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    RESULTS ARE OUT!

    Cleared Part 2. Thanks God and Thanks BT.
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Denominator = 42-Min(30,0.75*42)=12 LCR = 14/12 = 117%... I thought
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    value CVA = Spread * EE
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    yes, I also chose Treynor ratio for this question. How about Portfolio construction techniques, which one is correct? a.Quadratic Prog... b. Linear Pro... c. Stratification... d. Screen...
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Do you still remember a question about portfolio construction?
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    If I was not wrong for Backtesting with 8 exceptions in a 99% VAR model, if we use 99% confidence level t = (8 - np)/sqrt (np*(1-p) ( 8 -252*0.01)/(sqrt(252*0.01*0.99))= 3.47 something
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    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    95 cvar = UL - EL EL = 5%*1000000=50,000 UL = 2*1000000/15 =133,333 95 Cvar = 133,333-50.000=83,333
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    Good Luck for those taking the FRM exam in 2 days time!

    Sorry... yes used Discount 952.48 = (970*p + (1-p)*950)/(1+0.01) got p= 0.6, then used it for calculating call option.
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    Good Luck for those taking the FRM exam in 2 days time!

    1. 20% / 30% * 0.6 (Correlation)*100 (Position) = 90 Something. 2. 952.48 = p*970 + (1-p)*950 ---->> p = 0.6002 -----> Call option = (970-960)/(1+0.01) *p = 5.94 Something
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    Nov 2013 FRM Part 2 Review

    I also got 11 something for var surplus. Btw Do you still remember the question related Binomial tree (Risk Neutral)?
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    Nov 2013 FRM Part 2 Review

    30. 95% CVAR? ---> 110-101 = 9 (dont remember exactly) 31. Largest Vega? at the money with long maturity or short maturity (dont remember exactly)
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    Nov 2013 FRM Part 2 Review

    25. Surplus risk? Initial asset 100, liability 90, return asset 6% liability 7%. Volatility asset 10%, vol liability 5% correlation 0.8. 26. Distribution operational risk about severity. 27. Risk neutral in short term rate. 28. About MBS principal only 29. External credit enhancement
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    Nov 2013 FRM Part 2 Review

    I think so, very theoretical test. Actually i prefer calculation like part 1 because my memories is not good. Btw please share what do you remember in part 2?
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    FRM May Part II

    I
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