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November 2018 Part 2 Exam Feedback

#41
There another question on the 95% var for basel 2.5 where there are 20 exceptions for 250-days VaR, i really thought there's 2 answers B and C where the C) Reject the VaR model as the exception exceed the significance level at 95% confidence interval and also B) the basel 2.5 Var was higher than 9 million ish.....
 

Yassir HAMID

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#45
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.
 

Yassir HAMID

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#46
From what I can remember there was:
Market Risk
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)
Credit Risk
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)
Operational Risk and integrated framework
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 ...
Asset Management
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
Current Issues in financial Market
about 4 or 5 questions. I was expecting more.
 
#47
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
 
#50
There another question on the 95% var for basel 2.5 where there are 20 exceptions for 250-days VaR, i really thought there's 2 answers B and C where the C) Reject the VaR model as the exception exceed the significance level at 95% confidence interval and also B) the basel 2.5 Var was higher than 9 million ish.....
yes i agree to your observation... . Both options seemed correct I chose 9 million one. The question asked to calculate market risk charge given the 10 day and 60 day Vars
 

Flashback

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#59
Too much they insisted in one part of curriculum and almost they completely left the another one. I don't wanna discuss specific questions nor tested or not tested exam areas but Part 2 exam was highly skewed with high kurtosis. I am not very confident.
 
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