Dennis Choi
New Member
Yes I believe so - I am pretty confident on atleast 80% of my paper - but still by nature become restless . The 5 questions which I was most concerned about
- Implied volatility one (chose in the money call - but if we just only look at the answers only one choice is possible - i.e Out of the money Calls)
- TBA - I think I have got this right? - chose underperform when interest rate decrease (convexity) and but same / overperformance when interest rate increase (as some prepayments exist at higher interest rates - sub-optimal prepayments due to housing turnover (favorable to the investor).
- A manager wants to hedge his fixed income portfolio with an instrument which has negative duration? - I chose the put option on IO - which I believe is wrong.
- Calculate PD -chose 16% but then changed it to 20 % .. so am kicking myself
- Increasing Tier 1 Capital - went for C and not for cross-deposit .. am still not sure .. probably am wrong
http://www.shearman.com/files/Publi...k__Implications_for_banking_organizations.pdf
this pdf file also says that cross-holdings are gonna be deducted from common tier 1. If you look at the phrase with own investments there is a condition when its goin to be taken off CET1. Let's keep our fingers crossed. I went with C as well.
Does anyone have a correct answer for the model risk one.(monte carlo vs historical vs D-normal) I went with model assumptions and it's really buggin me now..