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  1. C

    1y IR on an Act/360 basis

    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...
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    computing SMM

    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%?
  3. C

    EL/UL ratio

    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...
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    random walk VAR

    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...
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    Tracking Error

    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
  6. C

    RAROC calculation

    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...
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