Exam Feedback May 2017 Part 2 Exam Feedback

[KA1991]

Could you show me the calculation?
is it Amount - Threshold-minimum ?

Sure - Exposure was 4,700,000 Threshold was 4,000,000 and MTA 300,000
Therefore 4700000-4000000=700000 (Note - threshold is uncollateralized exposure and MTA was 300,000, that triggered the outflow)

 

[KA1991]

Genralized Extreme value distribution? not amount? Isn't it has to be amount not frerquency?

Yes, I have selected Pareto only.

 

[cj9101]

Sure - Exposure was 4,700,000 Threshold was 4,000,000 and MTA 300,000
Therefore 4700000-4000000=700000 (Note - threshold is uncollateralized exposure and MTA was 300,000, that triggered the outflow)

Thank you looks like I got it right. Thank you. What about Vasicek model?

 

[cj9101]

Yes, I have selected Pareto only.

Oh I see I thought it should be amount. maybe I am wrong. Thank you.

 

[KA1991]

Thank you looks like I got it right. Thank you. What about Vasicek model?

I don't remember any question about Vasicek model. Can you give me a hint?

 

[KA1991]

Oh I see I thought it should be amount. maybe I am wrong. Thank you.

No - even I'm not clear it was just an assumption, considering threshold is already an amount - so the number of exception would be key. I could be wrong as well.

 

[cj9101]

I don't remember any question about Vasicek model. Can you give me a hint?

There was a calculation problem for Vasicek.

 

[cj9101]

No - even I'm not clear it was just an assumption, considering threshold is already an amount - so the number of exception would be key. I could be wrong as well.

Ok. do you know answer for negative interest rate policy?

 

[cj9101]

No - even I'm not clear it was just an assumption, considering threshold is already an amount - so the number of exception would be key. I could be wrong as well.

Do you know what is the answer for Credit VaR with recovery rate 2%?

 

[KA1991]

There was a calculation problem for Vasicek.

Yes, I wasn't very clear about it. Considering the mean reversion rate was small. I selected 4.53 or something%

 

[KA1991]

Ok. do you know answer for negative interest rate policy?

I selected - customers are shielded, so they aren't withdrawing the cash.

 

[cj9101]

Yes, I wasn't very clear about it. Considering the mean reversion rate was small. I selected 4.53 or something%

I choose 7.xx% but not sure.

 

[cj9101]

I selected - customers are shielded, so they aren't withdrawing the cash.

I choose not operated because of barrier of reality.

 

[ashish_pandey]

I dont remember what i answered and what were th..but

Yes, I have selected Pareto only.

It has to pareto and frequency bcz both GPD GEV and POT are frequency dist functions

 

[vistag]

Yes, first one I went with 'D' that said transfer of operational risk to customer with use of wallets
.

Wallets is a tool for making things easy for the end customer in managing bitcoins and it doesn't decrease operational risk for the bank(the question was why would bank be incentivised to use bitcoin) as far as i remember it is about some decentralization benefits,cdnt recollect the answer or options. Secondly i might be completely wrong

 

[Roddefeller]

Oh I see I thought it should be amount. maybe I am wrong. Thank you.

Generalized Pareto is used to model severity (GARP Readings, Operational Risk, p108).

 

[KA1991]

Wallets is a tool for making things easy for the end customer in managing bitcoins and it doesn't decrease operational risk for the bank(the question was why would bank be incentivised to use bitcoin) as far as i remember it is about some decentralization benefits,cdnt recollect the answer or options. Secondly i might be completely wrong

Yeah - I don't remember the reason why I selected this option. However I think it was in relation to hedging recommendation or risk reducation - so not having to manage a customer account for bitcoin/cash is a benefit. Example: Making incorrect entries onto the client ledger/incorrect transfer/theft - these are operational risk that bank/institute face. I feel I'm wrong - but these were my considerations.

 

[vistag]

W

I dont remember what i answered and what were th..but

It has to pareto and frequency bcz both GPD GEV and POT are frequency dist functions

Gev is a severity distribution right?

 

[bpdulog]

I planned arrive at 1:00, but there are multiple car accidents delay me for like 30 min, then I scratched my head searching building to building to find the exam location, there is no clear sign of GARP exam at all. so outraged.

I am so risk averse I took a 10am train to get to NYC. Got to exam site at 12pm.

 

[KA1991]

W


Gev is a severity distribution right?

True - I think I've done an error there. I selected GP with frequency.