Computing for 5th and 25th months assuming 100PSA and 150 PSA
I believe that the [email protected] 25 is wrong,
[email protected] =0,02*25=0,05
150 PSA -> 1,5*0,05=7,5
should it be capped @6%?
Smallville Savings Bank (SSB) has a loan portfolio totaling $20,000,000 in commitments. Currently 60% is outstanding. The bank has assessed an average internal credit rating equivalent to 2% default probability over the next year. Drawdown upon default is assumed to be 75%. The bank...
the power bought was 105K$. The annualized volatiliy of power price is 125%, Assuming power price follow a random walk,, what is the 1y 95% confidence interval VAR
It took me laods of time to figure out how to solve this, but once again the FRM reading was great!!!
pretty like it but so horrible...
A RM is asked to estimate raroc of his firm's 200m loan business which has an average IR=10%.All loans have the same Pd=3%, LGD=50% and retention rate =50% Expenses=10m, firm economic cap. of 20m earns 5% anually Whats RAROC should RM estimate;
a real good example i think it wud be less than 4min as we just ignore any return more than threshold but not forger n is accounted for all returns..
i had this for CAIA L1 lastyear i needed 7-8 mins for the answer...
@Jeff: pls try When Genius failed, from a financial jounalist:-)
not sure if it was tru but it was said that GS ppl had viewed and made a snapshot of LTCM position and made a huge a profit out of it...
the material is very interesting
L1 ist so easy,i think they just let ppl pass the exam 70%??? i think it will get serious when its 30%
L2 is pretty hard you basically have 100questions for 120 mins and 60-70% of calculation..