. Do you recall the RAROC question which had transfers of 1.5%? Think the answer options for % was between 10-26%. This had me stumped as I couldn't get it to work if I took transfers into consideration.

I think it was 97.5 and 99. Just ended up rounding the number e.g for 99th took last 3 numbers. I think it was 195 days of data no?

Ah yes, I think I made the same mistake. Think it might have been something to do with POT method where it's more important to have high threshold....

Same here was a complete guess. I really didn't expect to see any CPR related questions. I think I went somewhere in the middle around 21%? Prepayment was 80k. Loan repayment incl 50kcapital and 30kinterest. For the mapping questions I put cashflow being mapped on specific vertices ... Can't...

1- heavier tails 2- what was the Q/A for this? I don't recall coming across Liq adj duration. 5- I think I calculated Treynor as i thought it was supposed to be comparison with benchmark 12- what did you have for RAROC? Did you have to include transfer of 1.5%? 16- also said leverage for some...

Yeah I am sure the difference was greater than MTA, so collateral had to be posted no?

Ahh I think I might have put it down. Feel silly now.

Is that one where joint prob of default was given as 0.01? Did we have to calculate correlation or joint prob of default?

LIBOR is based on actual quotes but has been proven to be an unreliable. Was that the answer option?

Oh I think it was 3.6% security selection and 0.87% asset allocation. As the manager had generated a greater return compared to benchmark and I did the calcs to be safe. Speaking of front loading, there was a question about the investment strategy for a company that wanted to meet short term...

Yes I think I did get 1.73%. well remembered

Do you happen to recall the factor values? Think we just plug into r0+k(theta-r)DT+sigma*dw I can't actually remember.