Roshan Ramdas
Active Member
I selected the followingsi will disclose as much as i can remember)
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I selected the followingsi will disclose as much as i can remember)
Hi Tanya - Are you sure that there was mention about the haircut already being applied to the level 2A ??I've remembered a question about the difference between the Nominal & Z-spread - I think I got Yield Curve 2 & MBS 1
For 5) 73% was LCR - I think the amount given for Level 2A assets staited that the haircut was already applied ....
I've remembered a question about the difference between the Nominal & Z-spread - I think I got Yield Curve 2 & MBS 1
For 5) 73% was LCR - I think the amount given for Level 2A assets staited that the haircut was already applied ....
123% is what I got as well.I think for LCR its 123% as for Level 2A its mentioned haircut already applied
Rams y u deleted your answers ..we could discuss many other questions as well..123% is what I got as well.
Not true,...Basel's expectation is that the LCR be greater than or equal to 100%I think LCR question is 73% since basically it cant be more than 75%
For the RWA question, if I remenber well, the credit part was already given in RWA , but not the market and op risk part. So we had to multiply the market and op risk by 12,5 and sum it with the given RWA credit amount.I found the exam brutal. I agree with someone else that the questions were worded in a very confusing way. There were 5 or 6 questions on the CSA, and I haven't done all of the BT questions, but neither the GARP, Kaplan, nor BT questions (the mock exam ones) covered this, so I lost a lot of points--I didn't really go over that one in much detail in my revision.
For the RWA question (it was one of the first 5 or so questions) the market risk was already given in RWA form, but the op risk and credit risk were given as the capital charge. I divided the credit risk charge by 8%, but for op risk, I thought the capital charge is 15% of the average of the last 3 years of income, so for that one, I divided by 15%, and I did not get any of the answer choices, though one of the answer choices was something like 1135, and I got 1315. This must mean I did it wrong, but were all of the capital charge weights supposed to be 8%? There was one answer that matched that (choice d, I think), but I'm pretty sure the op risk charge was different, so I didn't pick that one.
I do not remember reading about variance vs volatility swaps anywhere. (And I was using the GARP book, the schweser, and BT)
There was a question about a HF with high returns with an 18-month lock in period where they are only accepting new investors for the next 30 months. I think I put that the 18 month lock in period should cause alarm, but is it normal for all hedge funds? I didn't pick that answer because it seemed extreme (normal for all hedgefunds, rather than "some", etc).
For the RWA question, if I remenber well, the credit part was already given in RWA , but not the market and op risk part. So we had to multiply the market and op risk by 12,5 and sum it with the given RWA credit amount.
Rams y u deleted your answers ..we could discuss many other questions as well..
I selected consumer creditI remenber a question concerning the golin reading and credit analyst who use just the quantitativ credit analysis in their decision and we had to guess the type of conterpart. I selected the answer customer