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Actually sqrt12 gives you the 10.* answer - probably their "right wrong" answer. The original var was 3-something.

... how were we expected to manage our time when w/ hindsight and knowledge of the questions, we still can't agree on some answers (i.e., price jump and pension "relevant" risk)! :)

I answered 9 too but only because my full multi-netted answer wasn't there (and planned to revisit). I think "CCP novation" is multi, not just bilateral though.

Pretty sure that's effectively a price jump. Almost like the current price is away from the money once expectations are priced in. Regardless here's another good example of how its wordiness turned a simple gimme into a "the world is upside-down" question, when under the time pressure of the exam.

This should've been a cake walk but my multi-netted answer was 1 which wasn't a choice. Maybe I misread the question or messed up the simple math, but unfortunately I didn't have time to review it. Does anyone remember the numbers here?

Hm, pretty sure that was a liquidated var question *= SQRT((1+t)(1+2t)/6t). There were two 4s, a 6, and a 10 or something... I chose 6-something.

One question I vaguely recall was the asset/liability pension fund question where they described risks: 1. manager changed the expected asset allocation based on expectations and lost money, 2. and the sponser was concerned about liabilities exceeding assets, etc., The question was: which...

Feel the same way, thanks for your post dan!

Me too - passed! Thanks for the update aof.

Forgot which answer I selected but a AA rated bond should have a lower yield than an A bond (because it's safer). I see your emphasis on LONG TERM but the yield relationship is the same, or at most equal if it includes expected defaults into the pricing.

You're right - I thought this too but didn't have time to overthink the "trap" answer of zero. "See Market Risk Analysis, Value at Risk Models" by "Carol Alexander", page 273...

Thanks all [re sharpe clarification] - another incorrect easy one. :/ How about the futures open interest question? Think the question was 100 open long, 50 open short, and 50 close sell - what's the volume [change] (100 or 0) and open interest (either 0, 50, 100)? I answered 100/50.

S666, vmircea81: I'm impressed at both your recall of the exam - kudos! Very helpful and thanks for the detail. By any chance, was the highest information ratio the same as the highest sharpe ratio, over the threshold? Unfortunately in my haste I skipped the small information ratio part...