Yes , it was , trick was second year marginal pdWas the CVA coming out to be 0.498?
Yes , it was , trick was second year marginal pdWas the CVA coming out to be 0.498?
It was 1.79%Was the answer to Ho-Lee 1.9?
yesMaximum interest rate to maintain raroc was 5%
correctIt was 1.79%
In the beginning I thought it was a difficult question, but when I tried it again it turned out to be an easy one.. luckily for me I answered it on the final half hour.Maximum interest rate to maintain raroc was 5%
How about q 79, Investing in non soveriegn bonds will decrease credit quality
I forgot to use the discount factor...Yes , it was , trick was second year marginal pd
One question that struck me hard was the capital allocation decision when the stress test might cause a breach of limits for the treasury department that is believed to have superiority to other banks' treasury dept. I was confused between B) re-allocate capital from other non-volatile (less risky) department or C) go to the board to check whether if the breach is in line with RAS.
Anyone have any idea on this?
There's also a lot of questions on calculating PD from credit spread and calculate Annualised Default rate from credit spread
correct..The other raroc question, where incremental var was 0.5 million
I believe i chose some option related to subordinated debt if it was an option for this questionHow about q 79, Investing in non soveriegn bonds will decrease credit quality
Concerning economic capital models, I also answered that one application was to determine maximum liability costs (interest rate) that could be assumed.
The other answer was that it helped in setting regulatory capital, which did not make sense to me since that should be IRB models...
Same hereConcerning economic capital models, I also answered that one application was to determine maximum liability costs (interest rate) that could be assumed.
The other answer was that it helped in setting regulatory capital, which did not make sense to me since that should be IRB models...
There was question like 80M invested in US bonds and additional 40M to be invested in US/ European stocks and portfolio VaR to be maintained at 13M, given the correaltion b/w US bonds and US/EU stocks... i broke my head but couldn't get the answer to this simple question...
ntech, Corporate culture, one qsn on back testing where i chose yellow zone =5 as answer, quation on validation of model - i chose utlizing knowledge of developers, one qsn on AML, one on sub