what about the KPI one?
Level 1: Post what you can remember here
- Thread starter browniandynamics
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Aleksander Hansen
Well-Known Member
Reducing from 99% to 95% increases the probability of making a Type 1 Error, but decreases the Probability of making a Type 2 Error.
agree on this one
It was KPI only...though i dont rem options and i had just guessed it
Also for the power law..i remember power law has alpha as a function and as alpha decreases you have higher confidence interval..
1 question was for Type I/II error - i think it was reducing alpha and also increasing the smaple size (to double) .. what's the answer ?
1 was about which arbitrage startegy to be used - i remember both the cases had arbotrage opportunity (F>S and F<S) rt ?
I think the answer for the question about Key Performance Indicators was ROI. But i don't remember the other choices.
There was another question about delta. I remember the choices are option, futures and forward. I chose forward. Anyone remembers?
In MCS question, we were required to imply the corresponding z score for 0.45, as i remembered.
Another question about omitted variables bias occurence.
Straight ESS, TSS and R^2 question.
browniandynamics
New Member
It was KPI only...though i dont rem options and i had just guessed it
Also for the power law..i remember power law has alpha as a function and as alpha decreases you have higher confidence interval..
1 question was for Type I/II error - i think it was reducing alpha and also increasing the smaple size (to double) .. what's the answer ?
1 was about which arbitrage startegy to be used - i remember both the cases had arbotrage opportunity (F>S and F<S) rt ?
Hi varun34by02, thanks for reminding the Type I/II error question. As I can recall now, it stated that when the significance level increase from 1% to 5% and the sample size increase from 100 to 200, how Type I and Type II errors would change?
The answers are some combinations of I/II increase/decrease, and I think I chose Type I increase and Type II decrease.
Aleksander Hansen
Well-Known Member
ROI was not an option
Yes, omitted variable bias;
as well as perfect multicolliniarity (messing up your OLS by dividing by zero)
Yes, omitted variable bias;
as well as perfect multicolliniarity (messing up your OLS by dividing by zero)
browniandynamics
New Member
I think this question is a hard one and honestly I don't know which answer is right, so I guessed: the relative trading balance.
Aleksander Hansen
Well-Known Member
It is directly related to the law of one price and hence inflation.
browniandynamics
New Member
Hi Aleksander, thanks for clarifying!
Aleksander Hansen
Well-Known Member
Indeed, this was the only question I guessed on the exam as the answers/text is too politically correct, and often subjective (in my view).
I guessed "encourage open discussion" as it sounded most politically correct but I have no idea. If anyone knows the answer, do let me know.
It was ROE, STDev, couple others. I think I picked StDev. Wasn't really sure. I initially thought ROE, but that didn't really make sense given it was a risk exam. And passively paying attention to ROE didn't make much sense in that context. I picked StDev, given it is directly related to actual performance and it has to do with risk. Definitely wasn't confident.
PPP: Inflation
Perf Multi
T-Test
The question about the credit quality you just had to add them up if I recall. It was an A, I think +
Inc Type 1, Decrease Type 2
The Weight of the VL, is just the gamma: 1-A-B
CTD: I think we just had the quoted and the CF, divide them? And go with lowest?
Yeah full Z. Used it a couple times...
PPP: Inflation
Perf Multi
T-Test
The question about the credit quality you just had to add them up if I recall. It was an A, I think +
Inc Type 1, Decrease Type 2
The Weight of the VL, is just the gamma: 1-A-B
CTD: I think we just had the quoted and the CF, divide them? And go with lowest?
Yeah full Z. Used it a couple times...
varun34by02
Member
yes with just significance level dec thats a sitter.. but you know .. i started getting confused by seeing doubling of 'N' .. still wnet with T1 up & T2 Down
varun34by02
Member
As i Said in some of my last reply....I derived it on the basis of real rate = nominal-inflation and real being a function in IRP, so it is Inflation in different countries that actully drives the IRP !
varun34by02
Member
This one was quite complex .. the Y-axis had excess portfolio return given..but i could not crack it
very good question i must say.. such questions only differentiate classes from masses !!Frm_Indonesia
New Member
There were also questions :
- Implied Volatility
- Present Value Dividend with S = K = 650
- Smoothing lamba of EWMA equation
- Role of financial institution
- Implied Volatility
- Present Value Dividend with S = K = 650
- Smoothing lamba of EWMA equation
- Role of financial institution
varun34by02
Member
S=K=650 asked dividend..rt ? i think answer was 10.
Smoothing I think 0.91.....but that was approx ( options were too close - 0.90/91/92/93)
0.91 sounds like what I got too
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