Recollected Question on Risk Management Date 23.08.2020
01 Case study on Duration, Modified duration,& convexity
02 Case Study on Haircut, hair cut formulas based question on collateral asset ,haircut in risk mitigation
03 Case study on Interest rate
04 Numerical on Value at Risk, Calculate Geometric mean, NIIcalculation ,RWA Numerical on Tier 1 and tier 2 Case Study on Risk Weight ration ( unrated corporate Company , RWA on venture capital, exposure to foreign banks,RWA value on commercial infrastructure company) Numerical on BPV
05 Mark to model definitions
06 Beta value on risk free asset
07 Credit risk mitigation purpose not included choose from options
08 LTV is part of which type of risk Management
9 translational level risk not included
10 Loan review mechanism is used for
11 Definition of YTM
12 staff irritation and loss of appeal of employer is failed in which conditions
13 Rate of inertest swap for PEF
14 PD,EAD,LGD
15 Call Options Definitions
16 Monte carlo simulation method definitions
17 Embedded option risk
18 counterparty risk,SPV,
Most of the question of one-liner type, ratio of numerical & theory is 40 and 60
Theory was easy. All the question from book. read the book carefully 2 time.
Good luck.
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