What's new

May 2016 Part 2 Exam Feedback

Nicole Seaman

Chief Admin Officer
Staff member
Subscriber
Thread starter #1
We hope that everyone did well on the exam! We would love to hear any feedback that you have. How did it go? Did you encounter unexpected questions? Thank you in advance for any feedback you can provide!

 

Tipo

Member
Subscriber
#3
There was one abt cyber security..What steps to take or something..Didnt read the paper so i just randomly guessed something..Think i put C

There was another about the london whale in 2012.. I didnt read that either (not sure if its part of current issues topic) but i choose the illiquidity option cause the rest felt weird

One on CCP as well..disadvantage of joining

Paper was hard as expected. Hope i pass...dont wanna have to sit for it again
Kinda surprised the paper was held together with the ERP exams

Results release in 1 months time?
 
Last edited:
#4
There was one abt cyber security..What steps to take or something..Didnt read the paper so i just randomly guessed something..Think i put C

There was another about the london whale in 2012.. I didnt read that either (not sure if its part of current issues topic) but i choose the illiquidity option cause the rest felt weird

One on CCP as well..disadvantage of joining

Paper was hard as expected. Hope i pass...dont wanna have to sit for it again
Kinda surprised the paper was held together with the ERP exams

Results release in 1 months time?
There was something on implied credit VAR which I was not aware of. Any idea ?
 

M.A.

New Member
Subscriber
#5
There was one abt cyber security..What steps to take or something..Didnt read the paper so i just randomly guessed something..Think i put C

There was another about the london whale in 2012.. I didnt read that either (not sure if its part of current issues topic) but i choose the illiquidity option cause the rest felt weird

One on CCP as well..disadvantage of joining

Paper was hard as expected. Hope i pass...dont wanna have to sit for it again
Kinda surprised the paper was held together with the ERP exams

Results release in 1 months time?
London whale i answered manager was overriding risk controls might be a)
Cyper security i choose first they should recognise the threats such as emplyee...

Implied var i choose an answer that is 400 - the 188 or 283 something being the realizrd amount toward the less EL ( might be that i start to forget

Their is a question with chart i choose the thin tails for both

Another about delta for call and put i choise increase the delta for call and reduce the ekta for put

Another about the rating with KMV i could not reach the DD ( assets 20 /short liablity 7 long 7 std .28% eventhough i thought it was direct, i do not know how then i guesd the answer C being close to the one than i wss getting

Another about the addition of asset to maintain the TE at 3 and IR .75 i choose the 166m i dont know why and how

2 or 3 questions about marginal var easy ones

One i answered componenet var i foreget ghe question Lol

The serial quesrions i think was long and time waisting i do not remeber anything about them

Another about the spread any one rememr the question or what was the answers/choices

Another talking about payments of reserve funds if the CCP i choose 50

Another about order of payments euity sub ordinated then senior is it or the vis versa? i start to doubt the question while weiting now

I will keep remebering and posting. Good luck all.
 
Last edited:
#6
Here is my feedback that might help

Exam was quantitative + qualitative. There are a lot of questions to use calculator for
There was 3 long stories with few questions attached to each story. Total of 14 questions as I remember but not sure. 1st story started from Q64
VaR was tested heavily from all aspect.

Exam was very tricky and nothing is straight forward.
 
#7
Hello,

Here is my feedback:
- Too many numerical, and quite a few lengthy ones. Epecially MVars and Comp Vars. The numbers were too huge to calculate on the calculator.
- the QQ plot question was repeated from the GARP practice paper, with thick tails.
- 3 case studies. with theoretical questions.
- 2 CVA related calculations.
- 1 CDS spread calculation question
- One netting and without netting calculation. But I could not get a matching choice for the netting , because my answer was not available in the choices.
- 1 question on joint probability of default. Not a direct one though. They had provided the individual probabiities of default for 3 different Bonds. and than provided the correlation matrix for the 3 bonds. And the choices were around checking which pair had the maximum default probability. Tricky part, oneof the hoice was A defaults and B does not default. Now that is new.
- Cr Var using IRB approach. They had provided the Cr Var, PD and all other inputs and expected us to calculate WCDR I believe
- One question on KMV, which was pretty easy but tricky to understand, They gave all the data required to calculate the Distance to Default and than expected you to map the credit rating from a mapping table for PD ranges and their respective credit ratings
- Lot many answers for me were either C or D options.
- Many questions had too many variable provided int he question, than actually required for solving the numerical. And often using a set of variable will give you different results. And the tricky part is, each of those wrong workouts will show up one of the figures available in the answer choices
- I could not complete last 7 questions, as I ran out of time. I was able to complete the GARP practice exam within 3 hours and scored 65% on it. But here there wasnt sufficient time available. And in my paper all the numerical were mostly in the initial questions, and the theoretical ones were clubbed at the back. So I fel bad to have missed out 7 theoretical questions. This might decide the result of my exam. When the bell rang for last 15 minutes, I marked A for all the last 10 questions (to be consistent with law of averages, because all my answers were C or D. And me being oversmart might actually work against me. Fingers crossed). After marking the 10 questions as A, i was able to work out 3 of those questions, whcih I revised in the answer sheet. And hence a total of 7 were missed out.

More questions, I will think of and post.

Cheers !
Sriniwas
 

M.A.

New Member
Subscriber
#8
The QQ plot was it thik or thin tails ...i choose thin, i saw on shweser if not mistaken.

How did you calculate the DD for the KMV question (20-10)/.28x20=1.78 which was among the answers provided . Where did i go wrong??? Initially i thought it is straight forward
 
Last edited:

KATIESHAO

New Member
Subscriber
#9
QQ plot should be thick tail for both sides because it was steeper than the original line at both sides. I think the exam was much harder than the BT mock exam and GARP practice exam. I guessed 12 questions (all C!) the most disappointed thing is I even don't know how to revise again if I need to resit the exam. The questions are so tricky.
 
#10
Hi all,
Much much harder than i thought!

Much harder than garp, bt and schweser mocks!

A lot of thing i have never seen in the material. Hope for a 60% if i correcly chose some of the questions which left me 2 options (50/50).
 

Tipo

Member
Subscriber
#11
Hello,

Here is my feedback:
- Too many numerical, and quite a few lengthy ones. Epecially MVars and Comp Vars. The numbers were too huge to calculate on the calculator.
- the QQ plot question was repeated from the GARP practice paper, with thick tails.
- 3 case studies. with theoretical questions.
- 2 CVA related calculations.
- 1 CDS spread calculation question
- One netting and without netting calculation. But I could not get a matching choice for the netting , because my answer was not available in the choices.
- 1 question on joint probability of default. Not a direct one though. They had provided the individual probabiities of default for 3 different Bonds. and than provided the correlation matrix for the 3 bonds. And the choices were around checking which pair had the maximum default probability. Tricky part, oneof the hoice was A defaults and B does not default. Now that is new.
- Cr Var using IRB approach. They had provided the Cr Var, PD and all other inputs and expected us to calculate WCDR I believe
- One question on KMV, which was pretty easy but tricky to understand, They gave all the data required to calculate the Distance to Default and than expected you to map the credit rating from a mapping table for PD ranges and their respective credit ratings
- Lot many answers for me were either C or D options.
- Many questions had too many variable provided int he question, than actually required for solving the numerical. And often using a set of variable will give you different results. And the tricky part is, each of those wrong workouts will show up one of the figures available in the answer choices
- I could not complete last 7 questions, as I ran out of time. I was able to complete the GARP practice exam within 3 hours and scored 65% on it. But here there wasnt sufficient time available. And in my paper all the numerical were mostly in the initial questions, and the theoretical ones were clubbed at the back. So I fel bad to have missed out 7 theoretical questions. This might decide the result of my exam. When the bell rang for last 15 minutes, I marked A for all the last 10 questions (to be consistent with law of averages, because all my answers were C or D. And me being oversmart might actually work against me. Fingers crossed). After marking the 10 questions as A, i was able to work out 3 of those questions, whcih I revised in the answer sheet. And hence a total of 7 were missed out.

More questions, I will think of and post.

Cheers !
Sriniwas

The QQ plot is different from the GARP practise. The practise one doesnt curve back in i think..Either way i chose fat tails
Had no idea how to do the CVA ones
CDS spread was solvable..Think C
Netting was simple..add all the (+) for one then factor in the (-) for the other
There was one on wrong way risk (Choose wrong way for both)
I got 3.24 for the moody KMV, think thats C
No idea about the WCDR..
There was one on implied VAR.. i just chose the UL since i had no idea.. Par-EL-quantile
Managed to count all the M/C Vars on my calculator.
My delta one was the same as the guy above
I chose negative binomial for frequency and log normal for severity
 
#13
The QQ plot was it thik or thin tails ...i choose thin, i saw on shweser if not mistaken.

How did you calculate the DD for the KMV question (20-10)/.28x20=1.78 which was among the answers provided . Where did i go wrong??? Initially i thought it is straight forward
I calculated DD=(log(V/threshold)+(mu-sigma*sigma/2)*t)/sigma*sqrt(t)
 

Mkaim

Well-Known Member
Subscriber
#14
* They loved CDS - One should know everything related to them. In particular about PD and Spreads
* Several questions on VaRs (Calculation heavy)
* Felt like half the test was on CVA
* QQ Plot - The endpoints didn't deviate from the line but there were bulge in the endpoints in the same direction as the GARP question. I chose fat tails.
* The credit risk book should be weighted 50%.
 
Last edited:

brian.field

Well-Known Member
Subscriber
#16
That QQ plot was poorly presented. It appeared to "steepen" which would imply fat tails but there were a few points close to the 45 degree line that contradicted fat tails. I chose fat tails.
 

Mkaim

Well-Known Member
Subscriber
#17
* They loved CDS - One should know everything related to them. In particular about PD and Spreads
* Several questions on VaRs (Calculation heavy)
* Felt like half the test was on CVA
* QQ Plot - The endpoints didn't deviate from the line but there were bulge in the endpoints in the same direction as the GARP question. I chose fat tails.
* The credit risk book should be weighted 50%.
 
#18
1) Half life of Vasicek - does not depend on the original distance
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) Raroc - 12% (subtract loan loss reserve)
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity: I chose "account for positive serial correlation by aggregating data"

I'm not 100% sure on the answers. Will add more later.
 
#19
Some questions:
1. Market risk charge using stress VAR

2. Change in CVA given the 3 years of pd, EAD, LGD values

3. CVA where discount factor LIBOR was regressed against another factor

4. London whale: what happened

5. Cyber security, what should be first step of CEO

6. Q-Q plot

7. Calculate DD using KMV model (long formula) and map to respective probability to default bucket.

8. Optimal allocation among managers using information ratio and TE and assign the left over to the index.

9. Expected shortfall using 96%-99% VAR value

10. One question on FRTB.

11. One question on netting factor calculation

12. One question on netting and other without netting.

13. Bond valuation using binomial tree

14. Wrong way risk for both options

15. Operational risk capital charge using basic indicator approach.

16. One where Frechet distribution was the answer

17. One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.

18. Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
 
#20
Questions I didn't get:
1) One where an option was increase in default affects senior more - probably got this wrong
2) Definition of step up
3) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior. Chose the latter
4) LIBOR 1 year forward calculation question

What were the answers for these?
 
Top