- Thread starter Nicole Seaman
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Hello

I took the Exam in Amsterdam this Saturday.

I studied close to hundreds of hours and undertook the necessary expenses.

This was very enjoyable, if difficult. Certainly no guarantee of passing. But dedicated my best efforts - pretty muich like everyone else I suppose.

On the day, after stressing that I adhered to all the Garp rules - I pass through security and finally arrive at my desk. I was so afraid my phone would go off - even after checking it an imaginary 6 times that I did not even risk bringing it in the end and came with only my door keys, calculator and id.

I sit down to start the exam - and there was some expected noise from staff organizing boxes and papers. I anticipated this would calm down after some minutes so tried to settle into exam mode. 10 mins - 20min - 30mins - 40mins - the whispering goes on, is louder and even in a joint group. Like a Saturday night out.....

Two hours into the exam - I finally have the courage to raise my hand

The guy was plesant enough, said sorry and stopped. A short time later 4 exam attendants were sitting together whispering again. It was not a joke. 30 mins left with adrenaline running and you cannot concentrate..

I wanted to share my experience to see if anyone else had a similar experience. Or just get some feedback

To me, one central tennet of the FRM is about culture and behaviour and I find it hard to believe that Garp could support such behaviour

Thanks

Joya

I took the Exam in Amsterdam this Saturday.

I studied close to hundreds of hours and undertook the necessary expenses.

This was very enjoyable, if difficult. Certainly no guarantee of passing. But dedicated my best efforts - pretty muich like everyone else I suppose.

On the day, after stressing that I adhered to all the Garp rules - I pass through security and finally arrive at my desk. I was so afraid my phone would go off - even after checking it an imaginary 6 times that I did not even risk bringing it in the end and came with only my door keys, calculator and id.

I sit down to start the exam - and there was some expected noise from staff organizing boxes and papers. I anticipated this would calm down after some minutes so tried to settle into exam mode. 10 mins - 20min - 30mins - 40mins - the whispering goes on, is louder and even in a joint group. Like a Saturday night out.....

Two hours into the exam - I finally have the courage to raise my hand

The guy was plesant enough, said sorry and stopped. A short time later 4 exam attendants were sitting together whispering again. It was not a joke. 30 mins left with adrenaline running and you cannot concentrate..

I wanted to share my experience to see if anyone else had a similar experience. Or just get some feedback

To me, one central tennet of the FRM is about culture and behaviour and I find it hard to believe that Garp could support such behaviour

Thanks

Joya

Does anyone remember the answer of lognormal var question with 414 and 416 options?

The formula of lognormal VAR i.e P*[1 - exp(mu - z*sigma)] gave 387

The formula of normal VAR i.e P*[-mu + z*sigma] gave 416

The option were 414 and 416 and the question was "what is the closest to the lognormal VAR ?"

Thus, I put 414........ Am I the only one ?

yes.. to me, it was a big trap.

The formula of lognormal VAR i.e P*[1 - exp(mu - z*sigma)] gave 387

The formula of normal VAR i.e P*[-mu + z*sigma] gave 416

The option were 414 and 416 and the question was "what is the closest to the lognormal VAR ?"

Thus, I put 414........ Am I the only one ?

The formula of lognormal VAR i.e P*[1 - exp(mu - z*sigma)] gave 387

The formula of normal VAR i.e P*[-mu + z*sigma] gave 416

The option were 414 and 416 and the question was "what is the closest to the lognormal VAR ?"

Thus, I put 414........ Am I the only one ?

Is this the one where they gave 252 trading days (and you had to convert the annual std deviation to daily), or a totally separate question?

I must've not had an issue getting the answer from Lognormal VAR as I simply do not recall this question.

Is this the one where they gave 252 trading days (and you had to convert the annual std deviation to daily), or a totally separate question?

Is this the one where they gave 252 trading days (and you had to convert the annual std deviation to daily), or a totally separate question?

what was the question?

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The formula of lognormal VAR i.e P*[1 - exp(mu - z*sigma)] gave 387

The formula of normal VAR i.e P*[-mu + z*sigma] gave 416

The option were 414 and 416 and the question was "what is the closest to the lognormal VAR ?"

Thus, I put 414........ Am I the only one ?

Thank you @nikic really appreciated, were the choices only average of worst 5 or 6? Because I want to contact GARP if they did this incorrectly. If it was 98% with 252 Trading days, it seems unlikely to me they offered the correct solution ....

Agreed. In fact, I've got the same answer..

As I wrote above, if the 6 worst losses were:

... then the correct answer for the 98.0% ES is 2.5175% (not 2.5200% and not 2.4667% which are

@Amarnadh D thanks but what same answer? I have a call into GARP (also in regard to the unconditional PD question) about this. If the assumption was 98% and 252 trading days then the correct answer is neither the simple average of worst five or six but rather, per my post above, the correct answer would need to include a slight weight for the sixth worst, as given by a non-simple average. Maybe the solution was correct, I can't tell by the feedback ....

As I wrote above, if the 6 worst losses were:**-2.8%, -2.6%, -2.5%, -2.4%, -2.3% and -2.2%**

... then the correct answer for the 98.0% ES is 2.5175% (not 2.5200% and not 2.4667% which are*simple* averages; but maybe the answer only displayed 2 decimals such that 2.52% was given (?), and that would be a happy coincident outcome, although I'd still want to talk to GARP if they aren't doing this correctly and it only happens to be correct b/c the displayed options were limited to, eg, simple averages 2.52 and 2.47). I'm skeptical simply because the setup of 98.0% ES and T = 252 days automatically throws ES into a harder calculation, versus it's much easier to request 98.0% ES and T = 250 days because that is a simple average (assuming unweighted HS) of the worst 5.0 = 250 days * 2.0% losses.

As I wrote above, if the 6 worst losses were:

... then the correct answer for the 98.0% ES is 2.5175% (not 2.5200% and not 2.4667% which are

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