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    Impact of Default Correlations on EL

    Most likely you will be tested on EL for a single credit and not a portfolio of credits.
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    Prepayment Risk

    Your point 3 is very difficult to quantify, because it is very idiosyncratic. The prepayment can either be due to market factors like interest rates or life events such as job relocation, I am not even sure if banks record this kind of data.
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    May 2017 Part 2 Exam Feedback

    If you majored in finance for undergrad or b-school then L1 is basically a review of most of those concepts. But there is also a lot of accounting
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    May 2017 Part 2 Exam Feedback

    I decided to take a cycle off to play golf and enjoy the beach, but plenty of people have done May and Nov back to back. There is still time now, but you should really decide within the next week or so.
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    May 2017 Part 2 Exam Feedback

    Thanks! Huge thank you to @David Harper CFA FRM , @brian.field , @QuantMan2318 and others who continue to support the forum
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    May 2017 Part 2 Exam Feedback

    Passed 2,1,1,1,1 :)
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    May 2017 Part 2 Exam Feedback

    Dude I think you are freaking out
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    Win prizes for forum participation!!

    Hi Nicole, I will take the Amazon gift card. Thank you!
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    GARP.FRM.PQ.P2 Vasicek Model Question

    Ah I see. I thought the months were T=1. Not sure if I was supposed to do that for the exam....
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    GARP.FRM.PQ.P2 Vasicek Model Question

    I tried to use this formula but couldn't get the answer
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    May 2017 Part 2 Exam Feedback

    Interesting, I did not read the question the same way. My thought process was that the depositor may have been lured by higher rates from competitors, but chose to stay at the same bank, so these deposits were pretty "sticky." Hence, when rates rose these deposits were unaffected. Given the...
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    May 2017 Part 2 Exam Feedback

    I am not saying you are wrong, since I really don't know what the text says (can't find reference). But I jsut made this quick and dirty chart with DFs: Maybe I am wrong, who knows
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    May 2017 Part 2 Exam Feedback

    I thought that too. But I chose the downward sloping line. Is it not a linear relationship?
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    May 2017 Part 2 Exam Feedback

    Does anyone have a GARP reference to the CVA graph or the narrative that supports it? I really don't remember reading about the relationship between CVA and fed funds rate.
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    May 2017 Part 2 Exam Feedback

    50% is roughly the historical pass rate. It doesn't have to be that, could be higher or lower. What I'm trying to say is, if you want to go with a historical simulation method, then 50% is your starting point which is what I assumed the other fellow did. This differs from your assumption of...
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    May 2017 Part 2 Exam Feedback

    Maybe I did as well. I know the material but the time pressure and wording of questions messes with your head
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    May 2017 Part 2 Exam Feedback

    I think you fell for the same trap I did. The regression coefficient was -.37 something, and is the negative of mean reversion rate. So the autocorrelation is .63 or 1-.37. Unless the question was asking for mean reversion rate? I really don't remember at this point
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    May 2017 Part 2 Exam Feedback

    Well I think 40 is 50% correct, yes? Based on passage rates of around 50%, and assuming a normal distribution of scores, the cutoff should be about half. But then again, we do not know the underlying distribution, maybe it is highly skewed to the right? Who knows
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    May 2017 Part 2 Exam Feedback

    I thought the question said there was a shift from deposits to wholesale funding, but I could be wrong
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    May 2017 Part 2 Exam Feedback

    How do you know what the cutoff is? The only thing that is published is pass % rates
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