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Recent content by robin3301

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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    B: 43500 C: 49500
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    i also remember same varience
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Can you remember other options?
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    add two more 1. consultant recommendation on trading desk 2. cause of subprime mortgage
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    for first question, i choose market neutral
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    for depeg, i choose bank with CHF deposit & GBP loan will suffer as CHF depreciate
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I think lognormal will be more appropriate
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I dont think CVA can be perfectly hedged but I forget other choices
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    When you finish the spreadsheet, could you send it to me?
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    add one more A company can forecast the percentage of companies default but not the specific company. Which derivative they should buy
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I still remember two questions 1. the difference between discounted by CDS and risk free rate 2. why OIS rate is a better proxy for risk free rate
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    you choose A or B? It seems that both have fat tail on the left side than the one of lognormal and has a thinner tail but B has a fatter tail than A
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    btw do you remember one question about scoring model. Which can help during the process: SVM, merton, Area under the Curve or ROC?
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    I cannot remember the question clearly. What I remember is to find the smallest MVaR with treynor ratio >1. Maybe I overlook the question
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    1. Yes, one of the asset is unstable. so we have to applied discount on that asset ( shown on right column). and ratio is >1
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