Exam Feedback May 2017 Part 2 Exam Feedback

[tatiana.andronova]

does anyone remember what they answered to this question?

I answered "0 bps." 187.22 = 200 x e^-(0.0331 + Spread)*2. Solve for Spread = o

 

[Linghan]

I answered "0 bps." 187.22 = 200 x e^-(0.0331 + Spread)*2. Solve for Spread = o

Me too!

 

[ashish_pandey]

i think I chose the OIS do have Risk and needs to evaluate....

Discounting derivatives (non collateralised or risky assets) should use LIBOR for discounting i dont remember the question but OIS is used to discount close to risk free assets

 

[tatiana.andronova]

i think I chose the OIS do have Risk and needs to evaluate....

The question was about impact of switching from OIS to LIBOR. I chose "dependence on bank risk"

 

[Linghan]

Discounting derivatives (non collateralised or risky assets) should use LIBOR for discounting i dont remember the question but OIS is used to discount close to risk free assets

ois is for collateral..because it is considered risk free. But no choice for that and the last one ois does have risk sounds correct to me.

 

[Linghan]

The question was about impact of switching from OIS to LIBOR. I chose "dependence on bank risk"

Oh..I remembered the wrong question then...>_< approximately which number it is...?

 

[Linghan]

The question was about impact of switching from OIS to LIBOR. I chose "dependence on bank risk"

Ugh...I prob did it wrong..I chose cva might decrease I think..I did remember now..

 

[tatiana.andronova]

VAR Mapping questions for fixed income securities were pretty basic, mostly on the difference between principal, duration and cash flow mapping. I recall one specifically referenced the necessity to adjust for yield returns VAR in the cash flow method.

 

[Linghan]

VAR Mapping questions for fixed income securities were pretty basic, mostly on the difference between principal, duration and cash flow mapping. I recall one specifically referenced the necessity to adjust for yield returns VAR in the cash flow method.

I think that's the last three? Difference between duration and cash flow?

 

[ashish_pandey]

Ugh...I prob did it wrong..I chose cva might decrease I think..I did remember now..

Now i remember..probably i chose the same..bcz using libor would further decrease the EE and thus the cva

 

[Linghan]

Now i remember..probably i chose the same..bcz using libor would further decrease the EE and thus the cva

That's what I thought!!!!!

 

[Linghan]

I answered "0 bps." 187.22 = 200 x e^-(0.0331 + Spread)*2. Solve for Spread = o

I used -1/2 * ln (market/ face) + rf get the same answer

 

[ashish_pandey]

That's what I thought!!!!!

Any expectation on minimum cutoff? I believe around 40+ as a fair judgement for garp to maintain number of candidates passing level 2 around 55%

 

[tatiana.andronova]

I also think the exam was moderate difficulty. I wonder about GARP's motivation to lower the difficulty level of the exam, i.e. to increase the passing score (from the historical average of 55% to say 65%) or to let more people clear the exam.

 

[Linghan]

Any expectation on minimum cutoff? I believe around 40+ as a fair judgement for garp to maintain number of candidates passing level 2 around 55%

I have no clue...I was aiming to get as many as my answers correct!! Of course with today's incidence I prob can't...I am bad at guessing cut off.

 

[Linghan]

I also think the exam was moderate difficulty. I wonder about GARP's motivation to lower the difficulty level of the exam, i.e. to increase the passing score (from the historical average of 55% to say 65%) or to let more people clear the exam.

I hope garp is thinking the same..

 

[[email protected]]

i do feel there were lot of D and A

 

[[email protected]]

I answered "0 bps." 187.22 = 200 x e^-(0.0331 + Spread)*2. Solve for Spread = o

i first calculated the market value of the bond using long treasury bond and short put option. which came to someway around 178. usin the credit spread formula i used this value to get spread of 331 basis

 

[KA1991]

1) Calculation of Collateral with given threshold and MTA.
2) Micro benefits of ERM
3) Advantages of Bitcoin
4) Implied forward rate given Fixed swap.
5) Calculation of Expected shortfall (2 Questions)
6) Given the diversifed funds (with their performance) - which risk adjusted performance measure to be used.
7) Calculation of Hurdle Rate
8) Calculation of payoff using the implied correlation and fixed correlation
9) Lognormal VAR calculation
10) Cause of market funding deterioration
11) Calculation of CCP's equity after exposure of its member.
12) CVAR calculation.
13) Hazard rate questional
14) Value of 2 year bond with equal probability, with interest rates.
15) Mean reversion correlation
16) Backtesting recommendations
17) Calculation of Bonds required for DV01 regression hedge
18) OIS and LIBOR - added good twists in the options. What is better. What happens due to shift from OIS to LIBOR?
19) Volatility smile in case of price jumps.
20) Stress losses
21) CVA with given discount factors and exposure(added the collateral effective year 2)
22) Best expected MVAR to Expected return (no portfolio var was given) - which portfolio will be increased.
23) Learning about credit rating models.
24) Moral hazard and adverse selection cause.
25) Step that will reduce undercollateralization
26) Given four options 2 Long (1 is SIFI) + 2 Short - what would cause the highest exposure.
27) Best practice of stress testing (conservative way)
28) Best practice for small insurance company - fundamental principles of operational risk management.
29) About HFT - majorly from risk mitigation perspective.
30) Advantage of RAF - how this will be used by the firm.
31) Value addition due to use of KRI metric.
32) SMA vs old operational capital models.
33) GEV or GPD - if used threshold.
34) How operational risk is managed when there's a Vendor.
35) french fama - given the regression - to assess where the investment is focused (SMB, HML, Market)
36) how to correct biases caused by infrequent trading
37) features of portfolio construction - find which is correct.
38) diversification benefit - to calculate the individual var and diversified var (difference)
39) what does risk plan contains (with given options)
40) advantages of electronification of FI trading.

 

[marque]

So sad, I missed the exam, arrived there by 1:47pm