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Cleared Part 2. Thanks God and Thanks BT.

Denominator = 42-Min(30,0.75*42)=12 LCR = 14/12 = 117%... I thought

value CVA = Spread * EE

yes, I also chose Treynor ratio for this question. How about Portfolio construction techniques, which one is correct? a.Quadratic Prog... b. Linear Pro... c. Stratification... d. Screen...

Do you still remember a question about portfolio construction?

If I was not wrong for Backtesting with 8 exceptions in a 99% VAR model, if we use 99% confidence level t = (8 - np)/sqrt (np*(1-p) ( 8 -252*0.01)/(sqrt(252*0.01*0.99))= 3.47 something

95 cvar = UL - EL EL = 5%*1000000=50,000 UL = 2*1000000/15 =133,333 95 Cvar = 133,333-50.000=83,333

Sorry... yes used Discount 952.48 = (970*p + (1-p)*950)/(1+0.01) got p= 0.6, then used it for calculating call option.

1. 20% / 30% * 0.6 (Correlation)*100 (Position) = 90 Something. 2. 952.48 = p*970 + (1-p)*950 ---->> p = 0.6002 -----> Call option = (970-960)/(1+0.01) *p = 5.94 Something

I also got 11 something for var surplus. Btw Do you still remember the question related Binomial tree (Risk Neutral)?

30. 95% CVAR? ---> 110-101 = 9 (dont remember exactly) 31. Largest Vega? at the money with long maturity or short maturity (dont remember exactly)

25. Surplus risk? Initial asset 100, liability 90, return asset 6% liability 7%. Volatility asset 10%, vol liability 5% correlation 0.8. 26. Distribution operational risk about severity. 27. Risk neutral in short term rate. 28. About MBS principal only 29. External credit enhancement

I think so, very theoretical test. Actually i prefer calculation like part 1 because my memories is not good. Btw please share what do you remember in part 2?

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