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Exam Feedback FRM Part 2 (May 2014) Exam Feedback

And another question that I think has not been discussed: the one were a CLO structure was provided, including the width of each tranche, the coupon they each would receive and the defaults that it occurred during the life of the structure. The following options were presented:

The equity tranche looses all its value and the others none
The equity tranche looses all its value and the mezzanine some
The equity tranche looses some value and the mezzaniene looses some value
¿?

Going through the cashflows I got that the equity would be completely wiped out and that the others would not suffer any loss (interest+notional)
 

Alex_1

Active Member
Hi, I remember that for this question I took the option where the equity tranche lost all its value, but also that the mezzanine tranche lost a part of its value as there was a remaining cash flow to be paid on top of the cash flow from the equity tranche...But reading your comment, I am not sure if I haven't misinterpreted the question...:(
 
And another question that I think has not been discussed: the one were a CLO structure was provided, including the width of each tranche, the coupon they each would receive and the defaults that it occurred during the life of the structure. The following options were presented:

The equity tranche looses all its value and the others none
The equity tranche looses all its value and the mezzanine some
The equity tranche looses some value and the mezzaniene looses some value
¿?

Going through the cashflows I got that the equity would be completely wiped out and that the others would not suffer any loss (interest+notional)
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 tranche losing all the value (I think it was 5 mm) and the mezzanine some.
 
As it was the case for the other 79 questions, I have no idea if my answer was correct, but I did do the numbers (three times), and I got that the amount received from the underlying loans, when taking into account defaults and recoveries, was exactly (to the dollar) the same as the scheduled pincipal + interests of both the senior and mezzanine tranches. Hence, I chose the "equity looses all of its value but the others do not suffer any loss".
 
As it was the case for the other 79 questions, I have no idea if my answer was correct, but I did do the numbers (three times), and I got that the amount received from the underlying loans, when taking into account defaults and recoveries, was exactly (to the dollar) the same as the scheduled pincipal + interests of both the senior and mezzanine tranches. Hence, I chose the "equity looses all of its value but the others do not suffer any loss".
i think this one is simply equity loses all and others are left unimpaired. I still remember the numbers it was 76.54 million and they added up exactly to amount to be paid to mezzanine and senior :)
 
Hi, I remember that for this question I took the option where the equity tranche lost all its value, but also that the mezzanine tranche lost a part of its value as there was a remaining cash flow to be paid on top of the cash flow from the equity tranche...But reading your comment, I am not sure if I haven't misinterpreted the question...:(
I had also selected the same option.But was a guess more than being sure.I just hope ur correct on dis 1 as was the case in predatory lending question..;)
 
i think this one is simply equity loses all and others are left unimpaired. I still remember the numbers it was 76.54 million and they added up exactly to amount to be paid to mezzanine and senior :)
looks like i have a lot more studying to do come november ... reading this thread has been hilarious given all the different interpretations ...
 
One can consider that ES is the conditional average of tail VaRs, and we could say that 95 ES can be approximated by a 97,5 VaR (in this case we take the median as average). In any case, this is just an approximation (but this word was indeed in the answer). What I can't really understand is why you would consider a 99% VaR as an approximation of 95 ES when no actual distribution or historical losses were provided.
Perhaps I'm thinking of a different question from the exam. But there was on on ES where a list of 10 or percentage losses were provided. From that list, I calculated the 95% ES with the bottom five losses. Since they were percentage losses, I summed them and divided the sum by 4 (5-1). The result equated the 99% VaR (second worst lost from the list).

Do you recall the question? Did you have a different answer? Did I get it wrong?
 
Hi, I remember that for this question I took the option where the equity tranche lost all its value, but also that the mezzanine tranche lost a part of its value as there was a remaining cash flow to be paid on top of the cash flow from the equity tranche...But reading your comment, I am not sure if I haven't misinterpreted the question...:(
i went with this option too
 
Perhaps I'm thinking of a different question from the exam. But there was on on ES where a list of 10 or percentage losses were provided. From that list, I calculated the 95% ES with the bottom five losses. Since they were percentage losses, I summed them and divided the sum by 4 (5-1). The result equated the 99% VaR (second worst lost from the list).

Do you recall the question? Did you have a different answer? Did I get it wrong?
In that case, indeed we were referring to a different questions. And if you are right, I misread the question yoi were referring to, because in the one were they provided 10 returns, and then said that 10 days had gone by blablabla, I thought they were asking for 95 Historical VaR, not ES.

@chouchouc , I did receive that email. Get in contact with GARP just in case, or try registering for the Nov exam and see if they let you (if they don't that means they are aware that you took the exam)
 
In that case, indeed we were referring to a different questions. And if you are right, I misread the question yoi were referring to, because in the one were they provided 10 returns, and then said that 10 days had gone by blablabla, I thought they were asking for 95 Historical VaR, not ES.

@chouchouc , I did receive that email. Get in contact with GARP just in case, or try registering for the Nov exam and see if they let you (if they don't that means they are aware that you took the exam)
thanks, i am able to go up to the payment page...i hope it is nothing more than a glitch of the system...
 
thanks, i am able to go up to the payment page...i hope it is nothing more than a glitch of the system...
I have just checked, I too can go up to the payment page, although I did receive the message. In any case, and just to be on the safe side, if I were you I would get in touch with GARP.

Regards
 
thanks, i am able to go up to the payment page...i hope it is nothing more than a glitch of the system...
Just wrote on the GARP email and facebook page and read other posts. It just confirmed what i have heard from a colleague in Mumbai. Apparently, dozens of Indian people around the globe have been denied the admission to the exam room on Saturday because they were presenting their PAN card which was accepted before but not anymore. Garp defense is that an email was sent to say that this document wont grant access but apparently no one has ever seen this email....
 
asdf so the results were out since yesterday and i had no idea! i just read your post in the email notification and couldnt believe my eyes until i scrolled down and saw the GARP email!!

i'm pleased to say that i passed. my quartile results were pretty surprising but i cant be bothered about them now! i got 4-3-1-1-1

Good luck for the rest
 

Pflik

Active Member
asdf so the results were out since yesterday and i had no idea! i just read your post in the email notification and couldnt believe my eyes until i scrolled down and saw the GARP email!!

i'm pleased to say that i passed. my quartile results were pretty surprising but i cant be bothered about them now! i got 4-3-1-1-1

Good luck for the rest
huh! how did you pas with that :) the 5th percentile scores must have been very low. But i'm very glad for you! (i passed with similar results but first quartile in credit and market risk)
 
huh! how did you pas with that :) the 5th percentile scores must have been very low. But i'm very glad for you! (i passed with similar results but first quartile in credit and market risk)
5th percentile? what do u mean by this?

i've seen a lot of people that passed level II while having a 4th quartile somewhere in their results
 
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