frmpart2dan
Member
60% is a bit stretch for such a crazily hard test!i think 48 is a fair guess (60%) but the lower bound can be 40 if it is a really hard paper...
60% is a bit stretch for such a crazily hard test!i think 48 is a fair guess (60%) but the lower bound can be 40 if it is a really hard paper...
Realized Correlation was .4133333.I am sure notional amount is 300
Do you remember notional amount is 300 as well?Realized Correlation was .4133333.
So the difference when multiplied by 300, gives 0.4 million
I think I am got 32 qns I know for sure are right, the rest I think 8 qns with high certainty, so about 40 +- 3, very scared indeed as I am borderline 50% onlyMy expected score is 43 correct with a range of 40 to 45 possibly with a small upwards or downward bias
With me it is similar I have 35 qns I believe to have correct, 13 incorrect and 32 remaining which I cant remember, partly guessed so 25 % expected score on 32 qnsI think I am got 32 qns I know for sure are right, the rest I think 8 qns with high certainty, so about 40 +- 3, very scared indeed as I am borderline 50% only
Do you remember notional amount is 300 as well?
[0.4133-0.4]*300 < 0.4million
Don't agreeThe crux of that question wasn't the plug n' play correlation swap value, but answering what would happen re the receiver if the actual correlations were higher than the expected correlations resulting in 0.4m pnl, so the answer was receive greater than 0.4m.
Don't agree
The unit which the bank can receive/pay in the question in million not in % (of correlation). It is importance that what is notional amount? (300 or 400, i remember 300)
Yes i think the value was 0.20 and the forcasted worked out to be 0.28One question was about using equation st _st_1=a(u__st_1) where a was to be taken from the regression equation and value of st was to be calculated for forward month.it was straightforward question
That is one of the very few straight forward qns, just plug in 2 times that eqn. Another easy one is the ES where just average 4 numbers. Unfortunately not many qns like that in the exam!One question was about using equation st _st_1=a(u__st_1) where a was to be taken from the regression equation and value of st was to be calculated for forward month.it was straightforward question
Is backtesting abd var should be done at same confidence level or it can be different. As per basel if u have exceptions more than Ci .then capital multiplier is increased to match the VAR at 99 % CI var.hence backtesting can be done at lower confidence interval and increase in exceptions can be managed by capital multiplier
Hence answer should be backtesting and Var CI should not be sameYes I agree with you. Confidence levels can be different - backtesting does not have to coincide with VaR confidence level.
Hence answer should be backtesting and Var CI should not be same