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November 2018 Part 2 Exam Feedback

#22
And one knows the answer of one profit loss question . I think question was number 15. Total percentage risk or something . 4 choices I think were -.2, .02 , .6 and .8
.6 was the answer it was on allocation strategy and that was difference in weights* Matket Return
 
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#26
I can remember following qsns:

1. NSFR ratio to be maintained (this was first qstn for me)
2. Bank had swap with two CPs - one with CSA another w/o CSA and the options were like Bank has both Market & Credit Risk, Bank has only Credit Risk, bank has to post collateral to CSA party
3. Backtesting VAR: 2% of exceptions when model is 99% 250 days - options were to accept/reject the model
4. RAF question- one business line has high profitability but failed Stress Test - Options - Lower the Stress test level to allow the profitable BL to pass it, inspite failing allow BL to get extra budget, Report the BL to Senior Management to recheck risk apetite
5. Endowment fund is skeptical of hedge fund returns - Options were - Choose a HF which manages endowmwnt funds, choose manager with highest reurns, ask the HF manager to report returns on regular basis
 
#30
One question that struck me hard was the capital allocation decision when the stress test might cause a breach of limits for the treasury department that is believed to have superiority to other banks' treasury dept. I was confused between B) re-allocate capital from other non-volatile (less risky) department or C) go to the board to check whether if the breach is in line with RAS.


Anyone have any idea on this?


There's also a lot of questions on calculating PD from credit spread and calculate Annualised Default rate from credit spread
I chose C - go to the board to check whether if the breach is in line with RAS
 
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