Just got cert-ti-fied!
10:30pm EST on jan 2nd for me (translates to 3:30am GMT).
No - I did although I thought it meant "is it okay to contact your manager?" rather than "we will send your supervisor a note of your certification". But either way works for me. :)
The crux of that question wasn't the plug n' play correlation swap value, but answering what would happen re the receiver if the actual correlations were higher than the expected correlations resulting in 0.4m pnl, so the answer was receive greater than 0.4m.
Not sure how accurate and informative this is, but I'll play along - and guess that I scored a little lower than the lower-end of my practice exam range which is 55% or 44 questions right. I recall my range around 60-85% and could post detailed results of those exams when I get home.
According to GARP (see attached Q+A from their practice exam): "An estimate of the expected shortfall (ES) can be obtained by taking the average of the VaRs for the various confidence levels that are greater than [the confidence level]."
In risk management, there are different ways to calculate...
Emilio: COCO's are fair game especially w/ the uptick of their usage, but I also thought it was harsh to ask so many questions about them w/ little-to-no mention of them in practice exams or third-party questions. Re the possibility of cheating/leaking questions, I have no proof and didn't mean...
... also re gimme questions that unfortunately weren't asked - QQ plot, neyman-pearson / minimum risk and error / minimax, ordinal rankings such as spearman/tau - the lack of gimmes + long AND irrelevant item sets made this exam that much harder! Also don't think there were any plug n' play...
I'm a little concerned about this - hopefully GARP does some kind of statistical analysis of the likelihood that questions or topics may have been leaked beforehand. I can understand there being one COCO question... but a full item-set and another question's answer about it - that's 5% of the...
I forget the details re opportunity cost but one thing is certain - these questions were hellish because even after reflection we're having a tough time answering them.
Seems unlikely that basel would want opportunity cost to be taken into account, especially when insurance is not. Opportunity cost is highly subjective and easily manipulated.
I put zero for this one. Forgot the details but remember that despite crossing the threshold to post margin, the delta didn't exceed the minimum marginal transfer.
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