- Thread starter Nicole Seaman
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Quantile Plot, Hedging using Empirical data, at least 2 questions on backtesting VaR, Volatility Smiles

Var Calculations (One question required calculating VaR on portfolio of 3 assets - or maybe I missed the point)

2 or 3 questions about hazard rates and CDS spreads, CVA

Credit VaR (a simple question where they gave you UL and you just need to calculate EL).

General vs Special rate for Collateral (did not know the answer to this one)

Basel related quetions (no FRTB), Liquidity requirement calculation (NSFR or LCR - that I skipped right away),

External loss data, Liquidity Adjusted VaR, Exogenous vs Endogenous liquidity.

Many qualitative questions - as you would expect - about CRO and Board roles, model risk, etc ...

Individual VaR calculation (VaR of portfolio before and after adding a position), however I do not remember questions about MVaR.

portfolio construction techniques (Screens,stratification, Linear programming,...)

Fama-French model

about 4 or 5 questions. I was expecting more.

20 first questions seemed relatively easy to me and then it went harder. I think I did about 50. I don't know if it will be enough. I was also surprised there weren't that many people in the room (LONDON exam centre) compared to how many people were there taking part I.

How many people? In Malaysia, there were like less than 20 people taking level 2 FRM and ERP

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