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i thought they asked for general market risk charge - that did include the SVaR, yes? Assuming so, the answer would be max(VaR of t-1; 3 times average VaR over last 60 days) + SVaR whereby the SVaR is calculated the same way here. There can be a plus-factor which is added to 3 in the case of VaR...

Jot, thanks for replying. Interesting take on that question. sounds plausible. So now we have 3 equally correct choices... You recall the betas correctly, just the other way around i think, 0.9 for asset A, 0.8 for asset B. Instead of using the benchmarks past return to calculate the excess...

Not sure why the volatility spread factor confuses some - in many practice questions for LVaR, for the LC (= liquidity cost = spread) part of the LVaR there was either a factor given, usually 3 (pretty much equivalent to a 99.9% conf level, i think), or you were asked to use a confidence level...

same thing for the question about adding asset A or asset B to a portfolio: - asset B had the higher Sharpe Ratio, but choice given was "Add A because higher Sharpe Ratio". Not correct. - the asset with the higher info ratio was not the one they offered for adding it to the portfolio. Also not...

But then standard deviation would also be a coherent and easy to understand risk measure. It's not as clear cut as put here.

Responding to the tail risk question: i'm pretty sure that the answer was invest in Treasuries. Here's why: 1) the choice with the put was short put, if i recall correctly. That would increase tail risk. 2) i remember a practice question where the investor shorted Treasuries to reduce tail risk...

9 days because you don't have to liquidate one after the other (imagine how long it would take otherwise if you had a portfolio using 100 stocks or so). It took 9 days to liquidate one of the stocks given the volume you had in that stock and the volume you could liquidate per day in that stocks...

Does anyone remember the exact formula to use and the numbers for the values to input regarding the hedging question (-30 or -120)? That should have been a really easy question.

hmm - you may be right. I remember not getting to a value of either (+/-) 30 or 120 but the hedging instrument had the lower volatility, right? So I figured you would need more of the hedging instrument for any correlation above zero. After your last comment I'm not so sure anymore - so someone...

Hey kuch2r, I also chose ES since stddev is not translation invariant and VaR does not necessarily fulfill the subadditivity requirement for a coherent measure. However, if I recall correctly, the Schweser Notes just 1 to 3 pages (bottom) or so further in that topic, say that stddev and VaR are...

Roierez - you are right on the hedging question. You needed more of the hedging instrument than you had in the underlying so 30 or -30 were not valid choices. -120 is correct since you need a short position in the hedging instrument to counter your long position in the underlying. Though I hedge...

i checked several times - pretty sure that B had the higher Sharpe Ratio and that the choices given incorrectly specified the assets in regards to which one had the higher Sharpe and which one the higher Info Ratio. But in the heat of the test (and not being able to drink without wasting time by...

Wasn't that the question with more than 2 assets with same standard deviation and correlation? if so, you had to use stddev x (1/n + (1-1/n) x corrcoeff).

There was a question where i think GARP made a mistake: they asked whether one wanted to add A or B to a portfolio. Choices were a) Asset A because highest excess return b) Asset A because highest Sharpe Ratio (this not a correct choice because Asset B Sharpe-Ratio was higher) c) Asset ? because...

for 1), which actually asked to assume 252 days/yr (not 250), if i recall correctly, you divide by square rt of 252 to get one-day, then multiply by sq rt of 10. for 8) the lognormal,loggamma and GPD are for severity, not frequency. Typical for frequency distributions are Poisson and neg...