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Exam Feedback November 2016 Part 2 Exam Feedback

Trueman

New Member
I read on internet someone was very sure he got 34 questions right only but passed at 1 1 4 4
On russian torrent I've read comments of two FRM candidates
- one girl said PART 1 - 1111 and PART 2 - 21112 both passed
- man said PART 1 - 2243 not passed
(i don't know their score)
 

SoSo0921

New Member
Is there anyone who remembers CVA calculation?
I know how to slove this question
However I don't remember what I chose.
a, b, c, d..I think I chose a or b.
 

equanimity

New Member
Is there anyone who remembers CVA calculation?
I know how to slove this question
However I don't remember what I chose.
a, b, c, d..I think I chose a or b.
From what I recall, the problem was something as follows:

Cash Flow in Year 1: 1,000,000 with a probability of default of 35%, a recovery rate of 70% and a discount factor of .90
Cash Flow in Year 2: 750,000 with a probability of default of 40%, a recovery rate of 80% and a discount factor of .85

I solved this as follows:

1,000,000 * 0.35 * (1 - 0.70) * 0.90 = 94,500
750,000 * 0.40 * (1 - 0.80) * 0.85 = 51,000

CVA = 94,500 + 51,000 = 144,500

Is this the correct approach?
 

SoSo0921

New Member
From what I recall, the problem was something as follows:

Cash Flow in Year 1: 1,000,000 with a probability of default of 35%, a recovery rate of 70% and a discount factor of .90
Cash Flow in Year 2: 750,000 with a probability of default of 40%, a recovery rate of 80% and a discount factor of .85

I solved this as follows:

1,000,000 * 0.35 * (1 - 0.70) * 0.90 = 94,500
750,000 * 0.40 * (1 - 0.80) * 0.85 = 51,000

CVA = 94,500 + 51,000 = 144,500

Is this the correct approach?


Yes.

However, Probability of default is constant.
I don't remember what I chose
I think correct answer is a or b
 

equanimity

New Member
Yes.

However, Probability of default is constant.
I don't remember what I chose
I think correct answer is a or b
What do you mean that "Probability of default is constant."? Don't we have to use different probability of default values (e.g. 35% and 40%) in the calculations above? Or, were you referring to the probability of default values that were given on the exam?
 

SoSo0921

New Member
What do you mean that "Probability of default is constant."? Don't we have to use different probability of default values (e.g. 35% and 40%) in the calculations above? Or, were you referring to the probability of default values that were given on the exam?

I remember 1Year Probability of default is stated.
but 2Year Probability of default is not stated.
I tried to remember question but my memory was blurred.
 
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emilioalzamora1

Well-Known Member
YES YES INDEED! It's game over, man! I did it and this without reading half of the operational risk readings and without reading 'current issues' at all.
Anyway, David you are the 'man tonight' - this is for sure! I am comparing the win of the US open by Stan Wawrinka over Djokovic last year when he was interviewed by Tom Rinaldi from ESPN.
 
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equanimity

New Member
I passed. Congratulations to all who passed. Is anyone able to see the quartile data or the "Exam Results Letter"? (I can't see mine yet)
 
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