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Exam Feedback November 2016 Part 2 Exam Feedback

Eternity

Member
i think it was B wi 62.xx, option d was 63.XX in my question which was exceding the VaR target
The options for my question is
A. x, 61.xx
B. x, 62.xx
C. y, 61.xx
D. y, 62.xx

I ruled out A, B because the figures given were wrong alr
D was the right one I think. May be the questions was not the same in your paper
 

Johnkrause1

Member
Subscriber
Can anyone confirm if the following questions where in the exam:

- Question asking for CLN, CDS and TR Swap which provides most protection to buyer?
- Normal based DD for Merton

Many thanks

Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam :confused:
 

Eternity

Member
Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam :confused:

There was one question says which of the following best describes the products : TRS, CDS, CLN are involved
I dun think DD was tested.... at least I dun remember any calculation for DD
 

mghm

New Member
Bad thing is that we only remember those questions in which we have good confidence and questions which are numeric in nature. The other qualitative questions were really tough and those questions will have high significance.
 

devdutt.21

New Member
I chose counterparty risk
This question I feel so weird, because I think the numerator is revenue - expected loss - unexpected loss - loan * interest rate - ops expense + return on econ capital +/- some unknown, the unknown makes the RAROC 20%.. Otherwise i cannot reached 20% RAROC...

Should one include UL in Raroc calculation in numerator? I remember reading that RAROC does not consider UL.
 

Ra10as12

New Member
The options for my question is
A. x, 61.xx
B. x, 62.xx
C. y, 61.xx
D. y, 62.xx

I ruled out A, B because the figures given were wrong alr
D was the right one I think. May be the questions was not the same in your paper
I am 100% sure that Option d was 63.XX ,and i had rejected that on the basis of exceding the target VaR limit ,are there different sets of questions ?
 

mghm

New Member
I am 100% sure that Option d was 63.XX ,and i had rejected that on the basis of exceding the target VaR limit ,are there different sets of questions ?

In my question paper there was only option which had "62.xx" the option 62.xx was not repeating otherwise I would have read it twice ... It was option B) 62.xx
 

raya

Member
Raya...Sorry ! Remaining 1% data does include only 10 items...that is exceeding 99%... So Moey is correct !
You have 1000 pnl values. 99% VaR is USD 1.484 (it is given) which is the 10th item.
And it is included in the ES calculation. Why this 10th item, which is the VaR, is included in the ES calculation?
I don't say that Moey is incorrect. His formula is given in "Dowd, Measuring Market Risk" . But why in this exercise VaR is included in ES calculation?
Can someone tell me? Please?
upload_2016-11-22_13-30-37.png
 

mghm

New Member
You have 1000 pnl values. 99% VaR is USD 1.484 (it is given) which is the 10th item.
And it is included in the ES calculation. Why this 10th item, which is the VaR, is included in the ES calculation?
I don't say that Moey is incorrect. His formula is given in "Dowd, Measuring Market Risk" . But why in this exercise VaR is included in ES calculation?
Can someone tell me? Please?
View attachment 955


We are talking about 1000 items in above! In above question 1484 is at 99.1 % item (i.e exceeding 99%) and so on till 100oth item 2833. So, last 10 number is take into consideration.

But you don't worry garp doesnt give close options in this case. You may still have chosen closely a right option. I have seen this in many practice exam.
 

raya

Member
We are talking about 1000 items in above! In above question 1484 is at 99.1 % item (i.e exceeding 99%) and so on till 100oth item 2833. So, last 10 number is take into consideration.

But you don't worry garp doesnt give close options in this case. You may still have chosen closely a right option. I have seen this in many practice exam.
Well, but it is specified in the text that the 10th item is the VaR. It isn't calculated VaR is given...
I give up on this question. Next time, I'll know I've to exclude VaR...
 

ahshah229

New Member
Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam :confused:

We are all suffering from that....what was in the last practice exam vs the actual exam. For question 1, I can confirm it was there, but not sure about the second one. thx
 

farahm

Member
Guys, do you know how were we supposed to give market price of 2y zc? (we had 1year rate and fwd up/dowm one year with no indication of risk premium expectation)..
I dumbly performed an expected dcf (which works only for risk neutral trees) because I did not know what else to do..

I also calculated expected discount value and my answer did match the choices. Then, I calcualted the market value I forgot the spot rate percentage but used the following : 1000 / (1+spot rate) that gave me one of the suggested choices.
 

FRMPART2

Member
Now we should express our expected scores so that we can be aware of expected cut off score for FRM part 2 exam.only caveat is no reporting biases all group members should express their scores so that we can have fair idea about average score of this sample.hope u all contribute to this.i expect my score to be 40 to 45 with upward bias.
 

Moey

Member
hope u all contribute to this.i expect my score to be 40 to 45 with upward bias.

Not sure how accurate and informative this is, but I'll play along - and guess that I scored a little lower than the lower-end of my practice exam range which is 55% or 44 questions right. I recall my range around 60-85% and could post detailed results of those exams when I get home.
 
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