6# grapol
你们很牛，我考完啥都不记得了。
对于根据call和future的价格计算put，只要用call-put parity就可以了。当然也要只要down-and-in、down-and-out或者up-and-in、up-and-out合起来就是一个正常的call。

7# a19840

I did calculation with considering up-and-in and up-and-out as one normal option but can't get any answer matching 4 choices.  What's answer you chose?

楼主牛人，我都不知道出处和考点啊！

以上所写全是我考时不知如何作答，回来又翻过书对照了一下所忆，真的牛人肯定不是我这样的。。。。。。。

关于那道PUT OPPTION的题，按UP AND  IN 和PUT -CALL PARITY,我也没有算出答案，选了一个靠近的。计算题我基本没算第二遍，认准了思路，算出来没有答案的话就选一个大小相近的，也不知道这法灵不灵。。。。。。。

p=c+xe(-rt)-s，后面两项是一个forward的价格，就是一个long a call和short一个forward。
应该是up and in call +up and out call - forward

Below are some tested concepts as much as I can recall :

- 3 to 4 questions on Expected Shortfall. Question provided VAR at different(95.5 to 99) confidence levels and was

asked to calculate ES at 95 c level.

- Provided choices for different tranches viz. senior, mez, equity , all . Bank exposed to highest moral hazard by

holding which CDO tranch?

- Provided chart of Price movements and asked to calculate the pay-out at expiration for a Look back put.

- Calculate the value of European Option from a set Knockout options and Barrier options.

- Provided the Frequency Distribution( Times X Prob) and Severity Distribution (Prob X Loss) and asked to calculate

the expected OPR (loss or VAR??)

- To arrive at Opr Risk Charge using Standard Approach provided with a table given Risk wts for different business lines for 4 years gross income. basically to test the treatment of negatives( for loss years)

- To arrive at Market Risk Charge provided most recent 10day VARs & SVARs along with average 10 day VARs & SVARs.

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