Reject yes as greater than excess market return, hurdle I answered 8, for loans cvar no ideaI answered aRaroc reject. Hurdle rate 6.5. For CNY they already gave 7 defaults. So 7*2m is pd*ead at 95%. Just Multiply lgd.
Reject yes as greater than excess market return, hurdle I answered 8, for loans cvar no ideaI answered aRaroc reject. Hurdle rate 6.5. For CNY they already gave 7 defaults. So 7*2m is pd*ead at 95%. Just Multiply lgd.
Yes for raroc I was not sure which one between C and D because both criteria of decision gave a reject it was confusing... and also for the hurdle rate you surely are right I have not practiced this concept enough :/Reject because ARAROC less than RF. not because of market return. They gave that option to confuse(I might be wrong ,though fairly confident that I got the right answer!)
8? How come. beta was 1.2. Rf 2. Rm 7. So by capm rate of one equity = 8%. And another equity = 4% was given. So in any case weighted average can’t be 8.
I got confused with 2 numericals. Stressed EL one. Wasn’t sure it’s stress EL or stressed loss. Answered it as stressed EL.
Second IR 500 million fund with IR .69 and .58 with same 5% tracking error and some more info. Was completely clueless. As managers should get funds in ratio of IR which is 1.19. Only 2 options gave same ratio. So guessed option B. 35m and 28m. Option A was also same ratio. Not sure what correct answer is here.
Another one I did wrong initially. ES at 97.5% with sampling. Made mistake by taking 975th obs of 72mn. It has to be average of 1000 samples rather than 97.5% of average ES calculated at 97.5%
Corrected it to 44mn during revision
Some of questions were mix of quant and qualitative. Like I got one repo related question asking repo calculation and counter-party credit risk aspect which was qualitative.I see that indeed people got completely different exams from some of the questions that have been posted here.
I would say mine was 80% qualitative and 20% quantitative. Actually might have even been more qualitative than that, because I actually can't recall having used my calculator for that many questions at all.
Yup..i remember that question (IR and risk budget). Do u recall what the option A was and the target tracking error of the portfolio?Reject because ARAROC less than RF. not because of market return. They gave that option to confuse(I might be wrong ,though fairly confident that I got the right answer!)
8? How come. beta was 1.2. Rf 2. Rm 7. So by capm rate of one equity = 8%. And another equity = 4% was given. So in any case weighted average can’t be 8.
I got confused with 2 numericals. Stressed EL one. Wasn’t sure it’s stress EL or stressed loss. Answered it as stressed EL.
Second IR 500 million fund with IR .69 and .58 with same 5% tracking error and some more info. Was completely clueless. As managers should get funds in ratio of IR which is 1.19. Only 2 options gave same ratio. So guessed option B. 35m and 28m. Option A was also same ratio. Not sure what correct answer is here.
Another one I did wrong initially. ES at 97.5% with sampling. Made mistake by taking 975th obs of 72mn. It has to be average of 1000 samples rather than 97.5% of average ES calculated at 97.5%
Corrected it to 44mn during revision
24m and 19m. Tev of portfolio 3.4%. Individual manager 5%. Calculate at 99%.Yup..i remember that question (IR and risk budget). Do u recall what the option A was and the target tracking error of the portfolio?
You must get ir ratio = risk budget ratio, I took the option that gave closest ratio but they were not exactly equal... That was disturbingYup..i remember that question (IR and risk budget). Do u recall what the option A was and the target tracking error of the portfolio?
2 options (A and B) had ratio of 1.19. Other 2 ratio of 1. Just picked B at random.You must get ir ratio = risk budget ratio, I took the option that gave closest ratio but they were not exactly equal... That was disturbing
Yes exactly what I did (at random between A and B) ! for me this question will be discarded...2 options (A and B) had ratio of 1.19. Other 2 ratio of 1. Just picked B at random.
Yup now that u mention i think the first one was 20.98 and 19 odd..i took that option..thought it matched with the total risk budget (500*2.326*.034)..but yeah just had to match with the risk budget ratios2 options (A and B) had ratio of 1.19. Other 2 ratio of 1. Just picked B at random.
The thing here was to compute neutral probability first and then calculate the option price... I do not remember the answerOne question which I think they gave more info than required was price of call option on 6 month bond at strike of 987 and current 6m tree price 987.65.I answered 0.65
They gave tree for 6m and 1year.
I might be wrong. But why do we need 1 year tree for 6m option when 6m tree is given straight away.
In options , 3 out of 4 options were related to 1 year tree.
Why do we need neutral probability. 6m option call should be straight 987.65-987.The thing here was to compute neutral probability first and then calculate the option price... I do not remember the answer
It’s 6 months bond price and 6 months call option. For 6 month tree there is only one spot price.so only one discount rate.The bond price given in the first tree was obtain using real world probability and discounting it with the 6 months spot rate... So I think that to compute the option price we needed neutral probabilities in order to respect the non arbitrage condition
Not sure about that, We will see the resultsIt’s 6 months bond price and 6 months call option. For 6 month tree there is only one spot price.so only one discount rate.
no matter what up/down probability you should end up at same answer. Be it 1%/99% probability or 50-50%.
These probabilities would have mattered if it was 1 year call option price as 6m discount factors for up and down post 6 months would have been different.
There is no cut of per say, it’s purely based on how everyone did & then the cut off would be decided. This is completely out of our control.I think cut off should be 55+. Exam wasn’t difficult. It was very conceptual. For most question you could have easily filtered out 2 incorrect options.