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I picked A as well - if i remember correctly.

I did choose that yes.Was this part of case studies questions? I forgot.

Yes I agree with you. Confidence levels can be different - backtesting does not have to coincide with VaR confidence level.

It would be the one year - that would give the market value. the question asked specifically for current exposure I believe. That threw me off a little.

I also calculated expected discount value and my answer did match the choices. Then, I calcualted the market value I forgot the spot rate percentage but used the following : 1000 / (1+spot rate) that gave me one of the suggested choices.

I forgot my answer , but I agree with the statement - both bootstrap and HS dont have to be rely on normal distribution.

well said Dan.. just reading through all the comments, everyone seems to be defending their answers. on the other hand, quite scary how for a particualr question everyone had a different answer. very tricky exam !

I chose the same - I had that exact reasoning.

i remember being confused with binary tree model question - even though it was really easy. They asked for the current value i believe which made me confused between expected discount value or market value. which one was it?

the exam was challenging, hard BUT in line with aims in my opinion. Some questions easier than others. A lot of op risk questions, hazard rates, backtesting, model risk. a lot more qualitative questions than expected and because of that hard to say if one did well ! lets enjoy the next 6 weeks !

last few days ... where did the time go!?

Thank you David ! I agree with you, I am not a fan of this question - I'll take it as you explained it going in the exam as I dont have time to dig deeper on this one.

Can anyone explain how to solve question 72 ? - Still don't understand how 5% was derived. Thank you

I don't understand how GARP is getting 5% of alphas from 0.02 std deviation of alphas? @David Harper CFA FRM

Getting closer to the finish line... I definitely underestimated the amount of reading for part 2. Quite interesting !