there were 2 questions on expected and unexpected loss. did anyone manage to work this one out correctly or remember what it was? i worked out that adjusted exposure was 3 million (if i remember correctly), but i almost tore out my hair trying to work out the expected loss and select an answer from the list!
Exam Feedback FRM Part 1 (May 2014) Exam Feedback
- Thread starter David Harper CFA FRM
- Start date
Dont remember anwers. But i remember that their definition of UGD was tricky so i tried with 1-UGD too, just to see if it is in one of the options.. Though i struggled to find unexpected loss and hopefully found that in the end.
Sorry I meant COM..Ehm, what do you mean by (1-UGD)? The definition of AE = OS + UGD*COM, or so I thought??
It's a good thing.. Once things will become final, many if us will loose heart..
Jokes apart even I want to see final answers.
plulutes
New Member
I calculated omega/gamma weight as being lower than the stated variance and selected the graph that started lower and reverted higher. :0 I can't be sure, but I think I calc. something like 0.000053 something to 0.000055 something. But I didn't calc. an updated variance based on returns and variance, just compared the long run variance in the question to the omega/gamma result.
plulutes
New Member
Adelaide,
I got the EL and got a selected answer just using EL=PD*AE*LGD but don't remember the number now but, UL I remember something like 118 or 180...anyway 1's and 8's. UL=AE * sqrt (variance of LGD*PD + LGD^2 * PD * (1-PD) ) However, the PD *(1-PD) was replaced with EDF^2 that was given. That's what I came up with anyway.
I got the EL and got a selected answer just using EL=PD*AE*LGD but don't remember the number now but, UL I remember something like 118 or 180...anyway 1's and 8's. UL=AE * sqrt (variance of LGD*PD + LGD^2 * PD * (1-PD) ) However, the PD *(1-PD) was replaced with EDF^2 that was given. That's what I came up with anyway.
Roshan Ramdas
Active Member
Did not see the need of calculating an updated variance.
Omega ( Long run average variance rate * Gamma) was provided
Gamma as you pointed out was calculated using the 1-Alpha-Beta logic
The Long Run Average Variance Rate would then be-> Omega / Gamma
Take a square root of the long run variance rate to arrive at the long run volatility.
Compare the present volatility estimate to the long run volatility rate to arrive at whether there is going to be a +ve or -ve drift.
plulutes
New Member
I don't remember if we were comparing variances or volatilities, just remember that my comparison figure was .00053 vs. .00055 (something like that). Do those figures ring a bell? If not, I may have missed something.
I felt absolutely terrible after this exam. I am not sure what I was expecting....I would have liked to have left feeling confident but that was definitely not the case. I ran out of time and had to guess on at least 20 questions.....which is very frustrating because I did not anticipate time being a problem, given how quickly I was able to complete my practice exam. We also had the privilege of listening to some type of corporate training session in the conference room next to our testing room; this was particularly unfortunate and distracting.
plulutes
New Member
Wow! last thing you needed are some distractions to go with your first attempt at the FRM!! Thats a legit complaint if I've ever heard one. Air conditioning came on in my test room and I got upset!
It was pretty terrible....
As an aside, I would love to speak about the exam questions, but it is my understanding that it is a violation of the Code of Ethics....is it not?
then it was clearly a calculation mistake as everything was given, AE was calculated for the expected loss....too bad
plulutes
New Member
This forum is dedicated to discussing the exam and the questions as we remember them. Never heard we can do that. In fact if this were the case, I think BT would have a problem.
I hear you @plulutes - I suppose since David is encouraging the discussion, it is not inappropriate.
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