Recent content by devdutt.21

I passed. Cant see quartiles though..!!!

Yes i think the value was 0.20 and the forcasted worked out to be 0.28

it states that the Correlations were miscalculated and lower. Actuals were higher. so the Realized correlation * VAR will be higher than 0.40 million

Should one include UL in Raroc calculation in numerator? I remember reading that RAROC does not consider UL.

About the Credit Spread. Short Put + Risk Free Bond = Position in Risky Bond. Therefore Credit Spread is derived accordingly.

You are correct if as it is only 1 position then I missed reading that part. Lost marks there :(

15. Correlation Swap receives 0.4 more My understanding . Formula is a multiplier of Sum of Correlations. with 2/(n2-n) . Since correlations were understated the sum of correlations will be higher. hence Correlation Swap receives 0.4 more is correct as per me.

My understanding Var Back test is 2 tail test with test static x- pT/Sqrt(p(1-p)T > 1.96

MVaR is linear approximation (first partial derivative). Incremental VaR is a full revaluation. Not sure which one to use as both will give the similar result. However MVaR will be a very fast way to derive so I chose MVAR.

I passed :):)...

Its all good mate.. even my emotions are flying given the result expected tomm.. cheers and best of luck to everyone..

Oops.. that why I didnt score in TOEFL..

Trust this clarifies

What is uncool about Garp announcing the result on 28th? I didnt do this mate.. Garp did this..

Garp has officially announced results on 28th!! Enjoy