Anyone remembered a question about the information ratios with a chart with (T/k) on abscissa? Even now, I don't really know what was the right answer.
may be there was a (k/T) axis, b/c invertible chart occurs at that case
Anyone remembered a question about the information ratios with a chart with (T/k) on abscissa? Even now, I don't really know what was the right answer.
anyone remembered the question about the CPR/ SMM? had the right formula but my answer was none of the choices.
the other one I struggled with was the question regarding the poisson distribution, like how many losses in 6 months or something. ended up putting 27.1% but not sure.
The SMM was 0.5%/ month and they asked to calculate the cpr I believe. I went with cpr=1-(1-smm)^(1/12) and could not find it. did I use the wrong formula then?I don't remember the answer to the CPR/SMM question, but it was a straightforward conversion with an exact match answer. There was some extraneous information given in the question, so if you're positive you had the formula correct, you may have mistakenly used incorrect figures or incorporated something you shouldn't have. I think there was a discrete payment amount given that didn't need to be accounted for, for example.
I don't remember the answer to the CPR/SMM question, but it was a straightforward conversion with an exact match answer. There was some extraneous information given in the question, so if you're positive you had the formula correct, you may have mistakenly used incorrect figures or incorporated something you shouldn't have. I think there was a discrete payment amount given that didn't need to be accounted for, for example.
The SMM was 0.5%/ month and they asked to calculate the cpr I believe. I went with cpr=1-(1-smm)^(1/12) and could not find it. did I use the wrong formula then?
True, it was a straightforward calculation but sorry I don’t remember the full question. (1-(1-SMM)^12 was sufficient i.m.o. times the outstanding. Answer was one of the choices.
I think it was the option A, can't remember the exact value, but you have to calculate the average mean and the variance for the portfolio, to get Sharpe ratio,
Hope it helps
I had to mark this and come back. I initially did the portfolio variance calc with the weights being the returns (12% & 8%). Came back to it and realized I should have used the weights being the .4/.6 for the $ value. Then I believe I got one of the answers with that result in the denominator. Averaged the returns by weight, less risk free rate. Hope I am remembering this correctly!
That's correct - as long as you converted the portfolio variance to standard deviation for the Sharpe Ratio calculation. Wouldn't be surprised if they had a dummy answer that skipped that step.
I had to mark this and come back. I initially did the portfolio variance calc with the weights being the returns (12% & 8%). Came back to it and realized I should have used the weights being the .4/.6 for the $ value. Then I believe I got one of the answers with that result in the denominator. Averaged the returns by weight, less risk free rate. Hope I am remembering this correctly!
I remember having a square root sign drawn, but now you are bringing some doubt into my mind, whether I did that or not lol.
I believe that answer was tricky and should be d. Dividend increase the Combines RatioAnyone recalled the Combined Ratio question? was the answer something like loss of 10% before tax?
Thanks
I believe that answer was tricky and should be d. Dividend increase the Combines Ratio
Does someone knows what the answers are on these two questions? After the exam I was doubting and I was pretty sure during the exam?
- EL calculation with a given EA and an updated EA amount because increase in value of the loan. 45mln and 55 mln, I took 55 mln in my calculation which I think it was correct?
- PD variance, just the sigma pd calculation PD*(1-PD). Was it the variance or std deviation which you should calculate, I had 0,065 as the variance and my answer. But didn’t take the SQRT for the Std dev.
Does someone knows what the answers are on these two questions? After the exam I was doubting and I was pretty sure during the exam?
- EL calculation with a given EA and an updated EA amount because increase in value of the loan. 45mln and 55 mln, I took 55 mln in my calculation which I think it was correct?
- PD variance, just the sigma pd calculation PD*(1-PD). Was it the variance or std deviation which you should calculate, I had 0,065 as the variance and my answer. But didn’t take the SQRT for the Std dev.
Crap -- I might have missed this if I am understanding you correct. I thought it was an EL calc based on a decrease from $55MM to $45MM. I calculated the EL based on 45MM and there was an answer for it, although might have been a trick. I remember kind of seeing that one and looking straight for inputs though. Actually... was it EL or UL? I remember hammering out a UL question.