The denominator should be total net cash outflow. I don't remember exactly, but the question had cash inflow and outflow, and turned out the denominator remained unchanged. I could be wrong though.For the LCR question, if I remember right, didn't the 140% choice imply only a change in the numerator? But didn't the denominator (expected cash outflows) change too to reflect the new deposit? In which case, the answer would be something other than 140% (I think 117% might have been one of the choices)?
Below is what have marked.
change in monthly payment of MBS - 20000(sumthng)
back testing there are 8 exceptions in a 99% VAR model - ~3.47
Pool of 15 assets with no correlation - I think 83333
Diff btwn diversified and diversification VAR - 353550
Option value of a bond(2nd Q) - 5.94
BSM/ KMV(Z table) - 1.6%
One Q on Treynor - I marked Tyenor is greater
Capital to be reported by Bank(Adding Credit Market and Ops.) - ~1439 or sumthng
New LCR - 140%
Frankly, I believe 55% should be fine but again, difficult to tell. One thing that I notice is that many expected people did not show up ! Numbered Seats were empty, which is, I believe, a good thinghow much do you think is the minimum passing score, if we have 55% percent right is there a chance to pass ?