Pure guessing: 40-60
EDIT: Sry, totally forgot that we had only 80 questions, so I guess 30-50
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Exam Feedback November 2015 Part 2 FRM Exam Feedback
- Thread starter Nicole Seaman
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Pure guessing: 40-60
EDIT: Sry, totally forgot that we had only 80 questions, so I guess 30-50
Hello
Can I kindly ask you whether you are sure about choice B? because I remember that one option was something with replacement costs minus insurance recovery, I am not completely sure about it by the way
Thanks
This is what Ive had also in mind.
yes insurance premium should never be added
I think you misunderstood. Insurance premiums should not be added. Mitigation by insurance is allowed, however, up to 20% and with several restrictions, but only under AMA. Operational loss cannot count either premiums or insurance mitigation. You'll probably get the question right anyway, so cheers 
Does anyone recall the question about a firm worrying about traders exposures with counterparties. The answer options were to adjust CVA, adjust DVA, adjust FVA and one more.
I was discussing this question earlier; and I got that we should adjust the counterparty's DVA (which would be the equivalent of adjusting your CVA.) Does anyone recall this question and whether it was asking for how to adjust the counterparty or how to adjust your own portfolio?
I was discussing this question earlier; and I got that we should adjust the counterparty's DVA (which would be the equivalent of adjusting your CVA.) Does anyone recall this question and whether it was asking for how to adjust the counterparty or how to adjust your own portfolio?
Paranoid Panda
New Member
Hi I remember choosing adjust your cva because exposure was increasing or something like that so I read that question from the traders perspective..not the counter parties ...thanks for adding a new question
And as for scoring I'm just looking at around 35
The only thing I remember is that I choose CVA...because the question was about Credit worthiness decline from your counterparty (?!). Thought FVA made no sense because there was no talking about financing cost and DVA made no sense because the question was not talking about us (the firm) defaulting. Maybe Im wrong, don't know exactly
Can't remember the question, but FVA is definitely wrong as per Hull. The answer depends on whether the question is asking for bilateral exposures. If so, DVA will need to be considered. If it is asking for a change in exposures, then only the CVA change needs to be considered.
Yes, I agree with most people here that it is a CVA from the point of view of the firm.
However, for some reason, I recall the question being about how does the firm adjust the counterparty's position in their models. And in that case, since the CP has a higher default probability, that would be an increase in their DVA.
I guess its a matter of whetehr the question was asking for the adjustment from our point of view, or from the CP point of view...and for some reason, I seem to recall it asking from the CP point of view.
If its about the counter party's default risk, and their default risk goes up - wouldnt that imply an increase in the counterparty's DVA?
As far as I remember it wasn't about any kind of "view". I thought to have mind that it was only questioned what does the firm do to adjust his counterpart credit worthiness.
So if they are specifically adjusting the counter party's credit risk, then does that not mean they adjust the counter party's DVA?
I think we agree in principal, just a matter of how we interpreted the question..wish GARP was a bit more clear on this one.
I think there are 2 options:
1) As far as I remember it was only told about the credit worthiness of the counterparty and the view is "our" firm". So CVA.
2) It could be the case that they told about the credit worthiness of of our counterparty but the view is the counterparty, Then DVA --> BUT you can also say that negative CVA (=DVA)
Dont k now but option 2) sounds strange and I haven't in mind such a "complex" question. Furthermore CVA seems to be in both cases more "right" than DVA. What you guys think?
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It's adjust CVA from what I gather here. In general, the CVA is simply whatever the PV of the expected credit loss is, to be deducted from trade value. If a counterparty's worthiness decreases, CVA increases. DVA is not adjusted because the worthiness of the company itself has not changed. The bilateral CVA adjustment is for the company's DVA, not the counterparty's.
On a side note, CVA to company does not necessarily = DVA of counterparty.
On a side note, CVA to company does not necessarily = DVA of counterparty.
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