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

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...

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" ...

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 =...

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

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 :'(

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 =...

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

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

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:

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...

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?

And I've a letter of congratulation too!

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

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...

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.

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"

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

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) :)

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