Roddefeller
New Member
Yes i used the same approach,don't remember the answer though. EL is direct additive
I think key here is whether to use conditional or unconditional PD for year 2. I'm not sure though which approach is more appropriate.
Yes i used the same approach,don't remember the answer though. EL is direct additive
I chose "the price of gold" will affect the exposure the most
I went for the same with the same logicShort soya beans is the answer i assume. If soya beans prices fall down the exposure increases (although in profit) but farmer is impacted badly and which creates a Higher probability of default which overall leads to wrong way risk.
Agreed. With missing portfolio VAR and Value - BETA was equal to MVAR.
1-2. PD x 2
3. Expected Loss
4. Expected Shortfall
5. CVA and fed funds rate
6. Volatility and Strike price
7. Mean reversion Vasicek
8. OIS vs LIBOR for derivatives
9. ERM risk contribution of each project
10. Correlation swap 30%
11. Forward to hedge
12. forward LIBOR, swap
13. lognormal VAR
14. Treynor to pick Fund 3
15. Distance to default least likely - most likely to default
16. Hurdle rate
17. credit VAR
18. VaR increase when adding Y
19. Risk governance
20. Use of historical data can introduce model risk
21. Bitcoin traceability
22. Automation of data - operational risk
23. CCP default, reserves, capital -250,000
24. Electronic trading
25. Autocorrelation
26. French Fama
27. Operational risk longer tail than market risk
28. AMA and standardized
29. Tier 1 capital CoCos
30. CoCos conversion trigger
31. Negative deposit rate
32. Emerging - External markets
33. Subordinated debt in financial distress
34. Higher leverage - weakening financial
35. KRI
36. Short soy futures
37. Move Fund 1 to Fund 3
38. worst case
39. Bitcoin operational risk
40. Lower minimum transfer amount
41. 2% recovery, 10 out of 200 loans default
42. 4 exceptions, backtesting
43. Move T- bonds to AA corporate bonds
44. Wrong way risk with CDS
45. Stress test
46. Risk appetite framework
47. Margin call 700k
48. not increasing deposit rate
49. Originator, SPV
50. Moral hazard, higher reserves
51. Unsmoothing infrequent trades
52. Smoothing
53. 0 bps
54. Generalized Pareto
55. Due diligence of vendors
Anyone remembers the answer to the question of ranking funds from least likely to more likely to default? The funds are called L, M and N.
I think I too replied same -> BASEL assumption is that they are independentHello, there was a question about Backtesting Var and its assumptions. The response was " the exceptions are independents"?
There was the volatility element also, xxdw , shouldn't that be included in the calculation. i.e. k(longrun mean - current)/30 + xx/sqroot(30). ???
I was referring last year FRM material and missed reading about Bit coins . But from the general understanding of the whole distributed ledger system for bitcoins, I always thought that one of the major advantages would be about easy KYC , better Anti money laundering managements because of the transparency the whole system would provide. Everyone has the access to the transactions happening , which I though should mean easier traceability. Am I miss something big here ?Yes, first one I went with 'D' that said transfer of operational risk to customer with use of wallets
Even the second one with 'D' - other three were not even close like can be tracked easily, reversed easily.
I was referring last year FRM material and missed reading about Bit coins . But from the general understanding of the whole distributed ledger system for bitcoins, I always thought that one of the major advantages would be about easy KYC , better Anti money laundering managements because of the transparency the whole system would provide. Everyone has the access to the transactions happening , which I though should mean easier traceability. Am I miss something big here ?
Do not forget that it is easy to identify the clients if you have account details of the client. Thus Banks can easily locate the details of the clientOne of the pitfalls of Bitcoin is them being used for money laundering. Since there is no central authority verifying account identities, your counterparty may be a drug dealer or may be in embargoed country
thats correctI think I too replied same -> BASEL assumption is that they are independent
In Marginal VAR formulae, The portfolio VAR and total portfolio size was same for all the options. So the determining factor only was BETA. Higher the beta higher the MVAR for any asset.I calculated the ratio of return to beta to get the ans
If I am given a $200MM portfolio with 3 assets and projected portfolio SD of 17%, how to compare VaR between projected portfolio and equally weighted, perfectly correlated portfolio at 95% confidence? Assume Asset 1 volatility is 17%, Asset 2 is 30% and Asset 3 is 8%?
Yes I do - unsmoothing the returns to add noise back to the reported returns.Does anybody remember these questions and the answers?
- Unsmoothing infrequent trades
- Smoothing