UWWF
04-07-2007, 08:17 AM
I'm using Actex so I'm curious what type of practice questions have been included in the manuals. Material I'm particularly interested in is:
- Risk Capital Balance Sheet
- Economic Capital/Value-Based Measurements(Basic COC + Frictional COC)
- Securitization
Here's an additional question. In the study note on economic capital they breakdown the whole balance sheet and income statement looking at 'what ifs' in regards to defaults, liquidity, regulation costs etc. The example specifies that regulatory capital is 5 in year 1 and 3 in year 2. However, the risk capital is 20 in year 1. I thought a heirarchy of capital was something along the lines of
economic < risk < regulatory, perhaps I'm wrong. My reasoning is economic captial = amount for specific risk tolerance, risk = amount for default free and regulatory = very conservative amount.
My only thought is that part of the regulatory capital is tied up in the 'regulatory reserves' which I believe are 100, vs the EV Liabs of 65 or so.
Any thoughts?
- Risk Capital Balance Sheet
- Economic Capital/Value-Based Measurements(Basic COC + Frictional COC)
- Securitization
Here's an additional question. In the study note on economic capital they breakdown the whole balance sheet and income statement looking at 'what ifs' in regards to defaults, liquidity, regulation costs etc. The example specifies that regulatory capital is 5 in year 1 and 3 in year 2. However, the risk capital is 20 in year 1. I thought a heirarchy of capital was something along the lines of
economic < risk < regulatory, perhaps I'm wrong. My reasoning is economic captial = amount for specific risk tolerance, risk = amount for default free and regulatory = very conservative amount.
My only thought is that part of the regulatory capital is tied up in the 'regulatory reserves' which I believe are 100, vs the EV Liabs of 65 or so.
Any thoughts?