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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    I choose the same answer, interest rates are stochastic not deterministic. (Hull-White, Black-Karasinski, Ho-Lee....)
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    Are you sure about this? The method to calculate the CVA/DVA from the quoted market CDS spread is the same
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    The answer its CVA as the question was about the counterparty default risk, not its own default risk. There was other question about payment netting vs closeout netting. And other one on CVA as settlement risk vs pre-settlement risk
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    And another example when the structure ends:
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    From Schwesser notes:
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    No. The real thing is that the equity / overcollateralized account can be structured on many different ways (The structuring agent can make it the way he wants) So the question again is useless in my opinion.
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    Im not pretty sure but i think only the equity tranche gets full paid when the structure ends (last period). At other period, the cash flows goes first to the OC and then the equity gets the remaining cash. I marked the wrong option and realized when i was getting home.
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    ¿Can someone remember the question about the rogue trading of Societe Generale? And another one asking about situations of a well-conducted stress test.
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    There is a table in the swechesser where is explained: If volatility raise: Equity increase Senior Debt decrease Subordinated Debt increase / decrease depends on the firm value.
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    I marked serial correlation, kristoffersen test measures the bunching of exceptions when backtesting. I think the ES answer was tricky.
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    Exam Feedback November 2015 Part 2 FRM Exam Feedback

    Some questions -A floating rate note with 4 periods of time, ¿what was the period with highest exposure? -Credit Link Note, Total Return Swap, ¿What is the safest to the protection buyer? -ARAROC and systemic risk -OIS vs LIBOR discounting -CDO for a car bussines -VaR if correlation among...
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    The answer was exact, 49,500 if im not mistaken. Option b) on my exam
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    Exam Feedback FRM Part 2 (May 2015) Exam Feedback

    Third Pillar is about market transparency and disclosure, the question was about the third line of defense (Audit) ------------------------------------------------------------------------------------ Can someone help me with this questions? -Threshold 10,000 Minimun transfer amount 2,500 and...
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