1. QQ-plot
2. liquidity adjusted duration
3. Asset/security allocation
4. Risk contribution
5. Choosing one portfolio (I chose the one with highest Sharpe ratio, expected return was for all 4- 0.9)
6. 2 questions related to one story about CCP
7. Calculate correlation based on joint PD and 2 separated PDs.
8. S(t)-S(t-1)=a(mu-S(t-1)) calculate S(t)
9. Cross-currency swap
10. Incremental VaR
11. Var after stressed event with multiplier 3, SVaR and VaR for different confidence intervals were given
12. RAROC
13. Adjusted RAROC (accept/reject)
14. Effective ERM based on the scenario described
15. VaR of portfolio
16. Compare portfolio to benchmark(hazard rate, CET was given while for portfolio Capital and RWA were given), such as PD, CET ratio, and 2 other parameters (I picked one of 2 others to be the answer)
17. Cyber-security
18. Drawback of LIBOR
19. Merton model
20. Ho - Lee model
21. Vasicek model
22. DV01 Hedge
23. Climate risk
24. ML/AI question
25. Marginal VaR
26. Posted collateral
27. CVA calculation
28. Surplus question
Many qualitative questions that after reading a long story with useless info you read final question and try to answer based on the question.
1- heavier tails
2- what was the Q/A for this? I don't recall coming across Liq adj duration.
5- I think I calculated Treynor as i thought it was supposed to be comparison with benchmark
12- what did you have for RAROC? Did you have to include transfer of 1.5%?
16- also said leverage for some reason
@goodbunny 2. Point There was a question wherein we were supposed to find the time required to liquidate the securities. I don’t remember options but I do know that highest liq. Duration was around 4 which was highest so I went with that particular security as more time would be required to liquidate it.
I also remember question with CPR. I left it till the end and forgot about it, so just in the end I guessed some answer since did not have time to calculate it. What was the answer? I remember prepayment in 11th month of 80000.
There was also qualitative question about cash-flow, duration mapping. Unfortunately I do not remember the answers. Only first one was something in line with duration mapping is the most accurate mapping, which was obviously wrong. Does Somebody remember correct answer?
There was also qualitative question about cash-flow, duration mapping. Unfortunately I do not remember the answers. Only first one was something in line with duration mapping is the most accurate mapping, which was obviously wrong. Does Somebody remember correct answer?
I also remember question with CPR. I left it till the end and forgot about it, so just in the end I guessed some answer since did not have time to calculate it. What was the answer? I remember prepayment in 11th month of 80000.
Same here was a complete guess. I really didn't expect to see any CPR related questions. I think I went somewhere in the middle around 21%? Prepayment was 80k. Loan repayment incl 50kcapital and 30kinterest.
For the mapping questions I put cashflow being mapped on specific vertices ... Can't remember exactly, it was option D I think
There was a tricky question on EVT, lots of half true statements. I made a mistake by selecting an option which roughly said that Pareto distribution has extra parameter and then something about threshold which was true
There was a tricky question on EVT, lots of half true statements. I made a mistake by selecting an option which roughly said that Pareto distribution has extra parameter and then something about threshold which was true
There was a tricky question on EVT, lots of half true statements. I made a mistake by selecting an option which roughly said that Pareto distribution has extra parameter and then something about threshold which was true
Now I remember that question as well. The answer was POT has extra parameter which I thought indeed is wrong. As usual I do not fully remember the answers in all these qualitative questions. Another answer I think something like for high threshold GET is better option. Also something like at infinity 'it' becomes normal distribution.
That question was strange. Got one of the answers provided. BUT: First computed ES by starting from the "(2.5%x250)th - 1" value (as we are supposed to do for ES). That did not work out. Tried avaraging by starting from "(2.5%x250)th" value, which worked instead (or at least I found a VaR / ES combination).
Actually I also said leverage ratio because "Core Tier 1 Ratio" was stated in the question but it was really confusing as Leverage Ratio is indeed calculated by dividing Tier 1 ratio by leveraged exposure and it was lower than that of peers. However, what was unclear to me was whether GARP actually meant to say Core EQUITY Tier 1 ratio as this one is different.
Actually I also said leverage ratio because "Core Tier 1 Ratio" was stated in the question but it was really confusing as Leverage Ratio is indeed calculated by dividing Tier 1 ratio by leveraged exposure and it was lower than that of peers. However, what was unclear to me was whether GARP actually meant to say Core EQUITY Tier 1 ratio as this one is different.
Ahh I see.
Do you recall the RAROC question which had transfers of 1.5%? Think the answer options for % was between 10-26%. This had me stumped as I couldn't get it to work if I took transfers into consideration.
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