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Thanks David. In that case I’m not sure most people are even aware of the method you explained to calculate the ES. I’m 100% positive it was 98% ES for 252 trading days.

Neither of the above are referring to the same question you quoted? KMV and Merton were a different question, not the risk neutral / real world probability of default question. The ES question where the data was not arranged was for the 98% question. The 95% ES data was arranged nicely...

Mine was that the CVA using Risk Neutral Probability would be more than the CVA using Real Life Probability, since Risk Neutral > Real Life.

Oh well, there was the 98% ES for 252 trading days. 252 * 98% = 246.96....so do you take the 247th, 248th, 249th, 250th, 251st and 252nd observation (i.e. 6 worst observations)? Or do you round up the 246.96 to 247 and then only take the 5 worst losses? I thought this was a silly question as...

Yes, while comparing peer alpha should be superior, the methodology/basis described was flawed. Benchmark alpha outperformance was correctly described (i.e. based on statistical significance). But for peer alpha, they mentioned something else totally, when the basis should have tied back to...

Oh yes for some reason the paper must've been incredibly difficult when I sat (hence the lowest pass rate), so my experience may not tally with everyone else's. Regardless, good luck! 65% is still pretty much a solid enough bar to depend on, with a downward bias if the paper was difficult...

Risk arbitrage, the one which goes on to say that it represents the tail risk of equities or something of the sort? I picked it as well. How did this tie into the question on capital planning? (PS: I might have selected this option, but just doesn't ring a bell yet...)

Guys, just dropping in about the pass rate. I sat for mine in May 2018 (when the pass rate was incidentally the lowest ever, at 40%!). I am dead certain I scored no more than 65/100. Yet I got a comfortable pass of 2-2-1-1 in the end. The passing mark is certain to be below 65 based on...

Folks, what about the question on Duration / Principal / Cash Flow mapping? I chose the first answer, which was VAR of Cash Flow mapping < VAR from Duration mapping. What's the actual answer to this?

Do you happen to recall the question / answer in more detail? The distribution as I recall models the severity of losses, but the frequency of losses plays a role in setting the appropriate threshold. I'm getting all mixed up now as to what was tested. For some reason I cannot seem to recall...

My mistake, the hazard rate should be 0.048 / (1 - 0.4) indeed as you say. Hmmm, if it indeed refers to the frequency of loss, then welp...one more mistake! Well, I marked that as well as the ops risk event, so if it indeed is the answer, that's great!

Fairly confident the passing score would be no more 48/80 (i.e. 60%). Remember, on average, 55% of candidates will pass. I have a hard time believing 55% of candidates can score some two thirds of the paper correct. In fact I won't be surprised the eventual passing score is in the 42-46/80...

I can say for sure that the mocks ARE NOT representative of the actual questions. I eventually scored around 64/80 for the 2019 full mock. But as it is I am not even certain of hitting 40/80 for the actual exam.

2) Don't you have to solve for lambda (i.e. 480bps / (1 - 0.6))? And then use that to find the PD, and use the PD * LGD * EAD to find the EL? 4) It's the size of the loss, no? My Answer was Pareto / size of loss beyond the threshold. 7) I also selected ops risk was provision due to the loss of...

Yes but my understanding is the minimum capital ratios are the bare minimum. The capital contingency plan of each financial institution should come into effect at a level above the minimum capital ratios, as by then it'd been too late. For example in the insurance industry, the minimum capital...

Didn't the answer say something like "it's sufficient to put into effect the contingency plan when the capital levels breach the minimum regulatory capital ratios"? In which case, it would be wrong since the contingency plan should be put into effect at some point before that?

I can't recall the first two. For capital planning, it should have been something rather obvious I'd presume. For BCVA...I don't recall such a computation. As for the AI/ML one...I believe I marked the same answer (reduce trading cost, but doesn't do well for price discovery (other answers...

The reason below why I felt that the explanation that was provided for with regards to alpha and benchmark was better than for the peer group alpha. Because I do not believe they regressed the peer alpha for significance.

For the specials spread, does anyone recall the other option? I know A/B were both Specials < GC (which is correct), but what about the other half of the answer? One said specials peaked right before auction, and the other?

b) I can't actually recall the inputs given. Was it just Stress PD, non-stress PD, EAD, LGD? Or were there other inputs? e) Your answer is correct, I incorrectly stated it to be subordinated debt rather than senior debt. What were your quartiles like for the Nov sitting? I'm getting quite...