I think it was a difficult exam. A lot of questions were really long. Furthermore sometimes the the answer options were in my opinion not well designed.
Regarding the RAROC question I think I choosed 4,75%? I set the formula for RAROC equal to 9,75% and solved it for r.
just two questions:
1. Is the difference between the incremental and the component VAR the failure due to linear approximation?
Incremental VaR (CAD) = $41.1 - $32.9 = $8.22
Component VaR[CAD] = 0.2961 * $50.0 = $14.80
= Failure or inaccuracy because of linear approximation...
im struggeling with the definition of repo vs. reverse repo in the context of:
Study Notes OP risk - Tuckman Ch12 Side 4 in the Notes
=> Is the following from the view of the Investor a reverse repo rather than a repo?
=> Because: For the party selling the security and agreeing to...
i don't get it with the dw and the scaling...
I don't get the link between: dw as normal random variable/ standard normal random variable and the scaling with sqrt(dt).
1. In a simple and practical way for the exam: Have i always to scale the dw with sqrt(dt) or does it depends...