Note that first the order here does not correspond to that in the exam, but that in my memory. Second my memory is fading quickly, so all the questions are only approximate and many are incomplete. Nonetheless, I hope it'll a reminder for others to come up with more complete questions. 1. expected loss using directly the formula 2. unexpected loss using directly the formula 3. GARCH model: gives four options and asks you to choose the one with the heaviest weight on long-term average 4. Monte Carlo simulation (GMC): gives you a random number following uniform distribution and anything else needed and asks you the stock price after one step. There is a z-table so that you can look up the corresponding normal random number there 5. Commodity forward/futures pricing formula 6. Two or three questions regarding Binomial tree model: first one to price an American put; second is to calculate the moving up probability 7. How can risk management increase firm value? 8. In September, Moonbucks coffee is planning to buy one million pounds coffee in November. In order to hedge the price rising, it enters a long call option of one million pounds coffee at 2.15, maturing in December. In November, it needs to decide what to do with the option position. The answers are: a) exercise immediately; b) Wait and buy coffee at spot; c) ??? d) ??? 9. Credit ratings transit matrix: there is a bank deciding to invest next year. The rule is that the company must have 95% or chance to stay at B- or above next year (note the ratings scale is neither Moody's not S&P) 10. There is one question that gives you the price of a one-year zero-coupon bond, the price of a two-year coupon bond, and asks you the price of a three-year coupon bond 11. There is a VAR question very confusing: an investor is long a stock of company A and short a stock of company B, the stdev of A stock is 20% and that of B is 30%, the correlation is 0.7. What is the VAR of his portfolio? 12. Difference between top-down and bottom up approaches for operational risk management: 13 Enterprise risk management: 14: Kidder Peabody case: why Kidder Peabody dismantled? 15: Calculation of information ratio, using directly the definition 16. The futures trading mechanism: the question gives a table about the futures price movement in several days, and asks the margin balance on a particular day. 17. Bank's role as a market maker 18. There are one or two question regarding the cash flows of swaps. 19. Impact of increase of dividend on a put option 20. There is a question regarding the price difference between forward and futures: if the futures price is lower than the corresponding forward price, what could be the reason? I chose: the underlying asset is strongly negatively correlated to interest rate. 21. There seem to be two questions regarding interest rate parity: one tests directly the definition and the other one I cannot recall now. 22. There is a typical question about the cheapest-to-delivery bond 23. There is a question about the role of a trustee for a corporate bonds. This is a hard one!!! So much for now!