tt501916

回复 267# dmy949


    But i remember the question was " which is least likely the problem"

CFANS

回复 260# tt501916


     so you believe only underlying assets can be hedged. under this precondition, i agree with you about a negative correlation hedger. But can't we hedge the inflation without considering underlying asset, i believe it is reasonable to do that and then the correlation of the hedger with inflation should be positive. that is the point

CFANS

回复 271# tt501916

这个真记不清了，到底是least likely 还是most likely，还是考卷不一样啊

gcaxu

回复 221# squalll

Breakeven Analysis.

Use ur local bond duration, b/c you want to know the amount of spread increase in your local country in order to offset foreign nond yield advantage.
for 3 month, divide by 4.

kiniser

第一题说那俱乐部经理的   liquidity还有time horizon change

liquidity是没有变吧  因为没有说他要减少支出 增加支出之类的

FiFi49

请教Gips关于Dividend那题，能不能这样理解，因为Gips通篇要求Accrual base princeple，所以题目里说直到cash flow is received才accrued是based on cash flow received，也就是现金收付原则，那就有悖于权责发生制原则，所以错。

还有，请问那个ruin rate怎么计算，前面有人说的105000000怎么算的？我的理解是那个ruin rate演示表不是很明显指出就算老头把Spending rate提高到现在的支出率的5倍（1000000vs现在的200000）也没有爆仓的情况，我记得是表中对应的数字是95%,那就最大的Withdral就是扣除最低的遗产金额后的Portfolio的价值，我记得题目中就有很明显的对应数字，35000000000多，不是C吗？请同学指点

robertwen

回复  tt501916

这个真记不清了，到底是least likely 还是most likely，还是考卷不一样啊 ...
CFANS 发表于 2012-6-5 23:07

        跟到底是least likely 还是most likely没关系，关键是看题目问什么，是hedge the assets还是hedge the unexpected inflation，如果是hedge the assets，correlation应该选负数，如果是问hedge the unexpected inflation，就应该选correlation是正数。我记得题目是问的which one is the pefect one hedging the unexpeceted inflation? 除非题目不一样。

casey8192

上午是⑨道题目，是哪⑨道，个人  机构  经济 ，行为  衍生2个，固定，交易，

还有一道是什么》》大家帮忙回忆一下好吗

casey8192

回复 278# jinnix


   此题无疑问，除权日就要记

future2012

the 10% ruin probability is associated with losing 9.8% of the portfolio value.

and for that value, ...
jinnix 发表于 2012-6-6 07:01

Look forward.