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I passed as well Q(1,1,1,1,1).

Any inputs on collateralised PFE graph. I marked Interest rate swap. but not sure.

What I did was add the probabilities of defaults from 0 to 5 i guess (p(0) + p(1) +P(2)...p(5)) till it reached 95% or close to it. and then removed the expected loss. Now, I am not sure if the probabilities were of distribution or it was directly given cumulative prob. :/

I thought its was not cumulative default probabilities. I think I got 3k (5k - 2k). I got 5 defaults to reach 95%. Might be wrong though. :/

Thanks for the reference! Can you remember the answer. Just curious what could be the answer.

I might get around 45-50.. :/

I remember it was mentioned prices " prices follow log normal". I might be wrong.

Also, I understand that bond prices cant follow black scholes options pricing because they dont have constant valatility along the maturity. Can someone shed some light on why option that says " bond prices can not take log normal" is wrong. I marked this(first option) option not reading other...

Yep, I guessed on sharpe. I didnt have a concrete reasoning. I missed same variance part I guess.

i think u marked between the other 2 options. I dont remember the other options.

Yeah I agree, there can be 2 cases if the probability of default is less than the significance of var and when the probability of default is greater than significance of var. cvar 95% of 100 assets with 0.1 probability of default each with 0 correlation is greater than cvar 95% of same...

might Might be wrong. My reasoning, the question said the modified portfolio has same return but has 65% components of the old portfolio. I remember not seeing same variance. So thought variance increased. and opted low sharpe ratio. Might be wrong.

Me too. I dont have a concrete reasoning. To me rest of the strategies seemed to have similar strategies except for market neutral, I assume has high idiosyncratic factor. Might be wrong though.

how many questions could we gather until now? there is also a question on hedge fund strategy. which of the strategies has the lowest correlation with its (strategies) index. And another question on "if correlation of the of assets in the pool increases what could result" I chose the CVAR...