2010PART 2 考题回忆

p=c+xe(-rt)-s，后面两项是一个forward的价格，就是一个long a call和short一个forward。
应该是up and in call +up and out call - forward

Below are some tested concepts as much as I can recall :

- 3 to 4 questions on Expected Shortfall. Question provided VAR at different(95.5 to 99) confidence levels and was

asked to calculate ES at 95 c level.

- Provided choices for different tranches viz. senior, mez, equity , all . Bank exposed to highest moral hazard by

holding which CDO tranch?

- Provided chart of Price movements and asked to calculate the pay-out at expiration for a Look back put.

- Calculate the value of European Option from a set Knockout options and Barrier options.

- Provided the Frequency Distribution( Times X Prob) and Severity Distribution (Prob X Loss) and asked to calculate

the expected OPR (loss or VAR??)

- To arrive at Opr Risk Charge using Standard Approach provided with a table given Risk wts for different business lines for 4 years gross income. basically to test the treatment of negatives( for loss years)

- To arrive at Market Risk Charge provided most recent 10day VARs & SVARs along with average 10 day VARs & SVARs.

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