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回复 267# dmy949


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

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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

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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

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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.

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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

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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

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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。

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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

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回复 278# jinnix


   此题无疑问,除权日就要记

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本帖最后由 future2012 于 2012-6-6 23:20 编辑
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.

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