I am wondering if you could help me to find the solution for the VaR calcution from the graph posted in the forum: https://www.bionicturtle.com/forum/...feedback-postponed-2020-exam.23675/post-86852. i.e.,

Hello all –

The questions were fairly in line with Garp’s practice exam and at least 1-2 levels easier than BT mock questions. Some of the qualitative questions gave me a bit of difficulty since a few questions required having gone through some very specific concepts in the GARP books.

From what I can remember:

[I'll Edit this if I remember something else]

Concerning the exam logistics:

- 2 questions with on conditional probability and bayes theorem. 1 question provided a conditional probability table.
- A question on Expected shortfall and VaR calculation in a discrete setting. I think the data went something like that on a portfolio of 8M USD View attachment 3089
- 2 qualitative questions on the assumptions of OLS
- There were questions that were straightforward on Option pricing. N(D1) and N(D2) lookups were not required. [Edit : One of them I remember gave me a few difficulties due to it's ambiguity. We were given N(D1) and N(D2) with dividend but also the dividend amount and asked to calculate the price of the bond. I was initially confused by that wording]
- 1 question on key rates. I do not remember it exactly.
- 1 question on the interest futures. We were given the characteristics (maturity and duration I think) of the cheapest to deliver bond and asked to to infer whether the interest rates were above or lower 6% and whether the curve was upward or downward sloping
- 1 qualitative question on Solvency 2 which is a bit astonishing given that this is not a core focus of garp reading.
- There were a few questions about volatility. 1 question asked us to calculate volatility given EWMA assumptions. There were other questions, if I remember correctly, about the relationship between EWMA and GARCH (1,1) that were qualitative.
- There was a question about the assumptions underlying APT vs the CAPM
- We had 2 question asking us to rank portolios according to the sharp and the treynor ratio.The one with the Treynor ratio require a bit of attention, we were given the fact that the ranking was being done on well diversified portfolios but with the additional constraint of the sharpe ratio not being higher(or was it lower?) than 0.35
- 2 questions on the role of Senior management. One was the role of senior management vs the Board in the context of stress testing. I cannot remember the other one,unfortunately
- Barbell portfolio from a given bullet portfolio

[Edit : As per @Nicole Seaman request below - The test location was in Paris 17 eme Arrondissement ]

It was a mess!! We had a fair share of candidates in our exam venue that came without the correct calculator. Proctors were unsure to allow them to pass the exam without the use of their calculators or to send them on their way.

Moreover, several candidates, including me, were given the wrong exam booklet. ERP i/o FRM. We asked twice and the proctors told us it was the same thing...” you will see during the exam” was what I think they said. Given that this was my first sitting, I had a lot of doubt but let it pass at first.

I had to ask them a third time to cross check before they eventually asked their senior and realised that they made a mistake. The worse of it was that those who face that issue were not given additional time to enter fill in their candidate’s details. I was prepared and was able to finish with some time to spare but I think I lost a good 5-10 minutes not including the stress and loss of momentum that such situations create.

While I understand logistic issues are problematic with the covid, the fact that the proctors did not know their stuff was quite frightening and I would go further and say disrespectful given the cost and investment that the FRM requires.

Thank you.