Exam Feedback May 2016 Part 2 Exam Feedback
- Thread starter Nicole Seaman
- Start date
Did you guys calculate DD with the LN formula? I tried (20*1.05-10)/(0.28*20.5) but couldn't get the DD among the 4 choices...anyone knows what went wrong with my formula?
I spent so much time solving a couple of numerical questions in the way I thought was right but turned out I couldn't get the answer...another one I recall is the binomial tree with Ho Lee model...find the min volatility that will make the interest rate negative after 2 periods.
Yeah same thing for me i got around 710k. Could not get it to 709k exactly. I chose PSA 115 and checked my book this morning and seems that the SMM with the highest level was correct.
Anyone remember 3 Cumulative default curves on the same graph, asking for comparison? Options were higher CVA, higher initial cost of entering transaction, lower 1-year default after 1 year. I had no clue, so I chose lower 1 yr default after 1 yr due to less steep slope.
Also, comparison of delta, gamma, theta, vega of call & put after 10 days elapsed. I had no clue so I just chose delta
Also, comparison of delta, gamma, theta, vega of call & put after 10 days elapsed. I had no clue so I just chose delta
jacksonxyz
New Member
Anyone who got to solve the value for index portfolio? I was trying to solve it but could not crack it..
u have to use log formula for DD
It was the least one like 6%. There's a formula for ideal weights of manager according to their info ratio and tracking error
I Chose the Highest value 4000000for that. But really not sure. I just weighted the position so that the tracking error is less than 3
fujii_itsuki
New Member
Which one did you choose? The one for retail or the one for trading and sales?
Not sure which one i chose or what was the question, i just remember the logic i used to calculate the Capital charge for BIA. For CCAR i made a typo i chose -2.7.
fujii_itsuki
New Member
Anybody remember the last question on model risk? The qualitative one, B and D both looks "correct", which one did you guys choose?
gaurav11235
New Member
DD was supposed to be calculated using LN formula. I was able to get the answer among the available choice.
Last edited:
Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
i believe WCDR i put 10% but i think the correct answer is now 25 due to maturity adjustment.Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Add
Add on (not sure if some are repeated from the above)
51) property of ES (under normal distribution ES = 97.5% VaR?)
52) calculate VaR with collateral
53) question about CCAR...would equity market value aggressive or conservative capital buffer? ( I put aggressive buffer that takes advantage of the resubmission program)
54) how does an increase in a company's asset volatility impact its senior debt, subordinate debt and equity. (I put increase in equity and subordinated debt but decrease in senior debt)
55) one question about best practices after the crisis..can't recall what exactly the question and answer was
56) how to tackle historical simulation with not enough data (I put bootstrapping)
57) find the biggest joint probability. choices were A default and B does not, both A and C default and both A and D etc (I think I put both A and C default)
58) calculate CS of a five year corporate bond
59) question about liquidity dimensions: immediacy, resilience, depth etc
60) question about hazard rate, recovery rate and CS (I put the impact on hazard rate due to increase in CS will be partly offsetted by the decrease in RR)
Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Add on (not sure if some are repeated from the above)
51) property of ES (under normal distribution ES = 97.5% VaR?)
52) calculate VaR with collateral
53) question about CCAR...would equity market value aggressive or conservative capital buffer? ( I put aggressive buffer that takes advantage of the resubmission program)
54) how does an increase in a company's asset volatility impact its senior debt, subordinate debt and equity. (I put increase in equity and subordinated debt but decrease in senior debt)
55) one question about best practices after the crisis..can't recall what exactly the question and answer was
56) how to tackle historical simulation with not enough data (I put bootstrapping)
57) find the biggest joint probability. choices were A default and B does not, both A and C default and both A and D etc (I think I put both A and C default)
58) calculate CS of a five year corporate bond
59) question about liquidity dimensions: immediacy, resilience, depth etc
60) question about hazard rate, recovery rate and CS (I put the impact on hazard rate due to increase in CS will be partly offsetted by the decrease in RR)
Hey guys!
Exam was really, really tough...
To control my anxiety, i've tried to compile all the questions that were discussed here.
Based on this sample, i would get ~55%-65%... i'm afraid this is not enough... Praying for a cuttoff around 45...
(it is possible that there are repeated questions...)
1) Half life of Vasicek
2) JP Morgan - ignored & raised risk limits
3) Market maker earns illiq premium even after all the costs
4) Fundamental review of trading book - can shift assets from trading to banking (vice versa) only under strict circumstances
5) NSFR (currently at 1.05) decreases when wholesale loan matched dollar for dollar with mortgage loan
6) RAROC - 12% or 8.8%?
7) Liq-adjusted Var: difference between exogenous vs constant spread
8) Duration mapping: increase in interest rate reduces VaR
9) Stress testing: -8% and use -2.7% to be conservative?
10) Illiquid returns underestimates beta
11) How to account for lliquidity when running a model (aggregating data, lags on dependent variables, etc.)
12) Market risk charge using stress VAR
13) Change in CVA given the 3 years of pd, EAD, LGD values. In the second year there was a collateral of 12%
14) CVA where discount factor LIBOR was regressed against another factor
15) Cyber security, what should be first step of CEO?
16) Q-Q plot
17) Calculate DD using KMV model (long formula) and map to respective probability to default bucket.
18) Optimal allocation among managers using information ratio and TE and assign the left over to the index.
19) Expected shortfall using 96%-99% VAR value
20) One question on netting factor calculation
21) One question on netting and other without netting.
22) Bond valuation using binomial tree
23) Wrong way risk for both options
24) Operational risk capital charge using basic indicator approach. (average the positive years and multiply by 15%?)
25) One where Frechet distribution was the answer (Extreme Value Theory)
26) One where I selected poisson distribution for frequency, lognormal for body and pareto distribution for tail.
27) Central Clearing party where I selected 50 million as left over contribution share after one party defaulted.
28) One where an option was increase in default affects senior more
29) Definition of step up
30) What leads to decrease in credit of junior tranche - either margin step-up for all tranches or increase in notional of senior
31) LIBOR 1 year forward calculation question
32) 33) 34) 35) MVAR CVAR Incremental VAR, etc.
36) Mean Reversion of 10 yr correlations
37) Long Corn WWR (other options included short in a bank stock and long a call on oil with a plane company)
38) Exception Problem (fail to reject? 95% VaR at 99% confidence)
39) Last question - liquidity decrease will increase model risk
40) Prepayment Mortgages (PSA, etc)
41) Initial Cost of CDS A is higher than B (three different curves of probability of default were given and there were several options relating them)
42) Ho-Lee drift - 2 period interest. Calculate what is the volatility that will equal to rate 0% in the lowest node
43) Huge Case #1 (one of the options was pension fund had RWR with the company)
44) Var Position 100000 when EUR were removed
45) Var two stocks one with with sigma 8%, other with sigma 6% and correlations equal to 65% and 70%, respectively. Which to choose, X or Y?
46) Stress scenario developed by regulators or he can use his own parameters? (house price index exposure and domestic gdp)
47) Probability of default (AB, AC, AD) correlation matrix 0, -0.5, 0.5 (this was the first question)
48) WCDR (10%, 15%, 25%?)
49) Put & call delta what happen when the stock price goes up
50) Central Bank lending or regulation (which one would best suit the situation)?
I have the sensation that there are some easy questions that are not in the list above (maybe i'm trying to be optimistic lol)
Feel free to contribute
Don't take it the wrong way, but I don't even want to look at this right now.
lol i totally understand you... but we can't log off BT...
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