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.

future2012

Look forward.

future2012

回复  FiFi49

GIPS 2010 Key Issues Summary
   6.     
Should the current recommendation to accrue d ...
pandagor 发表于 2012-6-6 21:09

   So which do you think is the correct answer?

future2012

May anybody explain how to address the following questions:

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.

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

3.    A question in second last set need to compute credit risk. The options include: positive one、zero、negative one。

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?

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

问个问题，上午关于equit和bond重新配置，并按照目标beta和久期进行买卖期货那题，题目给的是equity部分和bond部分的beta和久期吧，不是整个portfolio的beta和久期吧？

future2012

回复  future2012
对的，分2步来算。
casey8192 发表于 2012-6-7 20:46

   那就放心了，要是组合的就讨厌了。
   你猜了哪4道？

future2012

回复  future2012

var  国际归因前2题  ruin rate
casey8192 发表于 2012-6-7 21:47

   你也是亚洲考得吧，ruin rate那题应该是多少？
另外，有题说利率上升，但spread下降，问使用哪种久期，能够获得最大的组合价值，这题应该选什么？

future2012

human capital :\\

i choose the governmrnt bond .

as the salary is garranteed,and bonus finally
casey8192 发表于 2012-6-9 08:31

   这样看，公司债的可能更大啊。企业担保不同于国家担保。。