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  1. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Passed. But I wait the quartile + the end of the day (to see if Garp doesn't change things) to be really happy :)
  2. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Well, but it is specified in the text that the 10th item is the VaR. It isn't calculated VaR is given... I give up on this question. Next time, I'll know I've to exclude VaR...
  3. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    You have 1000 pnl values. 99% VaR is USD 1.484 (it is given) which is the 10th item. And it is included in the ES calculation. Why this 10th item, which is the VaR, is included in the ES calculation? I don't say that Moey is incorrect. His formula is given in "Dowd, Measuring Market Risk" ...
  4. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Thanks for the explanation! I'm so ashamed I'm wrong with such a simple question! I've done an other kind of exercise before where the VaR was included in the expected shortfall calculation... So I've kept in mind to sum the values where L>= VaR. As you can see below, VaR 99% is given =...
  5. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    99.5% isn't taken into account? I thought we must compute the mean of var where var ≥ 99.5% to obtain ES
  6. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    I've really disliked the long texts with 3 questions associated. I've skipped them and kept them for the end of the exam. But at the end I was so tired I don't even remember those questions :( ... I count all of them as failed :'(
  7. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Well, I've always seen CVA expressed as ∑ EA*PD*LGD*discount_factor. So I've calculated CVA1 = EA1*PD1*LGD1*df1 with PD1 = 1-exp(-hazard rate * 1) CVA2 = EA2 *PD2*LG2*df2 with PD2 = (1-PD1)*1-exp(-hazard rate * 1) = (1-PD1) * PD1 because it was said that hazard rate is constant. Then CVA =...
  8. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Are u sure it was a 2 tails test? VaR is always a one tail test... Well the exact same exercise was on bt video on Youtube. We had to calculate the z value. Mean=5%*252 trading days. Vol =sqrt(nqp)=sqrt(5%*95%*252) and zvalue=(20-mean)/vol which was above critical t value
  9. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    Hello, I've answered above in the thread :).
  10. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    I've answered the same thing. I've done a similar exercise before (hereunder) and the exposures reduced by CCP was 32 (10 + 4+ 4 +14) in this excercise Exposures:
  11. R

    Exam Feedback November 2016 Part 2 Exam Feedback

    The overcollateralization question, I think the answer was C. This question was quite straigthforward I think, but may be I've misunderstood the question. I don't remember the numbers unfortunately :( . 1- calculate the amount of interest paid by the pool of loan (4 million I think it was 80...
  12. R

    FAQ Before Exam FRM Part 2 Study Strategies

    Hello! I hope you'll see this message... I'm currently preparing FRM part 2. I want to read core books. Did you buy all these books?
  13. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    And I've a letter of congratulation too!
  14. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    yes! green. I'm relieved... :)
  15. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    Garp has just sent me an email "view your exam results". I click on the link and nothing appears except an page with "exam result" and nothing else...
  16. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    we should all stop to panic and stop to go on the website, may be that will allow them to solve the problem earlier. I hope we will have the same results tomorrow but right now we can't change anything.
  17. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    They told me (and I called twice) that results will remain the same. I asked why my results went from "passed" to undeterminated and they told me "don't worry results will be the same, if it was passed it will still be passed. just wait a couple of hours, we had a technical error on the website"
  18. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    I was just joking...Wanted to emphazise on this picture : me telling him to make a oath or something like that
  19. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    I've asked this exact question and the man told me yes... I should I've made him swear on the Bible... zut (as we say in France) :)
  20. R

    Exam Feedback May 2016 Part 1 Exam Feedback

    Ok I called them and they told me there will be no changes on the results...
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