Dear All,
Please share your thoughts and feevback about the exam. I found it vey difficult and qualitative in nature.
My beakdown:
- Sure answers : 35
- Between 2 choices : 25
- No idea - guessing : 20
What about you?
The paper was definitely not easy though it appeared so in patches because of a few sitters. My analysis is 30% sitters, around 30% difficult and around 40% between 2 choices which has been the usual pattern in FRM Part 2. List of questions i remember [some may be a repetition of earlier posts] . Have posted the answers in bracket which i have marked. [Spent too much time on some questions and had to guess around 10+ questions blindly so some of my answers would soud wierd but will help you guys remember the questions .] 1. Expected shortfall- [2.2%] 2. RAROC- which will decrease to less than 9.5%[increasing the deposit rates by 2% on 650 million as the loan was fully funded by deposits] 3. OIS- 4/4.5% - LIBOR -5% [1100 - guess] 4. A graph between 1-netting /positions on Y and Xaxis [i chose b which was increasing lognormally and then constant] 5.Surplus - Asset-100 r=10% , Liability=80 - cost of funds -8% [3.6%- though i feel ans would be somthing else] 6.How would the amount be distributed -Senior/Equity/Mezannine - [i chose the one where equity was wiped off] 7. Reducing moral hazard [let the originator retain some stake] 8. Portfolio Var 16 m-27%/8m-20% where 8 m is shifted from A to B [randomly guessed b] 9. Credit Var - expected 28 defaults with 95% confidence and 1000 bonds with expected loss = 2 % [8000] 10.Inflow of CAD/Outflow of Euro 11. Reduce the risk of portfolio by [by taking MVar] 12. Calculate LVar . P= 1.75 m , s=2.5% , meaan =1% etc [chose b - exogenous + a number] 13.Frequency-Severity [Poisson/Lognormal] 14. Calculate daily VaR @ 99% , annual volatility given, mean return =6% etc [chose b] 15.PD=7% constant. PD in 3 years ? [20%] 16. Call Put Delta [Call delta decrease , put delta increase] 17. SVaR - increase in capital requirement [330 m] 18. Mapping of fcators - principal + interest etc [dont remember] 19. PCA - 90% / 10 positions/ 70%/7% [dont remeber] 20. HFT - justification for reducing latency. [price may move away] 21. portfolio manager - + ve intercept and higher slope [statistically not significant and greater beta] 22. 250 days / 95% VaR - 8.4 exceptions [Reject since statistically not significant - lies outside] 23. Risk Budgeting- 800 m- A and B IR was given [chose b] 24. POT- threshold [high enough to be significant and low enough to capture enough data points] 25. Backtesting - 12 execptions in 250 days at 95% VaR … what can we conclude [dont remember] 26. Copula [VaR] 27. Jensen inequality [chose b - i think 86bps] 28. Why FI cannot be valued by BSM [price change in bond] 29. Internal Control - [dont remember] 30. Cybersecurity - [proactively share the data] 31. Model risk 32. RAAF 33. Alpha, Beta , Gamma [Beta will face funding risk] 34. China Bank- 3 questions [dont remember] 35. CVA [dont remember] 36. Netting [dont remember] 37. Securitization [dont remember] 38. WWR [dont remember] 39. Competitor bank increase deposit rates. what if we do not increase [LCR - unchanged] 40. Historical simulation- which is not an assumption? [Normal distribution] Will post more when i remember. My guess of a safe score would be 50/80 considering the fact that 50% of the test takers pass and achieving 60% which is 48 is competitive. What do you guys think?