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(1) On selecting the manager with the best performance, options were alpha, mogdiliani, information ratio. etc

I choose " Mogdiliani " . Anyone ? many of my friends choose " IR "

(2)**Answer = "declaring cash dividend will reduce Tier 1 capital"** ( what about the other choices for this question? cannot remember clearly what the questions is..)

(3) New CDO, assesses data quality, which is the biggest issue? -> Answer = different business units have different formats of risk data (option D)

**I think I select something like " build a centralized data warehouse to store data ?" anyone with the same answer ?**

(4) Regresssion hedge - obtain beta value from the table ->**Answer : I pick " 711" but I think I'm wrong. the correct answer should be 677 ?**

(5) Collateral – threshold, remargin period etc -> Answer = high threshold ( what's the question about ? anyone remember whats the other answers for this question? )

Thank you.

I choose " Mogdiliani " . Anyone ? many of my friends choose " IR "

(2)

(3) New CDO, assesses data quality, which is the biggest issue? -> Answer = different business units have different formats of risk data (option D)

(4) Regresssion hedge - obtain beta value from the table ->

(5) Collateral – threshold, remargin period etc -> Answer = high threshold ( what's the question about ? anyone remember whats the other answers for this question? )

Thank you.

For sharp ratio optimization I selected do nothing, as return/sigma was the highest already;

For #5 I vaguely recall selecting something about threshold as well

I was getting two answers - one using 10 values and one using 9 values.

Can anyone tell me which one is correct?

But this question has appeared exactly the same in the GARP samples and the answer was 10.0% there?

I honestly thought this was a free and easy mark...

Memory is hazy now....but wasn’t the question worded EXACTLY as above? Or was it worded differently?

I honestly thought this was a free and easy mark...

Memory is hazy now....but wasn’t the question worded EXACTLY as above? Or was it worded differently?

A. PD in Year 1 = 1-e^(-0.12) = 11.30%

B. Cumulative PD in Year 2 = 1-e^(-2x0.12) = 21.33%

Hence, PD in Year 2 = A - B = 21.33 - 11.30 = 10.03%

Now, Conditional PD = 10.03/.887 = 11.3%

This is the answer for all years.

I also chose IR for selecting the best manager;

For sharp ratio optimization I selected do nothing, as return/sigma was the highest already;

For #5 I vaguely recall selecting something about threshold as well

For sharp ratio optimization I selected do nothing, as return/sigma was the highest already;

For #5 I vaguely recall selecting something about threshold as well

I chose Treynor ratio for selecting best manager, because the question mentioned that it was a well diversified portfolio. This means that unsystematic risk should not be considered for selecting best manager, which left us only the Treynor ratio as the answer.

I was getting two answers - one using 10 values and one using 9 values.

Can anyone tell me which one is correct?

There was also a question where they gave a table with the number of surviving companies over 3 or 4 years.

Then they asked to calculate the probability of default within Year 4 (or Year 3, I can’t recall the number of years shown in the table).

Was this a marginal PD or conditional PD?

Then they asked to calculate the probability of default within Year 4 (or Year 3, I can’t recall the number of years shown in the table).

Was this a marginal PD or conditional PD?

I was hard pressed for time when I got to this question. Just went with my intuition, PD = number of defaults in year 4/ number of companies surviving at the end of year 3

@David Harper CFA FRM if a question doesn't specify and merely asks "calculate the probability of default in the 4th year", which do we use - conditional or marginal?

That's precisely what I did, but it'd only be the correct answer if it was Conditional Probability of Default. If it was Marginal Probability of Default, then we'd need to take Probability Default in 4 years - Probability Default in 3 years.

@David Harper CFA FRM

if a question doesn't specify and merely asks "calculate the probability of default in the 4th year", which do we use - conditional or marginal?

@David Harper CFA FRM

if a question doesn't specify and merely asks "calculate the probability of default in the 4th year", which do we use - conditional or marginal?

Say there are 400 companies at time t=0 and the number of companies surviving at the end of each year is,

T=1 , surviving = 392

T=2 , surviving = 383

T=3 , surviving = 376

T=4 , surviving = 372

Then what is the default probability during year 4?

To add to @nikic, the numbers as I recall were similar to the following:

Say there are 400 companies at time t=0 and the number of companies surviving at the end of each year is,

T=1 , surviving = 392

T=2 , surviving = 383

T=3 , surviving = 376

T=4 , surviving = 372

Then what is the default probability during year 4?

Say there are 400 companies at time t=0 and the number of companies surviving at the end of each year is,

T=1 , surviving = 392

T=2 , surviving = 383

T=3 , surviving = 376

T=4 , surviving = 372

Then what is the default probability during year 4?

On the other point in your post, you say MPS would not exceed 50. Is this 50/80 questions or 50% (i.e. 40/80). If it’s the latter what makes you think the passing score is so low?

I spent probably between 140 and 180 hours on revision. But I’ve got Risk experience and familiarity with the ops risk component (such as the different loss categories and Basel 3) due to my work experience. Still I’m not sure if reading more would’ve helped as I’m not the memorising type. But I do think I paid too little attention on credit risk as it’s the one area I neither have personal interest nor working experience in. If I fail it’d be due to a 4 in credit risk, that I am sure of.

On the other point in your post, you say MPS would not exceed 50. Is this 50/80 questions or 50% (i.e. 40/80). If it’s the latter what makes you think the passing score is so low?

On the other point in your post, you say MPS would not exceed 50. Is this 50/80 questions or 50% (i.e. 40/80). If it’s the latter what makes you think the passing score is so low?

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