With respect to LVar question having 80bps spread, I remember getting Var of around 26000 and for LC i remember it to around 17000. so LVar= Var+LC around 43100. Hope i got it right because i was not so sure about my LC calculation out there.
@ Johnson - Only around 30 questions would have been discussed here, still around 50 questions are left, so its like you never know. And with this kind of paper i am sure many out here would agree that it would not be 100% surety for most of the candidates.
There has been a lot of chatter on this particular question. So, I did more research and actually learned a lot. It turns out the high incentive fees and high water marks lead to different behavior depending on the hedge fund manager. That is, depending on whether the manager is risk-neutral or risk-averse (including high or low risk aversion) will actually determine determine how much risk they will take on. Also, the time horizon is a large factor as well. That is, if the manager has a short vs. long time horizon with the investor/client, that will impact the level of risk the manager takes on as well. If the time horizon is short (long), the manager is likely to take more (less) risk to achieve the desired payoff.Increase incentive fees increase the asymetrical risk. Allowing the fund manager to invest its own money is one way to counter it
hi, i think its independent amount, minimum transfer would not mitigate collateral volatility
Picked this one too, but I am really not sure.The question said that you had 8% CT1, but no other Tier 1 or Tier 2 Capital, and what could happen to the entity.
I picked option A), because I considered that it did not meet the countercyclical bufer and thus its dividend policy was restricted. I discarded the 9,5% because it fell in between of the 8% and 10.5%, although I cannot remember the comple text.
In any case, this was one of the questions I was not confident about.
I do not agree that the ES 95% was the same as the VaR 97.5%. My calculation resulted in the VaR 99%. The reason is when using percentages for ES (for continuous distributions) the denominator is always n-1. If we were using (discrete) values, the denominator would be n. I could be wrong, but that is my understanding.Yes, I agree with the ES 95% is approx equal to VaR 97.5% although after the exam I though that perhaps there were no decimal vars in the HS so it was not that simple, anyway I decided for the 97.5%
The var after 10 days, I think you got rid of 3 returns and one return with 90 days became 100 days old and just get the 95% var
What about the stress var? first table 99 var as opposed to 99.9 table, and then just add max of last day var or 3 x 60 day average plus max of the last stress var or 3 x 60 day average, i think it was 410
i remember getting something around 36,000. i think it was something like the spread was .80 and the price of the stock was 20. does anyone know this one?
I dont remember the answer but do you remember that you had to divide the spread by the price of the stock to arrive to the result ?yes, i think it was spread 0.80 on a 20 stock, so 4%, and then 50.000 shares portfolio
they asked for the log normal var (but there was no answer available if you calculated using normal). I think I got something like 16316 plus half of the 4% spread, so around 36316, same as you I believe
spread was 80 and stock price was 20 ... so I did 1/2(.80/20)*($20 *50,000 shares) = 20,000 for the liquidity portion of the VaR
anyway, I remember that I found exactly one of the result and it was indeed around 36 000, so we will see...spread was 80 and stock price was 20 ... so I did 1/2(.80/20)*($20 *50,000 shares) = 20,000 for the liquidity portion of the VaR
I do not agree that the ES 95% was the same as the VaR 97.5%. My calculation resulted in the VaR 99%. The reason is when using percentages for ES (for continuous distributions) the denominator is always n-1. If we were using (discrete) values, the denominator would be n. I could be wrong, but that is my understanding.
Hi guys, the daily quiz..., do you remember the question asking for the 2 year HS Var where you had only 1 year of returns?
I remember 3 options in relation to getting the missing data:
1. getting the returns from one of the CDS index: perhaps
2. getting the 1 year HS Var and multiply for sqrt 2: no, as you might miss some important event that occur during the 1st year
3. getting the return from a similiar company with similar rating and same industry: i think it was this one as I thought it was a better choice than the index as you narrow down the industry factor.
4. do not remember but I hope it was not relevant.