Did you guys calculate DD with the LN formula? I tried (20*1.05-10)/(0.28*20.5) but couldn't get the DD among the 4 choices...anyone knows what went wrong with my formula?I got the same answer.
Did anyone get SMM rather than 115 PSA? When I converted SMM into CPR,I got something like 8%, so I picked SMM.
For 100000 euro that had to be removed, I got somewhere around 710k so I chose 709k, I think.
u have to use log formula for DDDid you guys calculate DD with the LN formula? I tried (20*1.05-10)/(0.28*20.5) but couldn't get the DD among the 4 choices...anyone knows what went wrong with my formula?
I spent so much time solving a couple of numerical questions in the way I thought was right but turned out I couldn't get the answer...another one I recall is the binomial tree with Ho Lee model...find the min volatility that will make the interest rate negative after 2 periods.
It was the least one like 6%. There's a formula for ideal weights of manager according to their info ratio and tracking errorAnyone who got to solve the value for index portfolio? I was trying to solve it but could not crack it..
Anyone who got to solve the value for index portfolio? I was trying to solve it but could not crack it..
Which one did you choose? The one for retail or the one for trading and sales?For ccar i went with The -2.
Yeah i did that too. I replace the negative by 0 and ended up dividing by 2.
Which one did you choose? The one for retail or the one for trading and sales?
DD was supposed to be calculated using LN formula. I was able to get the answer among the available choice.Did you guys calculate DD with the LN formula? I tried (20*1.05-10)/(0.28*20.5) but couldn't get the DD among the 4 choices...anyone knows what went wrong with my formula?
I spent so much time solving a couple of numerical questions in the way I thought was right but turned out I couldn't get the answer...another one I recall is the binomial tree with Ho Lee model...find the min volatility that will make the interest rate negative after 2 periods.
Yeah same thing for me i got around 710k. Could not get it to 709k exactly. I chose PSA 115 and checked my book this morning and seems that the SMM with the highest level was correct.
DD was supposed to be calculated using LN formula. I was able to get the answer among the available choice.
i believe WCDR i put 10% but i think the correct answer is now 25 due to maturity adjustment.Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
lol i totally understand you... but we can't log off BT...Don't take it the wrong way, but I don't even want to look at this right now.