We hope that everything went well for all of you who took the FRM Part 2 Exam today! We would really like to hear your feedback! How did it go? Did you encounter unexpected questions? Let us know how it went!
One question really puzzled me, 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. As remember, I selected out of blue, answer 'bank's CP might be violating Basel rules'.
Graph on PFE was rather simple, thanks to BT's video, I remember the shape, and feature of having peak PFE at around 1\3 of maturity for IRS (swap was there) zig zag ness of the shape I remember due to inequality in payments.
Anyone remembering other questions, I m kind of lost some memory after the exam, cannot recall any further question.
Waiting period starts....[/QUOT
I thought of the SCDS question like this- If the contract is marked to the mid price rather than the ask price, it will be equivalent to spread widening, which benefits the protection buyer, So the counterparty will have to post more collateral which was one of the options. Was not fully confident though.
I selected Zero as wellHow about question on cmo with big senior and mezzanine small tranches and zero equity tranche?
First question was impact on senior tranche when correlation increases, PD being unchanged.
Second was interest due to equity tranche. Since the was no equity tranche investors, zero pay - this is what I selected.
I selected Tier one, but the consistency with the RWA in the denominator impliedWhat about the leverage Ratio. I did nt understand the RWA in the denomitor. For me the Definition of this Ratio is Tier one / exposure
It was very difficult for me. I solved all BT problems published here but was quiet surprised to see 95% of qualitative questions on the exam. I wish I had spent more time rereading books instead. There was an error on my paper (I think) with finding number of exceptions and given n=2500 instead of 250 and the answer was 35. Also after reviewing what people said about May's exam on this forum, I thought the questions were easy, but November's exam was hard. I felt better after the first part than today.