If it is size of loss, then i choose the right one.yes, it's the size of loss, frequency of loss will use binomial, neg binomial or poisson distriution.
op risk i chose legal costs.
What I could remember is it was for frequency of loss..If it is size of loss, then i choose the right one.
8. Credit VAR at 95%, 6 defaults from binomial model -> Answer = 6*2 - 2*68*0.04 = 6.56milThere was a VaR question about a portfolio of 68 bond equally weighted, each 2 million worth. 6 defaults were expected and defaults were independent. What is VaR at 95%. Does anybody remember the question and its answer?
There was operation risk question something like this
There is a company XYZ that has operations in Africa. There Africa location is hit by a cyclone. Under what name this cost will company put on its balance sheet?
options were
Insurance cost from initiation till cyclone hit
The opportunity cost of losing the business due to a cyclone and needed to rebuild the business.
other two were clearly wrong
I am 100% sure the legal risk word was not there because once I saw this question one this that comes to my mind was legal risk is part of operation risk but strategic and reputation risk is not so I just check if in any option legal risk word is there.. Pretty lame i know hahaha
So 10% it's right !!! Thank'ss @nikicBut this question has appeared exactly the same in the GARP samples and the answer was 10.0% there?
I honestly thought this was a free and easy mark...
Memory is hazy now....but wasn’t the question worded EXACTLY as above? Or was it worded differently?
I am pretty sure that the answer is adverse selection but I don't remember the correct solutionFor the friction question between the arranger and asset manager, does anyone recall the answers? Were two "adverse selection" and two more "moral hazard"? I can't recall what I marked but I just eliminated what didn't make sense.
So 10% it's right !!! Thank'ss @nikic
No it is not 10. The wording is different. In the real exam we week asked the proba of A given B. In the mock it is the proba of A and then BSo 10% it's right !!! Thank'ss @nikic
Ok! I got it....I don't remember clearly that...but if it is the case, you are rightNo it is not 10. The wording is different. In the real exam we week asked the proba of A given B. In the mock it is the proba of A and then B
During this May 2019 Part II exam, I managed with just the two pink pencils that GARP provided. But in Nov 2018 for Part I, I had to ask for at least two extra pencils, due to the much higher number of quantitative questions. Did anyone experience the same?
Also, I hope GARP will provide better pencils in the future, surely the cost is a minor portion of the total administration cost. These pencils are probably the cheapest looking I've known in my life At least provide ones that are not cylinder in shape that would roll off the desk so easily.
What the calculation of lognormal VAR with options of 414 and 416 ? The question was "which one is the closest to the Var level ?" The normal Var gave 416 and lognormal gave 387... so I pick 414... I am 99% sure I am wrong though
I can't remember the exact numbers, but in my calculation of the Lognormal VaR, I got one of the exact responsesWhat the calculation of lognormal VAR with options of 414 and 416 ? The question was "which one is the closest to the Var level ?" The normal Var gave 416 and lognormal gave 387... so I pick 414... I am 99% sure I am wrong though
I was getting a very large var number for this..choose the largest of all the options .. remember it was D (six digit number?..What the calculation of lognormal VAR with options of 414 and 416 ? The question was "which one is the closest to the Var level ?" The normal Var gave 416 and lognormal gave 387... so I pick 414... I am 99% sure I am wrong though
Was there any relatively simple question on marginal VAR or component VAR for computation? I'm trying to recall what are the questions we've missed out from the Investment Management section (should be 12 total).
We have the following:
1. Fama French 3 factor model -> Answer = small minus big
2. Portfolio construction techniques -> Answer = ???
3. Hedge fund -> Answer = merger arbitrage and large downside tail risk like equities
4. Hedge fund -> Answer = profit from dedicated short bias strategy
5. Hedge fund, on the changes following institutional investors joined -> Answer = ???
6. Risk budgeting, 80mil US equities portfolio -> Answer = Add 50 mil of US bonds to portfolio
7. Define Incremental / Marginal / Component VAR
8. Maximize sharpe ratio -> Answer = ???
9. On selecting the manager with the best performance, options were alpha, mogdiliani etc -> Answer = ???
10. Unsmoothing -> Answer: Lower sharpe ratio / higher standard deviation
Was there any relatively simple question on marginal VAR or component VAR for computation? I'm trying to recall what are the questions we've missed out from the Investment Management section (should be 12 total).
We have the following:
1. Fama French 3 factor model -> Answer = small minus big
2. Portfolio construction techniques -> Answer = ???
3. Hedge fund -> Answer = merger arbitrage and large downside tail risk like equities
4. Hedge fund -> Answer = profit from dedicated short bias strategy
5. Hedge fund, on the changes following institutional investors joined -> Answer = ???
6. Risk budgeting, 80mil US equities portfolio -> Answer = Add 50 mil of US bonds to portfolio
7. Define Incremental / Marginal / Component VAR
8. Maximize sharpe ratio -> Answer = ???
9. On selecting the manager with the best performance, options were alpha, mogdiliani etc -> Answer = ???
10. Unsmoothing -> Answer: Lower sharpe ratio / higher standard deviation