the following instudent are traded on an Act/360 basis:
3m dep: [email protected],5%
3-6 FRA: [email protected],6%
6-9 FRA: [email protected],8%
9-12 FRA: [email protected]%
What is the 1y ir on act/360 basis?
Applying the formula with T1=91/360, T2=92/360 ect
i however got 5,05%(didnt round it up at all) and the answer was...
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
(from Schweser)
should it be capped @6%?
Schweser:
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...
pls confirm if it is not right methodology to calculate the TE
David posted
http://www.bionicturtle.com/how-to/article/tracking_error_the_information_ratio_and_the_sortino_ratio
thanks David
to 1. point yes
to 2. point: thnaks for your clarification. it def consufed me as i used to take the interest into consideation.its aligned with CAIA.
source Schweser:
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;
answer:
EL=0.03*0.5**200=3m...
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..
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