What's new

Recent content by JDGutzmann

  1. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Just received the email as well, finally. :D
  2. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Hello everyone, congratulations to all that passed and best of luck for those who have to try again! I passed with 2-1-1-1-1 and I am feeling quite relieved and glad that the anticipation is over ;-) Thanks to David, Nicole and everyone in the forum for all the help in preparation! Johannes
  3. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I agree with Saran11, had it wrong at first as well. The trick was not to count "backwards" but "forwards" from zero defaults up. The shown part of the distribution only amounted to ~97% if I remember correctly (max. number of defaults in the table was 6, while @ 100% confidence it should be 100...
  4. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I agree - only picked up this formula in one of their old practice exams. As I said, I think its strange for GARP to be using different methods without clarification.
  5. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I got: 1 - (1 - 0.042 / 0,6 ) ^ 2 = 0.1351 Which uses not the continous but discrete PD(!) I have to say that, despite the statement in the cover about all interest rates and the like to be continously compounded, some were definitely not, and not marked as such. I am positive that the question...
  6. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    In regard to the RAROC-question, I chose the one that increased the funding costs, because following the calculation it was the only one that would lower the RAROC below 10%. For the Backtesting-question I couldn't find any reasons to reject the hypotheses, since both Alphas were less than 1.96...
  7. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Hello, I assumed that the question asked for the amount of ACTUAL capital to be invested, not RISK capital (i.e. money in $, not VaR in $). Therefore, the relationship between the possible answers and the 100 VaR limit isn't as simple. I tried to calculate it as follows (recklessly adapting the...
  8. JDGutzmann

    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Hello, firstly, I found the exam to be fair both in terms of time to be used and difficulty of the questions, although there were again many "most appropriate" / "best practice"-questions. I find these highly irritating. :mad::confused: Here are a few thoughts on what has been mentioned above...
  9. JDGutzmann

    Exam Feedback FRM Part 1 (November 2014) Exam Feedback

    Big thanks to Bionicturtle, only used the material provided here. Especially big thanks to all the help from the forum. Looking forward to P2 in May!
  10. JDGutzmann

    Exam Feedback FRM Part 1 (November 2014) Exam Feedback

    Thanks! Passed! (1,1,1,1)
  11. JDGutzmann

    Exam Feedback FRM Part 1 (November 2014) Exam Feedback

    Congratulations! Did you receive an email or did they publish the results somewhere? Thanks.
  12. JDGutzmann

    Hybrid ARM (adjustable-rate mortgages)

    Oh, that was easy. Guess I should've thought of it myself. Thank you! :-)
  13. JDGutzmann

    Hybrid ARM (adjustable-rate mortgages)

    Hello, I couldn't find a comprehensive thread on this topic yet so I am simply starting a new one. At the moment there is only one thing unclear to me: What do the fractions "2/28" and "3/27" stand for? Thanks in advance, Johannes
  14. JDGutzmann

    Characteristics desirable for VaR estimates

    Hello, this may only be a minor issue, but I am having trouble "seeing" the observed bias in table 1 in the notes. (AIM: Summarize the study results using the various VaR measurement approaches.). Does this "observed bias" mean that the dispersion is seemingly greater at 1% than at 5%? Thanks in...
  15. JDGutzmann

    Volatility effect on bond yields (Tuckman, Chapter 8)

    Thank you, that made the implications of using BP shift clearer to me. However, I still don't understand why we are using an absolute measure of volatility (+/- Basis Points) instead of a relative one (+/- percent), like in any other application of standard deviates. Why is the variation of...
Top