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Search: Posts Made By: Stillgreen
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 06-18-2018, 02:48 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
FCAS baby!!!!!!!!!!

FCAS baby!!!!!!!!!!
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 06-15-2018, 02:10 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
The CAS website is down. But the section for your...

The CAS website is down. But the section for your profile (and your exam status) works for me.

No results yet though
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 05-04-2018, 04:54 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I'm going to disagree. The tangent to market...

I'm going to disagree. The tangent to market concept is only valid in CAPM but does not hold in the general case. Based on the problem, the assets are not following CAPM in equilibrium.

The...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 05-04-2018, 03:29 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
The efficient frontier is the best risk-return of...

The efficient frontier is the best risk-return of the universe of risky assets (including portfolios of their combination). I believe the question stated that these were the only assets available.
...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 05-04-2018, 11:40 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Wow... I'm in the minority here

Wow... I'm in the minority here
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 05-02-2018, 04:35 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Good luck to everyone tomorrow

Good luck to everyone tomorrow
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-20-2018, 09:55 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I discussed this earlier in the thread

I discussed this earlier in the thread
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-16-2018, 03:23 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Remember that you multiply the L(x) with (xi -...

Remember that you multiply the L(x) with (xi - ui). So the integral will be from VaR to infinity. The function inside the integral will be (xi - ui) * f(x's) / (1 - VaR)

That gives you r....
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-16-2018, 12:22 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
They are a function of the terms in the...

They are a function of the terms in the parentheses.

Calculate the value of the terms and depending on the result, the function returns a 0 or 1.
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-10-2018, 02:22 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Guess I'm screwed

Guess I'm screwed
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 03:12 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I can't say for all deals but I know some...

I can't say for all deals but I know some reinsurance brokers have a dedicated capital markets team that does the pricing and negotiation. Actuaries were not involved in the ones I knew about (but...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 12:06 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
The investors get LIBOR + premium

The investors get LIBOR + premium
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:50 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
It depends on whether you're examining cash flows...

It depends on whether you're examining cash flows or accounting items. There are pros and cons to both. In real life, you make your own assumptions - not copying the authors completely.
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:48 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
No. It went away when they took Hull off the...

No. It went away when they took Hull off the syllabus
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:46 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I have a different interpretation of the paper. I...

I have a different interpretation of the paper. I don't think it's relating to the demand for the securities nor does it matter if it's subprime or not. It's all a matter of the reference point.
...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:38 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
The letters represent nominal values. The...

The letters represent nominal values.

The rightside of the equation represents income at t=1.
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:36 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Usually, the CAS accepts multiple versions if...

Usually, the CAS accepts multiple versions if they don't give all the assumptions. However, if they say that something is earned at t = 0 and you use t = 1, then they have valid reason to take points...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-09-2018, 11:34 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
It takes n periods to reach the steady growth...

It takes n periods to reach the steady growth phase. After this, you will have n policies at different stages of it's life. This is represented by the sigma part of the formulas.

For each period...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-06-2018, 05:06 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
bonds -> mortgages CDO -> mortgage bonds ...

bonds -> mortgages
CDO -> mortgage bonds
CDO^2 -> CMO
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-06-2018, 11:32 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
There was one time when a lot of people had the...

There was one time when a lot of people had the same candidate number. :shrug:
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-06-2018, 09:54 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I got it wrong though when I tried it. I solved...

I got it wrong though when I tried it. I solved for the deficit assuming no premium and then just took the difference to match the target EPD.

I probably would've gotten a lot of partial credit...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-06-2018, 09:52 AM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
I actually liked that Butsic problem...

I actually liked that Butsic problem...
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-04-2018, 12:52 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Technically, everything is from t = 0 to n ...

Technically, everything is from t = 0 to n

But Income is 0 at t = 0 and Equity Balances are 0 at t = n
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-04-2018, 12:51 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
Income goes from t = 1 to n BOY Balances...

Income goes from t = 1 to n

BOY Balances goes from t = 0 to n-1
Forum: Exam 9 (old Part 8) - Financial Risk & Rate of Return 04-02-2018, 03:30 PM
Replies: 6,099
Views: 323,013
Posted By Stillgreen
It's annoying for a student but it reflects the...

It's annoying for a student but it reflects the differences in companies and lines of business.

Goldfarb mentioned that II on the additional premium is a consideration that could be expanded....
Showing results 1 to 25 of 300

 

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