Exam Feedback November 2018 Part 2 Exam Feedback

[faisalfshaikh40]

I found 50 % paper relatively solvable, which includes all the numerical questions, which were on par difficulty with the GARP 2018 Mock. The other 50% were difficult theory questions, which were pretty hard to solve. Dont think the mock had similar questions, where the questions has 4 sentences from 4 different chapters, and then options each representing the chapter of the 4 sentences.

 

[Navneet02]

2 easy qsns on ES calc, and 1 on EL

One ES question: needs to be averaged by 9, where Var was equally sliced

 

[shailthakker]

D was the answer, 444,000

 

[max8126]

answer was 0.8 - you multiply the benchmark allocation vs. the benchmark return and subtract from asset manager allocation vs. achieved return.

I believe the question asked about "asset allocation", which means you assume benchmark return and multiply that with the difference in allocation weights
achieve returns are used in "selection"

 

[[email protected]]

Does anybody remember these two questions:

1. VaR mapping where IR curve movement was given and asked what which mapping would be suitable

2. Don/t remeber the qstn but optin were: CP risk, Liqidity risk, Funding risk, Economy risk

 

[[email protected]]

D was the answer, 444,000

yes... you have a sharp memory...

 

[shailthakker]

yes... you have a sharp memory...

Thanks! And I put ccp risk as the answer. The options were that, sponsor risk, market risk and concentration risk

 

[[email protected]]

Thanks! And I put ccp risk as the answer. The options were that, sponsor risk, market risk and concentration risk

Yup me too...

 

[jkowalonek]

Yes , it was , trick was second year marginal pd

I thought this was too easy? I just multipled 1-rr x pd x discount factor x EE for each year then added the two years together. They gave us all the info right?

 

[shailthakker]

I thought this was too easy? I just multipled 1-rr x pd x discount factor x EE for each year then added the two years together. They gave us all the info right?

yup exactly

 

[Navneet02]

I thought this was too easy? I just multipled 1-rr x pd x discount factor x EE for each year then added the two years together. They gave us all the info right?

Nope that’s what they tricked. PD for second year should be difference from 1st and 2nd. It’s marginal PD

 

[jkowalonek]

yup exactly

Good deal - a lot easier than the Mock Exams (for once one of the questions was actually easier!)

 

[abbaskhaled]

there was something about the VaR mapping which method overstate the risk?

 

[abbaskhaled]

I answered the Senior tranche will be protected by the waterfall

 

[abbaskhaled]

there was an answer about retuning to the senior management to increase the limits or something like that !?

 

[[email protected]]

there was something about the VaR mapping which method overstate the risk?

i answered for upward moving curve VaR with CF mapping will be less than VaR with Principal mapping

 

[jaivipin]

I put -0.2

I do not think answer could be .2.

 

[Ailion]

What about the SMM and CPR?

I don't know why but I choose D
Anyone can remember the total value? or formula of it?

 

[abbaskhaled]

SMM = 1 – (1 – CPR)1/12 somthing around 9.17 --> answer C

 

[ympetit]

Agreed. Solved for the SMM from monthly prepayment, outstanding balance, and scheduled principal payment (prepayment/(Bal - principal) Then, converted to a CPR. Answer c.