Trotfoxtrot Wrote: ------------------------------------------------------- > Essay question: > > Does anybody have the exercice with the CDS? Lost > my mind when they asked the gain in basis point or > dollar… > > And you? I had it. I thought it was fairly straightforward once I read it over a few times, but who knows? I felt comfortable with my answer, but that doesn’t mean it is right.
Trotfoxtrot Wrote: ------------------------------------------------------- > Essay question: > > Does anybody have the exercice with the CDS? Lost > my mind when they asked the gain in basis point or > dollar… > > And you? I didn’t get this essay question, mine were based on ethics, risk management and PE.
@ Big ML Do you remember your answer please?
It was 10bp or something on CDS. I would have loved to get essay on PE though but mine were Ethics, CDS(toughest) and CMOs
Ahhh that’s probably why you guys had so much trouble with the essay. Sounds tough! Just remember everyone is in the same boat and 6 weeks from now we will get our answers and be celebrating!
pupdawg82 Wrote: ------------------------------------------------------- > It was 10bp or something on CDS. > > I would have loved to get essay on PE though but > mine were Ethics, CDS(toughest) and CMOs Sounds about right.
2 marks for 10bp…
Which formula do you use? Give me the page if you have Uppermark please! Thanks a lot guys!!
Isn’t the formula for that is Credit spread - Repo Spread - Swap spread?
I didn’t use a formula.
That question seems pretty straight forward if you just have to apply the CDS formula… I didn’t do it so I wouldn’t know lol
@ Big ML So how did you find the answer LOL?
I really didn’t think of it in those terms, I guess. Just the risk free plus a spread like any other risky debt. When I think of using a formula to find an answer I would think of a question like finding the SMM or something.
There was an MCQ question on the CPPI asset mix strategy. They just gave the multiplier and floor value and that’s was it. I took a guess for this answer. How did you guys get the answer?
I didn’t have that but there was one on CAPM and I didn’t know how to answer it.
@ pupdawg82 The one with the risk free rate, the market premium and 2 volatilities??
yes fox. That was the one. I also missed one where we had to find RSI value. I spend 3 minutes on that but couldn’t get the answer
mmt Wrote: ------------------------------------------------------- > There was an MCQ question on the CPPI asset mix > strategy. They just gave the multiplier and floor > value and that’s was it. I took a guess for this > answer. How did you guys get the answer? I believe that problem gave you the amount invested in equities, the floor value and the multiplier. They wanted you to determine what trade you would do if equities increased by x%. You could use that initial “risky asset” allocation to calculate the total assets and then go from there.
pupdawg82 Wrote: ------------------------------------------------------- > yes fox. That was the one. > > I also missed one where we had to find RSI value. > I spend 3 minutes on that but couldn’t get the > answer I had issues with this one too. I know the formula, but they gave you a string of pricing information. I figured out the average up move was 2 and average down was 5 but still couldn’t get an answer that matched one of the choices. I couldn’t make sense of it, so I just moved on. I did revisit it at the end, but I still couldn’t figure it out.
I think that some information was missing from that question. I didn’t get question related to Floor