foxhly

which forum is this?
jinnix 发表于 2012-6-7 04:37

cfa forum

foxhly

After reading the CFA forum in USA, i just wanna say the ppl in united states also feel unsure and difficult this year.

jinnix

有同学指出不同考卷有不同的ruin probability问题，所以我的回复只适用于某一份考卷。

This is for ruin probability
gcaxu 发表于 2012-6-7 01:40

gcaxu

which question is this on? My question was why implementation shortfall is appropriate for volatile  ...
jinnix 发表于 2012-6-7 00:48

This is for ruin probability

gcaxu

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

You also need to consider the Portfolio return and its volatility.

The answer you gave it is too simple by CFAI standard. I am almost sure it is not the right answer.

future2012

So the answer would be strategy1: use current portfolio duration will generate a high portfol ...
dpictureq 发表于 2012-6-7 00:55

You mean choice 1? Why is not benchmark duration or benchmark  spread duration?

future2012

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

Thanks! I think you took the exam outside Asia because the request you said is different with the one in 8181.
Right?

dpictureq

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

    So the answer would be strategy1: use current portfolio duration will generate a high portfolio value?
Thank you

dpictureq

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a par ...
jinnix 发表于 2012-6-7 00:45

    So the answer would be strategy1: use current portfolio duration will generate a high portfolio value?
Thank you

jinnix

1.    When interest rates rise but spreads narrow, how does a portfolio value change? It seems a paradox?
There is a question about choosing which benchmark duration can achieve the largest portfolio value.

int rates rise -> all bond value should go down
spreads narrow -> treasury bond value does not change, but bonds with default risk value should go up

2. Ruin probability. Can you show your detail calculation process?

The request is to maintain at least 90% of the portfolio value with X% of confidence.
If you look at the table given, the corresponding ruin probability is in the column that allows spending $3 per $100

so you multiply $3 * $350K / $100 = $105K

May anybody explain how to address the following questions:

1.    When interest rates rise but spre ...
future2012 发表于 2012-6-6 23:19