here a few more questions I remember and the answers I picked
- How to best mitigate systemic risk - Answ. Insure senior tranches of securitizations
- Modified duration of a 15y semi-annual compounding zero bond - Answ. 14.5
- Impact of new products - Answ. new products can alter fundamentals and standards of a market or similar
- How to replicate debt under Merton Model - Answ. short put plus risk free bond
- Question on non-parametric VaR methods - Answ. either bootstrapped simulation can yield outliers that distort Var
or bootstrapping can lead to higher Var estimates
- Calculate Liquidity Cost with random spread approach, a so called volatility spread factor of 3 was given - Had never heard of a volatility spread factor in this context before and didnt get to any of the numbers given and finally picked 1.5m or 1.7m
- What is not a building block regarding economic capital discussions –
interest rate risk in banking book, counterparty risk, dependence in credit risk, ? --> Answ. interest rate risk in banking book
- What kind of debt does a typical Private Equity LBO deal use? - Answ. mostly senior bank loans
- One on Prepayments and Strips – What will decrease the avg life of a PO? Answ. higher prepayment speed
- Question on securitization - Answ. subordination of equity tranche is considered part of internal credit enhancement
- How to best mitigate systemic risk - Answ. Insure senior tranches of securitizations
- Modified duration of a 15y semi-annual compounding zero bond - Answ. 14.5
- Impact of new products - Answ. new products can alter fundamentals and standards of a market or similar
- How to replicate debt under Merton Model - Answ. short put plus risk free bond
- Question on non-parametric VaR methods - Answ. either bootstrapped simulation can yield outliers that distort Var
or bootstrapping can lead to higher Var estimates
- Calculate Liquidity Cost with random spread approach, a so called volatility spread factor of 3 was given - Had never heard of a volatility spread factor in this context before and didnt get to any of the numbers given and finally picked 1.5m or 1.7m
- What is not a building block regarding economic capital discussions –
interest rate risk in banking book, counterparty risk, dependence in credit risk, ? --> Answ. interest rate risk in banking book
- What kind of debt does a typical Private Equity LBO deal use? - Answ. mostly senior bank loans
- One on Prepayments and Strips – What will decrease the avg life of a PO? Answ. higher prepayment speed
- Question on securitization - Answ. subordination of equity tranche is considered part of internal credit enhancement