jeevanraju
New Member
Thank you ...1) Don't remember the answer exactly but I thought this was quite straightforward.
2) Yes. VAR underestimates as the Traders are doing trades that have more VAR (hence high returns) than what the model would calculate.
3) Yes. Right on.
4) I have posted above on the details on this one... Please verify if my account is correct.
5) Netting question was easy. There was one with collateral posting too...
6) uh.. huh... Don't remember what I did though.
7) yes. that's what I did but it's a bit of a guess.
8) Don't remember this one.
10) This one I think I did the same...
There was on on liquidity adjusted VAR with a constant bid as spread. It asks where the LVAR/VAR percent would increase... Answer was confidence level and horizon...