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Saturday, June 08, 2019

IIBF CAIIB BFM EXAM REVIEW :09.06.2019


5 marks case study from modified duration of Bond
Numerical from examples of chapter 1 of forex
Risk and Basel many questions asked
Overall paper is moderate.

Bucket numerical six mark
Bond calculation 5 mark

NRI FCNR 5 Mark case studies
ALM bucket allocation 5 marks


Shared by :Sourabh Verma,Aswin
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Abhik Kumar Saha:
Question on credit derivative

Amit:
Re-collected questions posted by our members

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Theory based paper (60-70% theory)

Case study maculay and modified duration 5 marks

Case study on time buckets 5 marks

Case study on DA DL RSA RSL 5 marks

Case study on LC 5 marks (LC dealing case study. Expiry date bill lading, whether partial shipment or not)

Case study on forex 5 marks

Case study on NRI FCNR 5 Marks

Numerical from examples of chapter 1 of Forex

Numerical from Sensitive assets & liabilities

Bond calculation 5 mark

ALM bucket allocation 5 marks

Two hands case study

Treasury office functioning case study

Head of front mid back

YTM

Risk and Basel many questions asked

bucket SB & CA

Weight leverage ratio

Dimond dollar account

NRE

FCNR A/c

Liquid assets

What is SNRR AC?

In which ratio off balance item and on balance item considered?

NRE/NRO case studies

Problems on TT buying, Selling

Treasury products

Transfer pricing

ALM many questions

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Case study on Macaulay duration

Face Value of Security Rs. 100

coupon rate 8% biannually

Maturity 4 year

YTM 10%

Calculate

01. Maculay Duration in half yearly

02. Maculay duration in years

03. Modified duration

.............................................

Calculation of Economic Value of Equity

Net Worth = 1350.00

Risk Sensitive Asset (RSA) = 18251.00

Risk Sensitive Liability (RSL) = 18590.00

Weight Modified Duration of Asset (DA) = 1.96

Weight Modified Duration of Liability (DL) = 1.25

01. What is Weight (W)?

a. 1

b. 1.02

c. 1.33

d. 1.66

Ans - b

Solution:

Calculate weight (W) = RSL/RSA

=18590/18251

=1.018

=1.02

.............................................

02. What is DGAP?

a. 0.33

b. 0.48

c. 0.69

d. 0.81

Ans - c

Solution

DGAP (modified duration gap) = DA - (W*DL)

= 1.96 - (1.02*1.25)

= 1.96 - 1.1275

= 0.685

= 0.69

.............................................

03. What is Leverage Ratio?

a. 12.33

b. 13.22

c. 13.52

d. 13.66

Ans - c

Solution

Leverage ratio= RSA/ Networth

= 18251/1350

= 13.52

.............................................

04. What is Modified Duration of Equity?

a. 6.33

b. 7.33

c. 8.33

d. 9.33

Ans - d

Solution:

Modified duration of equity (MD) = DGAP * leverage ratio

= 0.69 * 13.52

= 9.3288

= 9.33 years

.............................................

05. If there is 200 bp change in Rate what is drop in Equity Value?

a. 18.66

b. 20.33

c. 22.66

d. 24.33

Ans - a

Solution

Equity value=Change in rate (BP)*MD

=200*9.33/100

=18.6576

=18.66%

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Jigish Joshi:
Ripple effect??

Hi Hi:
Body term money?

Rtgs plus?

JP JP:
See page 49 new edirion

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