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Exam Feedback FRM Part 2 (May 2015) Exam Feedback

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hamu4ok

Active Member
#1
Thread starter #1
The exam was fair in comparision with November 2014. Mostly qualitative questions. Only 5 problems required calculation. The thirst 3 or 4 questions required some hard thinking. The rest was done faster.
 
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hamu4ok

Active Member
#2
Thread starter #2
All the new reading authors were tested: Meissner - correlations; Ang - illiquid assets; Tuckman - Repos; Currents issues included: CCP; Cybersecurity framework; FVA; OIS; HFT
 
A

ami44

Active Member
Subscriber
#4
#4
In Frankfurt we had a clock and I think its very bad that some sites don't. I would be pissed too. Also the proctor specificially said, that we can write in the booklets as much as we want to, it just won't be graded.

I was surprised by the lack of calculations. Some of the topics that took a lot of room in the readings were barely mentioned e.g. Merton model. I have a general good feeling about my results, but there were so many questions that I was only partly sure about, that I can't be 100% confident.

There was a question about 12 PC for a equity long position and the consequence of replacing some of it with other stock. Did somebody solve that?
 
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Salonica

Member
#5
#5
I found the exam pretty hard. I agree with ami44 that a lot of the material was not mentioned such as the Merton model, no SAR, not much on securitization and not much on IR models from Tuckman. A lot of tricky qualitative questions with no clear cut answers. Full coverage (I think possibly 8 questions) on current issues (albeit these questions were not difficult). Out of 80 questions, I think I am sure on 45, was between 2 answers on 34 and 1 was a wild guess. Doesn't sound great, but not too bad either. I'll have to wait and see.
 
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hamu4ok

Active Member
#6
Thread starter #6
ami44 said:
In Frankfurt we had a clock and I think its very bad that some sites don't. I would be pissed too. Also the proctor specificially said, that we can write in the booklets as much as we want to, it just won't be graded.

I was surprised by the lack of calculations. Some of the topics that took a lot of room in the readings were barely mentioned e.g. Merton model. I have a general good feeling about my results, but there were so many questions that I was only partly sure about, that I can't be 100% confident.

There was a question about 12 PC for a equity long position and the consequence of replacing some of it with other stock. Did somebody solve that?
Click to expand...
among the answers
will decrease diversified var; decrease RAROC; decrease Sharpe Ratio; have 14 PC to account for 85% of variance
 
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Salonica

Member
#7
#7
I think the fact that watches weren't allowed and there was no clock in the room was not too frustrating as I felt there was plenty of time to go through the questions. I did have to go to the toilette after the first hour and although I lost 5-10 minutes there, it didn't harm. All that on the contrary to Part I, where the time was just enough for 100 questions and there was no time to waste whatsoever.
 
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hamu4ok

Active Member
#9
Thread starter #9
3 or 4 questions tested theories about different distrubutions and they were mostly easy to solve: Fretchet for ES; GPD for severenity of loses
 
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ami44

Active Member
Subscriber
#10
#10
hamu4ok said:
The first question was copied from GARP 2013 about QQ plot
Click to expand...
I think we all had a different numbering. But i came to the conclusion, that it was contrary to the old questions. I choose light tails as an answer and the old question if i remember correctly had heavy tails as an answer. I might be wrong though. What was your answer?
 
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hamu4ok

Active Member
#11
Thread starter #11
ami44 said:
I think we all had a different numbering. But i came to the conclusion, that it was contrary to the old questions. I choose light tails as an answer and the old question if i remember correctly had heavy tails as an answer. I might be wrong though. What was your answer?
Click to expand...
I chose heavy tails, but also hesitated between light or heavy.
 
A

ami44

Active Member
Subscriber
#13
#13
hamu4ok said:
among the answers
will decrease diversified var; decrease RAROC; decrease Sharpe Ratio; have 14 PC to account for 85% of variance
Click to expand...
Exactly that one. I choose the first, because i thought whatever decreaes the RAROC also decreases the sharpe ratio and why 14 PCs should be necessary and 13 wouldn't be enough, was not clear to me. But that was wild guessing.
 
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hamu4ok

Active Member
#14
Thread starter #14
the qestion related to risk neutral DP with lambda. 460 CDS premium and 40% recovery rate to find 2 year DP. dp=1-exp(-2*4,6%/60%)
 
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Salonica

Member
#15
#15
hamu4ok said:
the qestion related to risk neutral DP with lambda. 460 CDS premium and 40% recovery rate to find 2 year DP. dp=1-exp(-2*4,6%/60%)
Click to expand...
I believe your solution is correct. I think though that the the spread was 420 basis points, therefore hazard rate 0.07 and right answer is 13%. I think the rest of the answers were significantly smaller percentages (i.e. less than 8%). Can you remember? (As your answer gives 14.2%)
 
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hamu4ok

Active Member
#16
Thread starter #16
Salonica said:
I believe your solution is correct. I think though that the the spread was 420 basis points, therefore hazard rate 0.07 and right answer is 13%. I think the rest of the answers were significantly smaller percentages (i.e. less than 8%). Can you remember? (As your answer gives 14.2%)
Click to expand...
yes it was 420 and lambda = 7%
 
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Becky

New Member
Subscriber
#17
#17
Hi,
The exam was toooooooo theoretical for me with only 5 numerical questions! I was surprised!
I will probably take the exam in November so, any advice is welcome to be prepared that time! I completed the Schweser, 70% of the mock exam, average of 65% of Q bank and between 70 and 80% for the 2 mock exams from the book. I also had 16 right answers from the garp mock exam. I did all the drill topics from bionicturtle, but it was not enough because I did/do not master the concepts..
Good luck!
 
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Salonica

Member
#18
#18
Anybody on the PFE question?

a) Collaterilized cross currency swap
b) Collaterilized interest rate swap
c) Collaterilzed forward
d) Repo with haircut
 
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berimbolo

New Member
Subscriber
#20
#20
A few questions I am still not sure about.
- What did you guys have for the cds/correlation graph.
- And what about the long position on the correlation (call options?).
- There was a question about the 95% VaR of the CDO
- There was a question of BIA vs st. approach.
 
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