For some of the questions, it was impossible to get the exact answer, also when GARP says what will be the closest value of so and so, really difficult to get the correct one.
1. The change in monthly payment of MBS to be calculated for a 5mn mortgage, LTV is 80%, initially it is interest only with 2.75%, during that period the mortgage value changes to 4mn (LTV is 80%) and it is refinanced. It becomes a 15yr, 4.5% mortgage.
2. In backtesting there are 8 exceptions in a 99% VAR model, if we use 99% confidence level, can we reject the model.
3. Pool of 15 assets with no correlation, total value is 1mn. Default probability is 5%, what is the nearest 95% VAR if recovery is 0.
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