FRM Level 1 Nov 2012 Feedback

[caramel]

Nabil I guess convexity was negative 5 and a couple of digits thereafter. I remember solving this question It was a part of the 2 part question. Cant remember the exact digits as it nearly a week past the exam. but do remember I got an exact answer to both parts. Well regarding the difficulty the exam is graded on relative terms so if majority of people found quant tricky , the overall quartiles should come down . thats the solace I am living with till the 2nd of jan

 

[nabil1234]

Nabil I guess convexity was negative 5 and a couple of digits thereafter. I remember solving this question It was a part of the 2 part question. Cant remember the exact digits as it nearly a week past the exam. but do remember I got an exact answer to both parts. Well regarding the difficulty the exam is graded on relative terms so if majority of people found quant tricky , the overall quartiles should come down . thats the solace I am living with till the 2nd of jan

thanx Caramel for answer, for me i practecd a lot about duration and convexity but for bonds, not bonds embeded with options, and there was a question about poisson distribution despite i practecd a lot about it but i did not reach the correct answer
but i could reach a lot of answers where the answers were white or black so may be i will pass this time

I hope the quartiles come down this is something that makes me optimistic

 

[Bryon]

I remember these 2 questions now. The key is to identify to whom the option has value to and to +/- option cost to arrive at plain vanilla bond price.
Then it's just the usual duration/convexity formula. I think I only get to the exact answer on only 1 part.
The poisson distribution question is one of my wild guesses.

 

[nabil1234]

I remeber 2 questions with same data asking for solve short fall and VaR by using historical simulation approach , i dont know how to solve short fall , so i solved it as same as solving the Var. is it correct?

 

[Turtle King]

Hi nabil1234,

To solve for expected shortfall, you had to calculate the average of the worst 10 historical losses. Worst '10' because the question required us to caculate ES at a 99% confidence level over the historical returns of the last 1000days.

 

[Turtle King]

Notice that a few earlier posts in this thread refer to 'avg. of worst 9 losses' as the solution for the ES question and this to me is incorrect.

Please refer to the thread below: @caramel's question with David's response.

http://forum.bionicturtle.com/threads/expected-shortfall.6298/

 

[nabil1234]

you are correct, you know, i studed from Schweser notes but i dont think there is some point in Schweser say that the ES is same as conditional VaR, so i didnot know how to solve it.

 

[nabil1234]

i want to ask about 2 questions about duration and convixety of bonds embeded with options or futures, i want to ask if the answer of them was the choice number D?

 

[delta123]

i want to ask about 2 questions about duration and convixety of bonds embeded with options or futures, i want to ask if the answer of them was the choice number D?

I remember the answer for convexity question, when i calculated converxity came like a big 5 digit number "51345" and ans B was this 5 digit number and D was the same number with decimal after first digit "5.1345". I first picked D as it was matching with the numbers except decimal position but looking at the other choices i changed my answer to B

 

[aagar2004]

itisme

Given
P (positive | fraud ) = 1
P (negative | not fraud) = 0.95 (hence P (positive | not fraud) = 0.05)
P ( fraud ) = 0.001
What is P (fraud | positive) ?

P (fraud | positive) = P(fraud) / P(positive) * P(positive | fraud) , by Bayes’ Theorem
= P (fraud) / [ P(positive | fraud)*P(fraud) + P(positive | not fraud)*P(not fraud) ] * P(positive | fraud)

Used venn diagram to solve this

P(fraud|+ve) = 1/(1+999*0.05) = 1/(1+49.95) = 0.01963 (Is this correct?)

 

[a.lesnar]

hi everybody
results will be announced soon, but I would like to receive a feedback on two questions:

1. there was an exam question concerning Garp code of conduct, to which I answered that the code had been violated: am I wrong?
2. A question was about Basel 2 recommendations: is it correct to assume that Basel 2 required to carry out risk management activities taking into account also a business unit perspective?
3. was there either in the metalgesellschaft or in the LTCM case a lack of control on the activities the factor responsible of the financial disaster?

Thank you for comprehension: a feedback regarding these questions would allow me to spend this precious holiday week with lower pression before the result release..

 

[a.lesnar]

Hi.

The question paper started with instruction that assume all rates are continuous if not stated in the question

Also had a z table in the paper

In addition to what mani had mentioned
1. Calculate correl coeff given yester days covariance and lagged return for both assets..
Also todays vol for both assets given
2.cal Culate capital for loan loss reserve given o/s,ugd, pd, lgd, lgd var
3.den 3 ques from binomial pricing
4.4 ques related to var and application of variance formula-one was sitter. Convert 95% 1 day var to 99 % 1 day var
5 duration hedging. 2 ques on hedge ratio /min var hedge ratio
6.not much of bonds this time
7.one easy garp code of conduct
8. Two ques from stultz risk management
9.calendar spread.straddle.
10.question on sovereign risk Stress test
Will post more

what you mean with :"one easy garp code of conduct"?
was the code violated in that case, if you remember?
thank you for comprehension, have a nice NYE!

 

[balajismz]

I have cleared the Nov part 1 exam and below are my quartile scores.
Foundations of Risk Management and Var - Q1
Quant and FMP - Q2

I have studied mostly from Schwezer notes which I completely regret as I found the exam lot tougher than the practice papers. I would like to start to prepare for my part 2 exam using BT notes which I heard is a notch or 2 above the main exam.

Many Thanks,

Balaji