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passed. 3,1,1,1,1 Studied Schweser 2012 only.

I dont remember the exact answer but do remember that the question gave average spread and the current price was the midpoint. So (average spread/midpoint) x 0.5 is the liquidity charge In the constant spread approach.

I definately remember a question that was word for word exactly the same as either the past exams (2010 - 2014) or schweser questions. But cant specifically remember for the life of me. And no this is not the QQ. It was a theoretical.

I remember Basel saying that Exponential is appropriate above high thresholds in a severity distribution where the losses are independent of that high threshold where risk factors are not easily identifiable or data available. Lognormal can model such amalgamated parameters so is appropriate, in...

It was for severity and most certainly lognormal.

I remember this One. Chose nth to default. Not that its optimal but the rest of the choices wernt fitting in at all i feel.

I sort of used this reasoning and chose the answer that said reject the 99% with 95% confidence.

The question was find the lowest mvar with treynor ratio greater than 0.1. So yes this will be lowest porfolio beta out of the 3 (because only asset A treynor was less than 0.1) whose treynor ratio come out to be greater than 0.1. I think it was asset B or C. Cant remember Exactly.

Hello All, To me the exam was a hit or miss. about 30 questions were very straght forward which i think everyone would get right.so im guessing about 25 to 30 correct questions would be the cutoff for the 4th quartile. I struggled with majority of the remaining questions by not being able to...

Passed 2/2/2/3 Honestly wasnt expecting it Read schweser only. That also for 2012

If i remember correctly wasnt this the one where the 3 mo and 6 mo spots were given and the 3 mo, 3 months from now forward was to be calculated? I used 182/365 for 6 mo and tried both 92/365 and 91/365 for 3 mo to calc the forward.. I remember both answers were fitting into one choice.

I was just going through the L2 posts and saw post #107 which is mentioning the exact same var es question as we got. Is this even possible or is the poster in the wrong thread?

I explicitly remember tgus question as being skewness 0.8 and excess kurtosis 1.9. So tail right and more extreme observations

The country v company ratings question was a highly subjective one. I for one did not select independence in both ratings. I.e. an A- rated in Indonesia is not the same thing as an A- rated in say Austria. I know this because I am an asset manager for re/insurance assets. The differences are...

If i remember correctly the DV01 question had 4 bonds. 3 long and one short. The net exposure however was long. I used the net Dv01 to plug in the DV01 hedge formula for the available bond. I got a precise answer which was either B or C i think cant remember. Don't know could be totally wrong.

I think i messed up most of the simple questions and did most complicated ones right. The var and es question. No idea. I just chose the arbitrary averages Bayes question. No idea. Chose B. The scatterplot im my opinion exhibited 0 correlation. Sd of porfolio would just be without corr term...