昨天可快死了 休息了一天 今天得把记得的问题写下。 不知明年还可用否 但应该还是可以做为参考。。。
回顾下当时的情况 好笑的是 考场就只有7个人 还挺空的 但压力也特大 就可以感到多双眼睛在瞪着你似的 exam proctors 应该有5 6 吧。。。有时还可以听到他们在聊聊什么的 烦死
多半在于准备不足 脑力有限。。。相当多问题是靠猜的 多数在于二选一之类的吧 感觉读的／概念的问题（Basel III, op risk, concept etc) 特多 credit risk 方面的也特多
问题大概是：
-﹪credit enhancement
-internal credit enhancement
-% loss to mezzanine tranche after prepayment
-Bootstrap concept?
-ES vs VaR
-Surplus VaR calculation
-VaR weighting: Variance weighted VaR can produce VaR estimate larger than historical data
-Normal VaR and Lognormal VaR
-Backtest of VaR
-given Var 97.5% 98% 98.5% 99% 99.5%, calculated ES 97.5%
-given stock price, in-the-money and out-the-money call and forward values, calculate VaR
-VaR diversification
-MVaR, CVaR, IVaR concept/definition
-CPR SMM Prepayment of principal
-least credit exposure credit derivatives (CLO MBS etc)
-CDS concept, both parties downgraded, what will happen: Bank demands larger spread, seller demands smaller spread etc etc
-payoff to Binary CDS, no calculation but choose the right 'formula'
-given 2 columns of contract payoff values, calculate netting factor
-change of correlation and the impact on EL and UL
-MBS vs passthrough security, differences
-benchmark vs fund return and the fund performance; contribution of asset allocation or security selection
-merton's firm value model
-interest rate model: no drift (given simulated normal value..)
-given regression on return equation, interpret the results: beta1 and beta2 values and their contributions to return
-largest Vega: short/long option & time to maturity
-interest effect on PO IO (duration value etc etc)
-hedge fund concept, autocorrelation etc etc etc
-Given stock, Barrier knock-in knock-out call and put prices, calculate strike price
-private equity concept, private and general partner (and their fees?)
-private equity return concept, misleading high return, low sharpe ratio etc etc etc
-PD calculation (probability aspect)
-PD calculation (Bond, interest rate risk)
-PD concept, given PD=pi which information is true
-PD concept, given 2 PD cumulative distribution (industry and firm) and interpret and results
-type of copula for negative dependency: min, max, Gumble (beta=0), Gaussian (rho >0)
-linear approximation, highest increase in portfolio Std Dev after inclusion of each asset
-given graph, what is the EPE, EEE, EEPE
-change to revenue and cost to RAROC
-LVaR calculation
-largest LVaR/VaR ratio: confidence level & VaR # days
-model risk problem (simple vs complex model etc)
-risk appetite statement and ERM
-3 line of defence and their responsibilities
-Basel III-what will reduce Tier I capital (this question is weird...)
-Basel III-calculation of RWA
-Basel III-Capital ratios and Basel III capital compliant
-Basel III-leverage ratio calculation
-Basel II/III and solvency II, whether dependency is explicitly considered
-most liquid asset, AAA Bond etc etc etc
-Madoff's case, which is true about MBIS
-predatory lending definition
-originator and borrower conflict etc etc
-LOTS of current issues - Icelandic Bank, Flash Crash...more than 5 questions i think....
