Liu2020-09-09 22:59:32
Liu關於Market risk百題, page 15-34, question 31. Why answer A shorter time period and answer D lower confidence level are not the correct answers? As we know lower confidence level and greater multiplier and shorter time period can solve the issue in order to have a significant backtesting result.
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Crystal2020-09-10 18:34:03
Crystal同学你好，请将百题的截图贴一下谢谢，我的百题和你的不一样。
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here is the question, thanks
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關於market risk百題, page 27-54 question q 58. why do we just need to discount the face value by year 1 - 7% and 5% only,
why only 1 step is needed? 1/2(1/ 1.07)＋1/2(1/1.05)/1.06 why do not need to discount by 2 steps, from year 2 - 8% and 6% in the upper node and then 6% and 4% in the lower node and further discount upper node year 2 value by year 1 7% and lower node year 2 value by year 1 5% to find the face value? (formula shown as below)
upper node: 1/2(1/1.08) ＋ 1/2(1/1.06) = (x) AND
lower node: 1/2(1/1.06) ＋ 1/2(1/1.064) = (y) why the final answer is not (1/2(x) ＋ 1/2(y))/1.06?
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關於Credit risk百題, question 41, page 21-76,
question 1: what is the meaning of unconditional PD 1% in this question? for what purpose?
question 2: the answer mentions that (-2.33-(-0.4))/0.9165 should be = -2.158, why the answer is 1.8% ?
question 3: what if the question is changed to "unconditional PD 3% or 4%" , then what will be the new formulas to find the new answers? Thanks : )
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同学你好，信用风险的百题你需要重新选择科目提问哈，我这边只回答市场风险的题目。
31题
这个题目说的是由于使用日间交易数据会产生一些问题，现在想要消除这些问题应该怎么办，最直接的解决方法就是不用日间交易数据，其他的都不是什么直接的方法，而且还容易造成别的什么问题。
59题
因为这里面债券是一个两年期的债券，所以只需要两个利率。8,6,4都是第三年的利率，所以对于两年的债券来讲，是用不上的。
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