Reducing from 99% to 95% increases the probability of making a Type 1 Error, but decreases the Probability of making a Type 2 Error.
I think the answer for the question about Key Performance Indicators was ROI. But i don't remember the other choices. There was another question about delta. I remember the choices are option, futures and forward. I chose forward. Anyone remembers? In MCS question, we were required to imply the corresponding z score for 0.45, as i remembered. Another question about omitted variables bias occurence. Straight ESS, TSS and R^2 question.
Hi varun34by02, thanks for reminding the Type I/II error question. As I can recall now, it stated that when the significance level increase from 1% to 5% and the sample size increase from 100 to 200, how Type I and Type II errors would change? The answers are some combinations of I/II increase/decrease, and I think I chose Type I increase and Type II decrease.
ROI was not an option Yes, omitted variable bias; as well as perfect multicolliniarity (messing up your OLS by dividing by zero)
I think this question is a hard one and honestly I don't know which answer is right, so I guessed: the relative trading balance.
there is also a question on Basel 2 recommendation for stress testing. one is encourage open discussion; one is manager's signoff before sent senior manager's review. forgot other options.
Indeed, this was the only question I guessed on the exam as the answers/text is too politically correct, and often subjective (in my view). I guessed "encourage open discussion" as it sounded most politically correct but I have no idea. If anyone knows the answer, do let me know.
It was ROE, STDev, couple others. I think I picked StDev. Wasn't really sure. I initially thought ROE, but that didn't really make sense given it was a risk exam. And passively paying attention to ROE didn't make much sense in that context. I picked StDev, given it is directly related to actual performance and it has to do with risk. Definitely wasn't confident. PPP: Inflation Perf Multi T-Test The question about the credit quality you just had to add them up if I recall. It was an A, I think + Inc Type 1, Decrease Type 2 The Weight of the VL, is just the gamma: 1-A-B CTD: I think we just had the quoted and the CF, divide them? And go with lowest? Yeah full Z. Used it a couple times...
There was also a question about the Jensen`s Alpha and a given Regression. Actually i can`t remember what it was all about...
yes with just significance level dec thats a sitter.. but you know .. i started getting confused by seeing doubling of 'N' .. still wnet with T1 up & T2 Down
As i Said in some of my last reply....I derived it on the basis of real rate = nominal-inflation and real being a function in IRP, so it is Inflation in different countries that actully drives the IRP !
This one was quite complex .. the Y-axis had excess portfolio return given..but i could not crack it very good question i must say.. such questions only differentiate classes from masses !!
There were also questions : - Implied Volatility - Present Value Dividend with S = K = 650 - Smoothing lamba of EWMA equation - Role of financial institution
S=K=650 asked dividend..rt ? i think answer was 10. Smoothing I think 0.91.....but that was approx ( options were too close - 0.90/91/92/93)
