Hey all! I hope this helps.
No. | Topic | Qualitative = Q / Quantitative = C (calculate) | Note |
1 | LogVar | C | Yearly volatility and mean given; Calculate the daily LogVar |
2 | Regression hedging | C | DV01, DV01 and beta given (among other information in a table) |
3 | Hedge funds & investment styles | Q | (cannot rember) |
4 | Incremental Var | Q | Question on VaR terminology (in my oppinion right answer was "incremental VaR") |
5 | Bank customer scemes | Q | Two scemes given; question on what scemes they are |
6 | Green Swan | Q | Question on difference to black swan |
7 | FX Swaps(?) | C | (cannot rember) |
8 | Unexpected loss | C | Calculate UL; LR, LR volatility and PD given |
9 | FRTB | Q | Question on what is new compared to BASEL II |
10 | Interest rate trees | C | A interest rate tree was given (returns and risk-neutral probs.); question on the interest rate structure of the tree |
11 | Interest rate trees | Q | Continuous interest reate tree (cannot rember) |
12 | Credit portfolio | Q | Pick the right answer among others; statement: "UL↓ if n↑ ceteris paribus") |
13 | Business resiliency | Q | What is the aim of BRM (in my oppinion right answer was "keep critical business processes running") |
14 | Risk culture | Q | (cannot rember) |
15 | Covid and retail banking | Q | What trends could be observed in the past? |
16 | Covid effects on banking system | Q | (cannot rember) |
17 | Effects of cyber attacks on banking system | Q | In comparison to other events |
18 | Employee misconduct | Q | (cannot rember) |
19 | Indications of money laundering | Q | (cannot rember) |
20 | Volatility mean reversion | C | Mean reversion coefficient of 0.8, mean was given; what is the volatility in the next period? |
21 | Advantages of Monte-Carlo-Simulations | Q | In comparison to parametric approaches |
22 | GEV / block maxima | Q | Linking Frechet to heavy tails (other wrong answers on Gumbel, Weibull) |
23 | Hedge funds empirics | Q | (cannot rember) |
24 | Investor performance | Q | Quadratic regression with estimates for two investors was given; question on who has good skill / market timing |
25 | Calculating default probabilities | C | Calculate the unconditional DP |
26 | Backtesting | Q | Question on increasing / decreasing type1 / type 2 error |
27 | Expected loss | C | Calculate EL (inputs given) |
28 | Calculate dept | C | Merton model |
29 | RAROC | C | RAROC given; other information give; question on hurdle rate (invest vs. not invest) |
30 | Portfolio unexpected loss | C | UL1, UL2 and correlation given |
31 | Liquiditiy | C | Calculate which position of assets (among 4) can be sold the fastest in the market |
32 | Warning indicators of liquidity decline | Q | (cannot rember) |
33 | Outcourcing / service agrements | Q | What to consider when outsourcing |
34 | CAPM | Q | Question on what the parameters are (alpha as skill) |
35 | Derivatives | Q | What happens to derivatives (3 derivatives given) when interest rate increases? |
36 | Black holes effect | Q | What is it? |
37 | Repos | C | Repo agreement is given; calculate which party has a benefit when interest rate changes |
38 | Margins | Q | What reduces CP risk? Increasing/decreasing thresholds, increasing/decreasing minimum margin amount, other answer possibilities (…) |
39 | Spread | C | Calculate spread; information on a bond is goven |
40 | Altman Z | ? | (cannot rember) |
41 | Netting | Q | Question of benefits of netting |
42 | Model validation | Q | (cannot rember) |
43 | Backtesting | Q | Regulation (?) |
44 | Role of the CRO | Q | What is the role of the CRO? Wrong answers in 1./3. line of defense. |
45 | Calculate survival probability | C | Hazard rate given |
46 | Illiquid assets | Q | (cannot rember) |
47 | Dept | Q | How does subordinat dept in a firm under distress compare (like equity, like dept), etc.? |