1. Box ljung chi square
2. TBA numerical .. positive carry and proceeds are negative/positive. Might be easy but I was unprepared for dollar roll calculation (frankly didn’t expect)
3. Calc UL give exposure
4. Multifactor beta with gdp and interest rate calc expected returns
5. Fx .. at least 3 questions
6. Calc sopt from swap rates
7. Role of audit committee in risk management - make sure risk mgmt is good
8. Role of CRO
9. Cov stationary series condition
10. 3 regression equation given.. stock vs oil oil vs tbill tbill vs oil.. was there any multicollinearity. Omitted variable
11. Adding another variable in regression increases rsq.. options were does it mean it more significant. .. easy one
12. One drawback of stress testing
13. Gini coeff and human development. .rank the countries
14. MBS calc cpr based on smm
15. Number of positions given asked whther it was calendar / butterfly
16. Easy one on pricing the bond
17. Garch graph was given x axis number od days . Y axis volatility. .. asked whether daily variabce is ... i think it was based on reading the co-ordinates from graph
18. Confidence interval .. it was long question but inc of 100 to 400 conf interval will decrease by half
19. Garch equation given then calc the today's volatility and interval for today index value ..
20. A question of raf basel recommendation
21. Which not a operational risk.. a trader entered wrong vol./ model wrong ..2 other options
22. Easy one on garp code of conduct
23. Which Dist used for loss frequency. .poisson
24. Alied and barings bank .. common trait
25. Stack and roll strategy.. when will you not make money if you are short
26. Delta normal.hedge.. when is it not effective
27. Credit rating matrix was given asked looking at that whether int. Rating used through the cycle or point in time
28. APT question..whether systematic risk in apt is zero or not... cant recall clearly
29. At least 3 questions on conditional / joint probability..miller
30. Regression. .t stat.. std error. When will u reject null
31. Corp bond...which one is most risk..debenture. equipment cert. Subordinate bond
32. Binomial tree. Vol was given. 2 traders has diff expectation by end of year. .6 and 12 percent. . In their models what would be their prob of down movement..
33. Cacl expected shortfall 100 days .. moving 10 days ahead and then recalc expectshorfall. One obs would drop out ..
34. VaR backtesting .. no of exceedances
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