Dear
@siddharthmahanty
I did not participate exam, but please find bellow what I collected from previous comments, type of question and related comment I found in order to explain question more specific:
1. Calculating ES - "I too remember that loss values in were given in decreasing order, so I took mean of the 1 and 2nd values as they were above 99%-ile loss. The values were not returns I am sure about it."
2. Calculating Covariance
3. Understanding convertible and non callable bond - "I guess convertible bonds are beneficial for investors as it gives u an option on company shares."
4. Difference between ETF and Otc
5. Put call parity and hedging strategies
6. CAPM equation
7. Pricing a E call, 1 step binomial
8. Bsm model European put Nd1
9. Portfolio hedging strategy, reducing Beta
10. Garp code of conduct - "There was also a ethics question about confidentiality. I said you need consent before you can use confidential information"
11. Basel recommendation - "There was a question related to risk aggregation and reporting/ basel accord, was the answer something related to "different business lines of the company""
12. Risk governance - "There were so many risk governance questions on this exam so it was difficult to decipher exactly which question is which."
13. Aic/SIC/MSE and penalizing degrees of freedom
14. T statistic confidence interval
15. Computing the delta of a portfolio
16. Calculating IR and Sharpe Ratio
17. Interest rate swaps
18. Calculating currency swap
19. Foreign exchange exposure
20. Bayes theorem - "I recall there is one Bayes problem asking if a company is a star company given consecutively profit for 2 years. I have to square the probability (because it should be 2 years consecutive profit) to get the final answer."
21. Sortino ratio
22. Value of a future spot rate
23. Loss frequency / severity / Poisson / lognormal
24. Binomial probability, bond default
25. Calculating EL
26. Calculating UL
27. Calculating variance of probability
28. Calculating standard deviation & probability
29. VaR delta question
30. VaR number of excedence
31. Barings bank collateral
31. Wac and wam
32. M'schaft question
33. Portfolio insurance
34. Something about a ccp and its risk - wrong way risk or liquidity?
35. Erm question - can't remember specifics.
36.stress testing
37. risk data agregation
38. ERM - again , lot of ERM/Basel/Data Aggregation questions
39. calculate bond price
40.put delta
41.country risk - "2. Country risk - right answer must be countries which have more social security schemes have more chances of default."
42.seasonality
43.APT factor model
44.capm assumptions
45.hypothesysi testing
46.EWMA
47.GARCH - "GARCH(1,1), it was simply, omega/(1 - alpha - beta), very common test question"
48.long run average variance
49.Gaussian copula - "the marginal distribution of each variable is mapped to the standard normal distribution"
50.hedging futures beta
51.put call parity
52.arbitrage
53.Strategy: Bull/bear/covered/protective - "...determining if a strategy is a Bull or Bear spread (I suppose it was a Bear spread with a max of USD 15 and min of USD 2)"
54. credit rating
55.operational risk
56.Unexpected Loss
57.Unexpected Loss calculate LR
58. Trading & Banking book - "Regarding 3, I answered that the banking book is related to the loans, while the trading book is related to the assets and liabilities (I recall it was mentioned in the first reading "Banks" in FMP)."
59."Yes, we were given the expected annual return (mu) and volatility (sigma) of a stock, and asked to compute the mean return, with the assumption that the annual return is normally distributed.
I assumed the stock followed a lognormal process of BMS model, and used the formula :
mean return = mu - (1/2)*sigma^2"
60.duration based on hedging Dv01
61.insurance company question - "There was two answers , two on adverse selection and two on moral hazard. I choose adverse selection since the company dint have information on customers.the first solution was to charge everyone same premium which was wrong and i remember choosing the other option. Do anyone remember whats the solution to avoid this adverse selection issue?"
62.FRA
63.MBS
64.1st question was simple mean reversal value of b. b>1 must be right choice
65. cheapest to deliver
66."There is a question regarding the best derivative strategy to apply VaR approach. Any input?"
67."The Arithmetic Mean was given in the question with Standard deviation and it was asked to calculate Geometric Mean.......which is AM - SD^2/2........
Couldn’t recall the same in exam....:-("
Hope this will help you
Stay connected