These stuff wrote by @RiskNoob really amazing memory
-Implied volatility: Given the skewed (equity) curve, which option is undervalued?
-Implied volatility: Similar to above, describe fatness of the right and left tails.
-Exotic option: which option has the large negative...
Oh, buddy you really remember a lot!
I think for Weakness of ES: the only difference between spectul and ES is diff weighting, so which mean spec take into account people's risk aversion
VaR Backtest: what is the max. number of exceeds of 1day 98%VaR model suit for 1yr 95% VaR 252days, my...
the answer is Core Equity 4.5%, I think CCB is just buffer, but Tier1's core common equity is alwasy 4.5%
Tier 2 capital decrease from 4% to 2% to 2%
Total 8% 8% 10.5%
Tier1 4% 6% 8.5%
core 2% 4.5% 7%
when T1>=T2 at 8% level T1=4% T2=4%
but now T1=6% so T2=2% (decrease)
this just my guess...
I clearly remember 2 of pic is wrong, only IRS(seems correct) and Currency was correct, so I read question again, said largest exposure right(no sure)? but I think IRS pic is not correct should be like Reverse curve so I choose currency
no, I don't like this exam, there is generally no too much calculate questions (I really like calculate question I hate reading), I spend a lot of time on calculating stuff, but like Merton model, CLN, CDS spread, Key rate, etc. didn't even mention