i took about 8 guesses and 8 50-50 guesses; some of the answers I was sure of (so no guessing) turned out to be incorrect though. Hope this helps. Can I ask you whether you used BT materials previous time (unless it's forbidden on this forum...)?
For Fama-French model, I dont remember the other answers, but I have a feeling that the answer with macro factors is not correct, as smb and hml do not really describe macroeconomic situation of a country (correct me if im wrong). I selected this answer though. Does anyone else recall?
Sure about it? I've seen something between 60 and 70+ wrt previous exams.
Edit: for foundations of risk management, there was a qn on role of board. One answer was.on setting up limit framework for the bank and the other on maximizing profit for shareholders.
And are you sure that the other two answers were with strike price? I remember i chose an answer with increasing/decreasing term structure and long run volatility, but not sure about the directions (increasing/decreasing and lower/higher)
it was a question about garch model and flat term structure was among the answers, wasn't it? or am i mixing two questions?
for the question with pension fund and equity, same as one of the posters here, i chose pension funding status to improve and equity to deteriorate, as i reasoned that with...
For monte carlo, i chose 8000, and for lumber i got 6.5 and 6.55 and that one model predicted better than the other or something similar
I remember i forgot fra valuation formula and finally took some guesses, anyone remembers their answer? I chose something around 57k
I selected this answer as well. It is quite straightforward operational risk event example. Internal fraud (hence unauthorised trading) is one of basel op risk categories
As far as expected shortfall is cncerned, I guess it would be lower alpha and lower sample size, as you would take average...
I used the t statistic with n-1 df, and the value of the test statistic was above the critical value. i chose the answer to reject the null hypothesis (of inequality), as in schweser materials they always emphasised to choose as the null the hypothesis you want to prove false. I find this...