Let me add after Lanky & Ehanif ;)
46. High threshold (converge to GEP)
47. Backtesting (95% vs 99 %)
48. TBA (MBS)
49. KMV
50. Credit Portfolio Model
51. Through the cycle
52. impact concentration to UL and EL
53. Which one is example of Wrong Way risk
54. Delay in Valuation (Model Risk)
55...
Hi David,
Can you explain this 2 questions just before the exam.. :)
1. ES at 95.5 given that Var 96,97,98,99, does the calc same as ES 95?
2. Fund return = 0.002 + 1.2 benchmark return - 0.4 (0,benchmark return)
How to decide fund underperform / outperform in both upward and downward...
Hi Romans,
x = hit
0 = no hit
3 hits = xxx
2 hits = xx0 or 0xx or x0x
1 hit = x00 or 0x0 or 00x
The tricky point is about "add 0.5 m each fail"
i agree with the way you looking the problem.
yup..don't need "right 3".. thanks
can you solve this ?
what is the probability to shoot succesfull with 3 shoot
each fail, add 0.5 m
A= Shoot from 1 m
B = Shoot from 1.5 m
C = Shoot from 2 m
P(A) = 1/2
P(B) = 1/3
P(C) = 1/4
:lol:
Hi,
23. Question on country risk: Likelyhood of reschedule increses with 1. Debt Service Ratio 2. Import Ratio 3. Investment Ratio 4. volatility of exports
i think the question ask about negative probability reschedule or something, just remember what *David* said on his video, everything...
Hi all,
i agree with peggy, IMO even the Final Review Exam from Schweser have no "50% difficulty level" like the real exam.
need "other" strategy i guess..
:(
Hi David, :lol:
these are the questions that i still remembered (from L1) :
related to Storage Cost :
S0 = 320
r=0.5 % per month
storage cost (pay at the end) = 10 evey month
calculate the F0 for 1000 bushel in two months ?
related to GARCH (1,1) :
-ask about Long Run...
Hi Jhon & Panasonic, :lol:
i am also sitting for L1 at Jakarta (Indonesia), only attended by 6 people (include me).
may i know how many people sit for L1 at London.
PS : sorry to hear about your 'uncomfortable' during the exam
Hi David,
i got it from Jhon Hull's question bank, it's only have the answers key without the explanation.
do you think (b) & (c) is the ans of receiving Fixed, Paying Floating ?
David, :lol:
Suppose you enter into an interest rate swap where you are receiving floating and paying fixed. Which of the following is true? (circle two)
(a) Your credit risk is greater when the term structure is upward sloping than when it is downward sloping.
(b) Your credit risk is...
Hi David, :lol:
The parameters in a GARCH (1,1) model are
w =0.000002
alpha= 0.04
beta =0.95
The current volatility level is 1% per day
(i) What is the long run average variance rate? (ans : 0.0002)
(ii) What is the expected variance in 20 days? (ans : 0.000118)
The part (i)...
Hi David & Jack, :lol:
is this "sell a call" refer to Put-Call ?, so if the K > $40 we can get "Loss".
so we need to "Hold" the underlying to "Stop Loss" ?
Regards,
*Syaiful S
Hi David, :lol:
could you please explain this ?
An Option trader sells a call with a K = $40. Which of the following describe stop loss strategy ?
a. hold the underlying stock, regardless of price
b. puts in a limit order for the stock if it it rises > $40
c. buy order for the stock...
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