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.

gcaxu

回复 277# jinnix

Did u consider Portfolio return and volatility?

gcaxu

回复 294# squalll

this VAR has been tested in level II

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.

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

老头子那题偶选的是ABS, 因为有信用风险，因为公司虽然guarantee，但是如果公司倒闭了咋办？什么都打水漂了 ...
huanleshalemei 发表于 2012-6-12 21:42

In North America, People most likely chose Big Cap Equity. I asked few exam taker.
Reasons: inflation-linked preclude Bond and treasure unless it is tips. ABS amortize, so it is out. small cap is just too risky.
Big Cap Equity provides inflation pretection and it is stable yet not guranteed.
So it seems fit

The reason you guys gave sound plausible but just not in sync with the real world experience.
Do you guys invest in Equity or bond?

ABS amortize, so it is out.