What's new

Good Luck for those taking the FRM exam in 2 days time!

Alex_1

Active Member
#4
Thanks for the info, I wasn't aware that we need this plastic bag for the personal belongings, my feeling is that some organizational parts of the FRM are "a bit" too strict (I am not allowed to have a sip of water or eat a small piece of chocolate for a "sugar shock" at my desk, seriously???).

Anyways I am going through my notes but slowly I am freaking out, I think I'll stop in a couple of minutes. So yes, good luck to everyone taking P1 and/or P2 tomorrow!!! And thanks again to you and your team, David, for the support in the last weeks/months!
 

Nicole Seaman

Chief Admin Officer
Staff member
Subscriber
#5
@Alex_1 You are very welcome for the support! Thank you for all of your help on the forums. You have been a great asset to the discussions and questions that have been posted!
 

Jo_

Member
Subscriber
#6
Thanks for the info, I wasn't aware that we need this plastic bag for the personal belongings, my feeling is that some organizational parts of the FRM are "a bit" too strict (I am not allowed to have a sip of water or eat a small piece of chocolate for a "sugar shock" at my desk, seriously???).
I strongly agree. On top of that, i can have a watch on my wrist, but i can't put it on my table? And, in theory, you can not even put your pencil sharper and your gum on your table?!
 

Pflik

Active Member
#7
ugh just out of the exam... Didn't go to well for my feeling. Couldn't even do a refinancing. Forgot to convert to monthly payment (so silly)
 
#8
@Pflik did you sit for Part I or Part II ?
A bit surprised no discussion/review/comments of today's exam is going on.

I sat for Part II and i left the exam room disappointed. I'm not saying that i will definitely fail but i am not too confident of succeeding. A huge part of the exam was qualitative and even the quantitative exercises we got were a bit unusual i guess. I had to sit down and a think about plenty of questions which is something i didnt do that much in Part I.
 

Pflik

Active Member
#10
I sat for part 2 myself and I felt exactly the same. just found out i had another question from. With the cross hedging... just makes my heart sink in lower and lower. I have little,hope I will make it... But lets see. Nothing I can change about it now.

part 1 I went through the exam with blazing speed, but with part 2 I really needed all the time.
 
Last edited:
#11
I sat part I today felt its a little bit hard and challenging but that is to be expected and I was able to finish all the questions. Around 10 of them I had to really do random guess (both quantitative and qualitative). But overall I felt that Bionic Turtle has really prepared me for this exam. Thanks David and Nicole !
 
#12
@Steve Jobs @Pflik which refinancing are you guys talking about?

there were a couple of questions that really pissed me!! the mortgage monthly payment being one. Stressed VaR as well and the Var of the Options and forwards. There was one more that i can't remember.
 
#14
I sat for Part 2 today. Relative to the GARP practice tests, it seemed harder, though generally the hard-hit subjects were the usual suspects (i.e. Var, Var, and more Var). Only one or two questions seemed directly lifted from past practice tests. A couple of misc. surprises I remember included trade compression and quadratic programming vs. other portfolio optimization techniques. A bit more on current events than I expected. I'm curious what the registration numbers were, as my test center was a tiny fraction of the size of where I sat for Part 1 last November, and even so the room was still only about half full. I found time management much easier than for Part 1, perhaps due to the less calculation-intensive nature of the test (or perhaps due to the fewer questions). I hope everyone did well.
 
Last edited:
#15
For some of the questions, it was impossible to get the exact answer, also when GARP says what will be the closest value of so and so, really difficult to get the correct one.
1. The change in monthly payment of MBS to be calculated for a 5mn mortgage, LTV is 80%, initially it is interest only with 2.75%, during that period the mortgage value changes to 4mn (LTV is 80%) and it is refinanced. It becomes a 15yr, 4.5% mortgage.
2. In backtesting there are 8 exceptions in a 99% VAR model, if we use 99% confidence level, can we reject the model.
3. Pool of 15 assets with no correlation, total value is 1mn. Default probability is 5%, what is the nearest 95% VAR if recovery is 0.
 
#16
In which of the below the assets remain on the balance sheet of the institution
- CMO
- CLO
- MBS
- Covered Bond

Answer is covered bond

Which of the below has minimum counterparty credit risk
- Equity CDS
- Total Return Swaps
- Credit Linked Note

Answer is credit linked note

For stress scenario analysis which of the below is true
- Should use reg stress scenarios so that institution is reg compliant
- Should use third party scenarios so that there is no bias
- Should use scenarios to the model and apply expert judgementon

There was one more, I marked the third one

Instituion is a CDS seller, valuation is done using the bid price to be more conservative. As bid-ask spread increaeses CRO asks to start pricing using midpoint of bid ask spread. How will it affect...
- There will be a bump in the gain when the pricing is changed
- The institution will be required to post more collateral


Delta on asian option, 1yr call option, current asset price ..., strike was $10 lower, annual vol is 10%, there are 5 days remaining in maturity, what will be the delta.
-0.5
0
0.3
1.0

Since asian option is close to maturity, delta should be 0
 
#17
1. Portfolio of 100mn has volatility 30%, how much should we short an asset with volatility 20%.

2. A 2yr zero coupon bond is priced at 952.48, risk free rate is 1%. The price can be 970 or 950 after 1yr depending on how interest rate change. Use risk neutral probability of interest rate move, what will be the current value of 1yr European call option on this bond if strike is 960.
 
#18
2. A 2yr zero coupon bond is priced at 952.48, risk free rate is 1%. The price can be 970 or 950 after 1yr depending on how interest rate change. Use risk neutral probability of interest rate move, what will be the current value of 1yr European call option on this bond if strike is 960.

How did u solve this Abhinav? this is one of the questions that pissed me off.

Instituion is a CDS seller, valuation is done using the bid price to be more conservative. As bid-ask spread increaeses CRO asks to start pricing using midpoint of bid ask spread. How will it affect...
- There will be a bump in the gain when the pricing is changed
- The institution will be required to post more collateral

i chose the second one (post more collateral) is that correct?
 
#20
1. Portfolio of 100mn has volatility 30%, how much should we short an asset with volatility 20%.

2. A 2yr zero coupon bond is priced at 952.48, risk free rate is 1%. The price can be 970 or 950 after 1yr depending on how interest rate change. Use risk neutral probability of interest rate move, what will be the current value of 1yr European call option on this bond if strike is 960.
1. 20% / 30% * 0.6 (Correlation)*100 (Position) = 90 Something.

2. 952.48 = p*970 + (1-p)*950 ---->> p = 0.6002 -----> Call option = (970-960)/(1+0.01) *p = 5.94 Something
 
Top