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  1. J

    RESULTS ARE OUT!

    Passed part II too! Congratulations to all who passed and for those who do not, cheer up! You have already done most of the work for November exam! Regarding feedback for the BT Team, I wanted to thank @David Harper CFA FRM CIPM and the rest of the BT Team for the assistance on our queries...
  2. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    I was a bit confused on this one as well, they were giving you libor, spreads, notionals, but I think they also said that after defaults, interest payments etc., you had 6 million and a bit, so I did not perform any calculation (perhaps erroneously...so I select the option with the equity...
  3. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    yes, i think it was spread 0.80 on a 20 stock, so 4%, and then 50.000 shares portfolio they asked for the log normal var (but there was no answer available if you calculated using normal). I think I got something like 16316 plus half of the 4% spread, so around 36316, same as you I believe
  4. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Hi guys, the daily quiz...:), do you remember the question asking for the 2 year HS Var where you had only 1 year of returns? I remember 3 options in relation to getting the missing data: 1. getting the returns from one of the CDS index: perhaps 2. getting the 1 year HS Var and multiply for...
  5. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Finishing with the basel questions, the one with countercyclical buffer? did you pick up the last option? the one with 9.5% tier 1 I think
  6. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Yes, I agree with the ES 95% is approx equal to VaR 97.5% although after the exam I though that perhaps there were no decimal vars in the HS so it was not that simple, anyway I decided for the 97.5% The var after 10 days, I think you got rid of 3 returns and one return with 90 days became 100...
  7. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Hi @Johson, I think it was spot 90 and then you had long 80 calls (multilpier 1) with strike 70, another x number of long calls with strike 110 and then 80 long forward 1 month, var 99 and daily vol 0.0157% I am not positive about the solution...my thoughts: long calls in the money, they have...
  8. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Hi, the way I see it...The independent amount is normally quite large, much larger that minimun transfer and tresholds. For example, I have seen 6% for 1-month eur/usd OTC forwards, 10% for 3-months fowards. If the MTM is against you, you do not have to post more collateral so often, simply...
  9. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    I spent a little while on this one, as in theory, HWM is a benefit for the investors but if the fund net asset value is too far from the HWM the manager may take risky bets trying to be over the HWM and charge performance fee again. However the high incentive fees (I remember they noted...
  10. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    sorry, short credit buying the CDS and also short selling the sovereing...I think you are right guys
  11. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    yes, it is not that straightforward...I found what you said about hindering in the reading "Bans on short selling in equity markets are generally viewed as merely reducing market liquidity, hindering price discovery, and increasing price volatility (Beber and Pagano, 2013)" but it seems it is...
  12. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Hi guys, Few other questions I remember: 1. the right way risk...buying oil from a large oil producers - the hedge fund questions: 2. beta+ 0.2 / beta- 1.2 = I went for the asymmetrical option and not for the phase locking event 3. another one with asymmetrical where you have HWM, high...
  13. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    guys, delta Asian option 5 days before expiring, 0, isn't it? and increase in default correlation means increase of unexpected loss?
  14. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Re portf construction it was asset a corr 0.9 with portfolio and vol 0.25 and return 0.25 and asset b corr 0.4 with vol 0.3 and return 0.2... I went for asset b ,less correlation with portfolio and answer asset b as treynor ratio is higher as the other was beta higher
  15. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    I also choose dropping oil prices plus local ccy appreciated as they heavily relied on the exports so this would stress their revenue
  16. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    For the backtesting i did, 0.99*252 + z * sqrt 0.99*0.01*252 = 8 and i got z 3.47 I hope i did not forget something again!
  17. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    forgot de EL! thanks
  18. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    Hi, on the prob of default for two years, giving spread 325 bps and lgd 0.4, did you get 15%? 0.0325/0,4= 0.08125 so 1 - e exp -0.08125 * 2= 0.149984
  19. J

    Exam Feedback FRM Part 2 (May 2014) Exam Feedback

    hi Abhinav, I solved the 95 cvar as follows, 1mm portfolio, 15 bonds, 5 pd, 0 RR: Prob 0 defaults 0,95exp 15 = 0.463 Prob 1 default 15 * 0.95 exp 14 * 0.05 exp 1= 0.37 Prob 2 defaults 15*14/2*1 * 0.95 exp 13 * 0.05 exp 2 = 0.13 So to reach the 95 cvar we need 2 defaults, 100000/15 * 2= 133,333...
  20. J

    MF Global's accounting practices for its European RTM positions

    Hi, Note sure if they bought the bond at a future price...I quickly read this morning and what I understood is that they did buy the peripheral countries (plus Belgium) European bonds spot (although levered purchases through margin). In order to avoid mark to market pricing, which causes...
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