Hello everyone, congratulations to all that passed and best of luck for those who have to try again!
I passed with 2-1-1-1-1 and I am feeling quite relieved and glad that the anticipation is over ;-)
Thanks to David, Nicole and everyone in the forum for all the help in preparation!
I agree with Saran11, had it wrong at first as well. The trick was not to count "backwards" but "forwards" from zero defaults up. The shown part of the distribution only amounted to ~97% if I remember correctly (max. number of defaults in the table was 6, while @ 100% confidence it should be 100...
1 - (1 - 0.042 / 0,6 ) ^ 2 = 0.1351
Which uses not the continous but discrete PD(!)
I have to say that, despite the statement in the cover about all interest rates and the like to be continously compounded, some were definitely not, and not marked as such. I am positive that the question...
In regard to the RAROC-question, I chose the one that increased the funding costs, because following the calculation it was the only one that would lower the RAROC below 10%.
For the Backtesting-question I couldn't find any reasons to reject the hypotheses, since both Alphas were less than 1.96...
Hello, I assumed that the question asked for the amount of ACTUAL capital to be invested, not RISK capital (i.e. money in $, not VaR in $). Therefore, the relationship between the possible answers and the 100 VaR limit isn't as simple. I tried to calculate it as follows (recklessly adapting the...
firstly, I found the exam to be fair both in terms of time to be used and difficulty of the questions, although there were again many "most appropriate" / "best practice"-questions. I find these highly irritating. :mad::confused:
Here are a few thoughts on what has been mentioned above...
I couldn't find a comprehensive thread on this topic yet so I am simply starting a new one.
At the moment there is only one thing unclear to me:
What do the fractions "2/28" and "3/27" stand for?
Thanks in advance,
this may only be a minor issue, but I am having trouble "seeing" the observed bias in table 1 in the notes. (AIM: Summarize the study results using the various VaR measurement approaches.). Does this "observed bias" mean that the dispersion is seemingly greater at 1% than at 5%?
Thank you, that made the implications of using BP shift clearer to me.
However, I still don't understand why we are using an absolute measure of volatility (+/- Basis Points) instead of a relative one (+/- percent), like in any other application of standard deviates. Why is the variation of...
(the following refers to the study notes on Tuckman, Chapter 8, pages 18 through 20)
I find the volatility effect in the binomial trees that "pushes down" on the price a little confusing, from a mathematical point of view:
As usual, we are assuming a yield volatility given by (semiannual)...
Hi, none of the calculators do this, it was possible if you mentally wrote all the multipliers down and cancelled out most of them:
numerator.: n! : (1*2*3*...*87*88*89*90)
denominator: (n-k)! k! : (1*2*3*...*87*88) * (1*2)
all the underlined figures cancel out so you are...
I agree with raspberry.cookie. However, since HP-12c doesn't do 90C2 (at least to my knowledge) you had to use the full binom. formula and replace a little:
90! / ( (90-2)! 2! ) had to become ( 89 * 90 ) / ( 1! * 2! ) and follow with the rest of Binomial dist.
I got 16,54 % as well.
Hi, in addition to the "...Max/Min of 100,000,000 vs 80,000,000...etc."-question, I found the exam was rather heavy on regression and test statistics.
There was one where you had to calculate portfolio variance without the covariance given, just a plotted graph of dots that would remotely hint...