Hello all,

Here are the 81 questions I may remember from the exam. Please tell me if you remember extra questions

1 -Question about Implied volatility, option strikes and maturities in the B&S model

2 -"Entreprise-wide" risk management model question

3 -EL calculation with updated (increased value of loan) from 45 mln to 55 mln

4 -Swap comparative advantages with a table (I put the company with no absolute advantage as the fixed rate payer, not sure I was right)

5/6 -2 Code of Conduct questions (one with an employee using a model from former company)

7 -A t-test hypothesis with null hypothesis being as an equality (correct answer was failing to reject the null)

8 -A 95% confidence interval question linked to an hypothesis (the hypothetized value **was **in the interval if I remember correctly)

9 -APT question with updated factors (formula was sth like Ri = E(Ri) + aX + bY)

10 -Crack spread question with crude and heating oil gallons/barrels

11 -White noises and independant noises

12 -The operating / combined ratio question (105% being an incorrect solution)

13 -A question about credit spread risk (I put "credit spread can be *easily* found via the default transition matrix. Not sure..)

14 -Stack hedge question (30 vs 360 contracts).

15 -Change in price of a bond after duration and convexity effects combined

16 -Economic capital calculation where EL, UL and multiplicator were given

17 -A question about the impact of increasing level of significance for VaR and EL

18 -Number of contract to buy/sell to make a duration-hedge with a Cheapest-to-deliver bond (portfolio value, bond FV and durations were given)

19 -A question about mean-variance model components (inputs) vs other models inputs

20 -The variance of a Bernoulli distribution ( PD*(1-PD) )

21/22 -2 Bayes questions (one with a 3-states table (increase/neutral/decrease) and one with AA/BB bonds)

23 -How many additional Monte Carlo simulations required to narrow a confidence interval (think 12,000 was the correct answer)

24 -Sample standard deviation ("what is the StD of the most volatile asset ?")

25 -Cross hedge with maturity and correlation given (Zirconium)

26 -Long run volatility (not variance !) with GARCH(1,1) model

27 -EWMA updated variance (with previous vol and previous and new asset prices given)

28 -Updated Covariance with EWMA

29 -Adjusted beta hedge from 1,05 to 1,75

30 -Risk facing CCP (answer was Adverse selection)

31 -A question about whether netting through CCP is benefiting high-rated companies most

32 -A question where the correct answer was fat tail means time-varying volatility (acc. to me)

33 -A binomial one-step tree foe European call option

34 -correl + vol hedge ratio

35 -Delta normal VAR for a portfolio of long call options

36 -Gamma neutral portfolio

37/38 -R² and adj R² (and / or sqrt(R²), can't remember if this one or two different questions ; I hope it's two !)

39 -95% VAR for 60 days (using Poisson distribution)

40 -Converting 1-day 95% to 10-day 99% VAR

41 -Difference btw Mutual funds and Hedge Funds

42 -Sharpe ratio (need to compute the weighted exp return and std first)

43 -compute expected return with beta and risk free rate (CAPM question)

44 -a Multi factor question (or a second single factor question, can't remember precisely sorry for that)

45 -a forward rate calculation one year, two years from now

46 -FX forward with continuously componded rates (straigthforward exp(rDC - rFC) formula)

47 -a put-call parity question

48 -stop vs limit order question (correct answer was limit order, to me)

49 -Sortino ratio

50 -DV01 hedge ratio

51 -Loss frequency and severity distribution in Op. risks (Poisson + lognormal)

52 -Bootstrapping vs anthetic variate vs control variate (bootstrapping was correct acc. to me)

53 -Copulas question (Gaussian copulas was correct to me)

54 -WAM / WAY

55 -CPR / SMM

56 -A question about rating agencies process wrt local vs foreign debts

57 -A question about local vs foreign currency debt ratings (similar to 56 but definitely two different questions)

58 -A question about stocks price changes when rating changes

59 -Question about role of internal auditors in stress tests process (correct answer was sthg like "need to document material changes in stress test process")

60 -Second question about role of auditors wrt the board and shareholders

61 -Covariance stationary processes (answer was mean+covariance are stable over time)

62 -Values of beta in an stable AR(1) process (answer was 0,5 others choices being 0, 1 and 1,25)

63 -Probability question using binomial distribution applied to two cases and then sum them up

64 -FX loan **without **interests question (with useless and tricky wording)

65 -Net CCY exposure calculation and impact on gain/loss if foreign CCY is depreciating

66 -Price of a semi annual coupon bond (with price of the equivalent annual coupon bond given)

67 -question about spot rates curve vs forward rates (correct was spot curve is upward when fwd rates are higher that spot rates, not 100% sure but it sounds logical)

68 -question about which choices is relative to coherent risk measure (correct answer was p(A+B) <= p(A) + p(B) )

69 -second question about coherent risk measure in a bank but only with wording choices related to a bank's units

70 -basic risk definition (smth like "what is more likely related to a market risk ?" with answer being a drop in FX market)

71 -question about big failures and I thing LTCM was the correct answer (linked to model risk)

72 -UL calculation

73 -AIC curve question (B was correct)

74 -SPV question (a bank using SPV to transfer legal risk)

75/76 -2 quite esay questions about differences between OTC and exchanges

77 -duration hedge performing poorly when short term rates and long term rates are volatile and not correlated

78 -variation margin vs maintenance margin vs initial margin

79 -subordinated bonds being unsecured bonds with other unsecured bonds with a higher claim above them (not sure this is an acutal question)

80 -question about RiskMetrics vs Hybrid vs Historical models for VAR

81 -a question about the benefits of ES in operational risks and the fact that they give scenarios that had never happened in the past

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