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Pool insurance makes sense theoritically, until we saw how the monoliners handled the situation during the financial crisis was.

Hi everyone, I saw that all of you picked the fatter tails for the QQ plot...but i chose thinner...

Wasnt it the same as the graph below? Or I guess I did not fully understand the topic... thanks in advance

View attachment 1852

Wasnt it the same as the graph below? Or I guess I did not fully understand the topic... thanks in advance

View attachment 1852

I'm genuinely curious now that quite a few people mention OC protects equity tranche.

From my limited exposure to the relevant products, OC kicks in when senior tranches's OC ratio (aka principal coverage) falls below a certain threshold, at which point the payout to equity tranche gets diverted to the senior tranche to either purchase more collateral or (partially) pay off the senior tranche, in order to bring the OC ratio back.

From my limited exposure to the relevant products, OC kicks in when senior tranches's OC ratio (aka principal coverage) falls below a certain threshold, at which point the payout to equity tranche gets diverted to the senior tranche to either purchase more collateral or (partially) pay off the senior tranche, in order to bring the OC ratio back.

This is a part of the waterfall structure. The OC would first protect the Equity tranche up until a breaking point where the losses are more than the overcollaterisation and start eating up to the waterfall structure. I answered waterfall structure as the question clearly mentioned protect the class A throughout the lifespan of the securitisation (Pool insurance is true but does not protect throughout the lifespan - only kicks in if the level of defaults are very2 high etc; what if default are not that high)

This is a part of the waterfall structure. The OC would first protect the Equity tranche up until a breaking point where the losses are more than the overcollaterisation and start eating up to the waterfall structure. I answered waterfall structure as the question clearly mentioned protect the class A throughout the lifespan of the securitisation (Pool insurance is true but does not protect throughout the lifespan - only kicks in if the level of defaults are very2 high etc; what if default are not that high)

Very very difficult exam, hopefully the cutoff score will drop too, otherwise...

I am a re-taker with good amount of studies this time and if I have to compare the exam from May this is really a trickier one.

Let me give the tricks where candidates could have fallen flat where they found the questions simple and missed out the tricks. I m simply marking my answers and can be caught wrong in those tricks as well.

1. Question on marginal PD: answered marked was 4.69 and 4.65, vs 4.69 and 9.**

2. Question on CVA, marginal PD was the trick and 2 year PD should be t-(T-1). Ans was .40** vs .48**

3. VaR Question on 3 securities,perfectly correlated so simple weightage should be taken. Rather than daunting standadard deviation formula. Ans was 440000

4. Constant lambda: 0.8 Defuault probability was within 3 years. Within was the key. Ans 21.3 vs 6.8( who calculated directly 3 year default .92*.92*.08)

5. LVar: exogenous 92750 around

6. Raroc: r= 5% ,though this was not simple

7. Portfolio allocation strategy. And 0.6 ( weight difference * benchmark return

8. 2 Credit var simple questions : Ans 6 and 30 around

9. Hedge through DV01 in real and Nominal yields :ans 40.1 (simple question, hell lot of language made it complex)

10. NSFR: 4 in equity and 4 in retail

11. Holee Model: 1.79%

12. Log Var : I marked 34k around option , wasn’t getting exact ans might be I used z value as 1.65 instead 1.645. Though answer could be 32k as well.

13.IRrootBR: managers performance X:5

14. SMM I dint get it right

15. Incremental VAR : I didnt the right answer I marked answer something like 38765

16. 2 ES VAr questions : one should be divided by 9(n-1),where Var was sliced in 10 pieces. 2nd one was simple one

17. Question on Basel 2.5 , summation of on max 60 day MVaR and SVAR. I don’t remember the answer I marked B option.

18. Binomial tree to calculate zero coupon bond price

There were 3 more questions on Hazard rate , PD , credit spread.

So, 25 were numerical which is around 33%.

Theoretical questions were confusing and lengthy.

I remember few

1. On graphical : Frown and fat tails were the answers.

2.US dollar strengthens: I marked widen basis spread result in cost of borrowing

3. ECl was easy one :

I am a re-taker with good amount of studies this time and if I have to compare the exam from May this is really a trickier one.

Let me give the tricks where candidates could have fallen flat where they found the questions simple and missed out the tricks. I m simply marking my answers and can be caught wrong in those tricks as well.

1. Question on marginal PD: answered marked was 4.69 and 4.65, vs 4.69 and 9.**

2. Question on CVA, marginal PD was the trick and 2 year PD should be t-(T-1). Ans was .40** vs .48**

3. VaR Question on 3 securities,perfectly correlated so simple weightage should be taken. Rather than daunting standadard deviation formula. Ans was 440000

4. Constant lambda: 0.8 Defuault probability was within 3 years. Within was the key. Ans 21.3 vs 6.8( who calculated directly 3 year default .92*.92*.08)

5. LVar: exogenous 92750 around

6. Raroc: r= 5% ,though this was not simple

7. Portfolio allocation strategy. And 0.6 ( weight difference * benchmark return

8. 2 Credit var simple questions : Ans 6 and 30 around

9. Hedge through DV01 in real and Nominal yields :ans 40.1 (simple question, hell lot of language made it complex)

10. NSFR: 4 in equity and 4 in retail

11. Holee Model: 1.79%

12. Log Var : I marked 34k around option , wasn’t getting exact ans might be I used z value as 1.65 instead 1.645. Though answer could be 32k as well.

13.IRrootBR: managers performance X:5

14. SMM I dint get it right

15. Incremental VAR : I didnt the right answer I marked answer something like 38765

16. 2 ES VAr questions : one should be divided by 9(n-1),where Var was sliced in 10 pieces. 2nd one was simple one

17. Question on Basel 2.5 , summation of on max 60 day MVaR and SVAR. I don’t remember the answer I marked B option.

18. Binomial tree to calculate zero coupon bond price

There were 3 more questions on Hazard rate , PD , credit spread.

So, 25 were numerical which is around 33%.

Theoretical questions were confusing and lengthy.

I remember few

1. On graphical : Frown and fat tails were the answers.

2.US dollar strengthens: I marked widen basis spread result in cost of borrowing

3. ECl was easy one :

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