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Exam Feedback November 2018 Part 2 Exam Feedback

haziqnazri

New Member
I think the answer was US bonds. I followed these steps:
1) Get VaR of portfolio, before any additional exposures
2) Get VaR of US Bonds, given STDEV and exposure amount.
3) Calculate aggregate VaR using the square root formula, using the correlation given.

The output was an aggregate Var below the maximum "budget", which was not the case with European securities due to their high correlation (0,8 I think it was).


Yup/... 12.5 million VaR less than the limit of 13 mil
 
I think the answer was US bonds. I followed these steps:
1) Get VaR of portfolio, before any additional exposures
2) Get VaR of US Bonds, given STDEV and exposure amount.
3) Calculate aggregate VaR using the square root formula, using the correlation given.

The output was an aggregate Var below the maximum "budget", which was not the case with European securities due to their high correlation (0,8 I think it was).
Yup it was bonds due to low correlation
 
I think the answer was US bonds. I followed these steps:
1) Get VaR of portfolio, before any additional exposures
2) Get VaR of US Bonds, given STDEV and exposure amount.
3) Calculate aggregate VaR using the square root formula, using the correlation given.

The output was an aggregate Var below the maximum "budget", which was not the case with European securities due to their high correlation (0,8 I think it was).
The options had portfolio VaR as 12.5 or 12.9 for both US/EU stocks but that was no where close to the portfolio VaRs i calculated..
 
I answered overcollateralization, since the other answers were more like "features" of a securitization, rather than "credit enhancement", which sould be additional protection
Yes but overcollateralization is for the equity tranche and not senior tranche
 

jq0714

New Member
I answered overcollateralization, since the other answers were more like "features" of a securitization, rather than "credit enhancement", which sould be additional protection

yea I chose the overcollateralization, seems more relevant to credit enhancement, tho not too sure.
 
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