JacquesBBB
New Member
and an other sub question of this block where I select that the merton model was not appropriate
Exam Feedback FRM Part 2 (November 2014) Exam Feedback
JacquesBBB
New Member
The liquidity Ratio with the RWA in the denominator disturb me, cos I expected the exposure (without risk weight) in the denomitor and the Tier 1 in numerator
Ank
Member
Hey it's mentioned for retail customers they have automated process, so it can't be consumer. I put Non financial but not sure as analyst is from a big lender. either Financial or Non financial company
monumonumental
Member
i selected consumer as well....do one thing please keep posting what ever questions you all remember..i have posted around 54 questions already...if we can increase the sample to say 70 questions...then we can estimate the MPS here only on BT.
Ank
Member
For difficulty here at my testing site Bangalore ppl are saying for good amount of Q they have no clue. It include some ppl who are appearing for 3rd time
Ank
Member
Now getting this feeling that I read Q wrong.i selected consumer as well....do one thing please keep posting what ever questions you all remember..i have posted around 54 questions already...if we can increase the sample to say 70 questions...then we can estimate the MPS here only on BT.
. Can you please correct if I am wrong Q is asking what is the day to day task of CreditA in a big lender?monumonumental
Member
I think the questions asked us that in case of which of the following individuals does the analyst cannot rely on qualitative analysis only..Now getting this feeling that I read Q wrong.
Ank
Member
Yes I misread it then
In my opinion, BT questions were extremely helpful and in line with P1, but too easy for P2 (I reviewed them three times, practiced GARP 2011-2014 and end of books questions which were also easy!) It felt after the exam that BT drilled down 100 feet and FRM questions yesterday were a mile deeper. Oh well, it will be interesting to see the results.
Roshan Ramdas
Active Member
The reason why I selected consumer credit was because there was a mention of the usage of statistical tools and (I think) scoring methodologies and this matches the profile of individual (consumer) credit. I may be wrong here,....but there is a write up in paragraph 2 page 21 (GARP's credit risk book) that leads me to believe that that this was the answer.
monumonumental
Member
So 50/80 is safe?
Re: For the RWA question, if I remenber well, the credit part was already given in RWA , but not the market and op risk part. So we had to multiply the market and op risk by 12,5 and sum it with the given RWA credit amount.
For op risk, it isn't 15%? That was the thing that was throwing me off. I knew it was 8% of RWA for the others, but I thought it was 15% for op risk.
For the minimum interest rate RAROC question, I got a number slightly above 5%, so I went with the next largest amount--I think it was 7%.
For the trade repository question, I said it would help regulators detect credit risk concentrations.
For op risk, it isn't 15%? That was the thing that was throwing me off. I knew it was 8% of RWA for the others, but I thought it was 15% for op risk.
For the minimum interest rate RAROC question, I got a number slightly above 5%, so I went with the next largest amount--I think it was 7%.
For the trade repository question, I said it would help regulators detect credit risk concentrations.
Roshan Ramdas
Active Member
Hi @monumonumental - I agree with most of the answers on your initial thread and some, I don't know myself. Could you clarify my comments (in blue) for the below questions, please.
2)We use internal data for body and distributions to model tail in measuring of loss severity. I selected answer which made mention about internal loss data for body & external loss data for tails.
4)Leverage ratio was around 2.94% Donot remember answer but used formula-> (Tier 1 Capital/Asset Weighted Exposure).The numerator should have Total Tier 1 Capital (and not just common equity component).
5) 73% was LCR .....this has already been discussed on this thread.
12)A question on trade repository where i selected that they are to protect unsophisticated investors from cheating.......Disagree.I selected option of regulators being able to control risk concentration.
13)A question on transaction liquidity where i selected the 1st option.....not sure which question ??
18)Graph of IO strip..i think it should be D as interst component decreases over time......I selected the line which had the biggest drop,....not sure if this was D.
20)Diff between OAS/NS/ZS.....I selected the option where OAS was deemed relatively superior as it captures prepayment risk.
21)a question on EL where i think the answer was 60......which question was this ?
30)Few questions on CSA where stronger party will want one CSA ......there was a few questions on funding liquidity risk, don't remember the answers. I think that the reason why I may have rejected the one way CSA option was because the option made mention that the one way CSA would reduce the counterparty exposure for both the institution and hedge fund. In my view, a one way CSA will not reduce the counterparty exposure that the hedge fund faces to the institution.
40)A question on holee model..i am not sure about the answer......the answer had time dependent risk premia (i.e., drift)
45)Solvency vs Basel..i think i got it correct....I selected the one which stated VAR came with varying confidence levels for different risk classes and Solvency had a single measure for company as whole ?
monumonumental
Member
I think in question 2 we both selected the same answer....
monumonumental
Member
let us discuss all this in another feedback thread for FRM P2..i think that thread has better traffic..https://forum.bionicturtle.com/threads/frm-part-2-november-2014-exam-feedback.8149/page-2#post-32390
monumonumental
Member
4)I think we are asked to use Basel 3 and i think we should use 10.5% of RWA instead of 8%in Basel 2.
12)I think you are correct...even i selected risk concentrations earlier but later changed the answer..a silly mistake.
13)I think in this question the options were like 1)new ipo had shares traded 10% premium....2)Hedge fund is closely guarded by portfolio managers etc..
18)We are on same page here.
20)We are on same page.
21)RR was 40%...PD i forgot
30)Bank will take one way CSA with hedgefund since bank is superior and would love to take advantage.,..there were 5 questions on CSA..i don't remember them all.
40)I did a mistake here ..i selected the option with non parallel shift..i think you are correct..
41)I think answer will be. the one in which Solvency looks at firm wide but basel does not..
Roshan Ramdas
Active Member
Hi All,
Were any of you able to crack the below -
"bank xyz hedging long position in us gov bonds with SCDS. Prev model used average of bid prices, now considering moving to mid price. As the bank was the protection buyer it was paying, not receiving premiums, so one answer is ruled out."
I selected,....CP will start posting losses.
Were any of you able to crack the below -
"bank xyz hedging long position in us gov bonds with SCDS. Prev model used average of bid prices, now considering moving to mid price. As the bank was the protection buyer it was paying, not receiving premiums, so one answer is ruled out."
I selected,....CP will start posting losses.
monumonumental
Member
I am nt sure about this//i think i posted the same ans as you.........the options i didnt select in exam was 1)Basel guidelines not met 2)Receiving premiums..
Ank
Member
I selected XYZ will pay big loss onetime........ option
monumonumental
Member
I think i selected same thing..
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