muimui725 发表于 2014-11-17 10:56
Why is C ? 5.5% is the fifth worst case ?

zxw77 发表于 2014-11-17 11:20
When using last 50 days data to calculate VaR, we should delete the worst returns which are 40 day ...

muimui725 发表于 2014-11-17 12:13
Omg ... I wonder the period is still 60 days... The question is asking for 50 days HS VaR ?

appiso 发表于 2014-11-18 06:40
有一道题问大家solvency ii和 巴塞尔协议 区别，不知道大家选的什么？

apple1999 发表于 2014-11-18 06:51
你选的什么？

appiso 发表于 2014-11-18 07:47
我选的C

apple1999 发表于 2014-11-18 07:59
C是啥内容，忘了

muimui725 发表于 2014-11-18 08:21
I choose C also. Btw 有一條是問hedge fund de redemption period. 有人選了是為了protect long term in ...

apple1999 发表于 2014-11-18 07:59
C是啥内容，忘了

appiso 发表于 2014-11-18 08:25
C选项说solvency ii 是firm-wide,巴塞尔协议不是

apple1999 发表于 2014-11-18 08:26
我也选的这个

franklin_zhang 发表于 2014-11-18 16:48
大概什么时候出成绩啊

muimui725 发表于 2014-11-18 19:29
Jan 2 2015

keanu_lau 发表于 2014-11-19 10:59
这个日期是很有可能提前的吧，GARP貌似经常提前出成绩

muimui725 发表于 2014-11-19 13:53
Btw , anyone remember there is a questions about variance swap and volatility swap ?? Which answer ...

muimui725 发表于 2014-11-19 13:53
Btw , anyone remember there is a questions about variance swap and volatility swap ?? Which answer ...

apple1999 发表于 2014-11-19 15:48
有哪些选项？

muimui725 发表于 2014-11-19 16:25
我選了variance swap is easier to price than volatility swap. Do u have impression there is another ...

muimui725 发表于 2014-11-19 13:53
Btw , anyone remember there is a questions about variance swap and volatility swap ?? Which answer ...

chenfanch 发表于 2014-11-19 18:09
Variance swaps are easier to price and hedge than volatility swaps since they can be replicated us ...