agree, the funding risk goes only with volatility alone, stupid mistAKE
Exam Feedback November 2015 Part 2 FRM Exam Feedback
- Thread starter Nicole Seaman
- Start date
QUOTE="Paranoid Panda, post: 38885, member: 36663"]The societe generale question went like what did we learn from it and the options had force people to come back from vacation which was just wrong and then also traders should learn everything about back office operations so I had chosen better internal controls at every level.
Then regarding the stress period horizon i remember the options being really vague ( no surprise) so I chose the bank lines of credit are completely drawn at the time of default ..I remember reading in the BHC Chapter that if youre thinking of estimating losses you should be most conservative and assume everyone defaults or theres a strain of cash flow etc[/QUOTE]\
In the Societe General question , i remember it seemingly was an easy elimination of the other 3 options. and better internal controls or something like that was the logical choice.
Then regarding the stress period horizon i remember the options being really vague ( no surprise) so I chose the bank lines of credit are completely drawn at the time of default ..I remember reading in the BHC Chapter that if youre thinking of estimating losses you should be most conservative and assume everyone defaults or theres a strain of cash flow etc[/QUOTE]\
In the Societe General question , i remember it seemingly was an easy elimination of the other 3 options. and better internal controls or something like that was the logical choice.
I thought to have in mind that the question was which product (nth-Basket, CLN, CDS?) has the smallest credit exposure? Something like that?
I am not sure but I think so: I remember only two of the options, the CDS and the CLN
Shouldnt it be policy-mix risk, because the two analysts are actually talking about the right mix of emerging market exposure in the portfolio (if i remember correctly, one analyst says larger allocation to emerging markets and the other analyst says lesser allocation because of tail risk). If the analysts make an incorrect decision of higher emerging market allocation, then the policy mix itself will be a wrong decision. And I think sponsor risk is not likely, as the decision to invest or not invest in emerging markets will not impact the ability of the sponsor to contribute to the fund. I am not sure about funding risk though.
In my opinion, the exam first of should be more diversified, they cannot ask 8 questions from 2 pages only, like backtesting VaR, and CVar, MVar, 10% of the exam only on that, afterwards I totally disagree that the exam was easy, the wording at least in 30 questions was completely misleading, like on netting, CVar or MVar, regarding to policy risk as well...and truly speaking the exam does not reflect the study material at least in 50% of cases... for the most of calculations you needed more than 3 minutes per question... the questions were also too long and not clearly worded...let us wait until 5 of January...but I do not feel, like I have passed, after part I, I was sure about 50% of cases, because the exam was more quantitave..and in this case.... I really do not know how to study for the part II, and, moreover, I got the impression that on Credit Risk were more than 20 questions and on Market Risk less, and Market Risk was also not diversified
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During that 5 weeks, var cannot be zero because a 30-trading day look back was being used, and 5 weeks translates to 25 trading days.. so some var should exist, likely to be lower. i chose an option which was different from these two, but i couldnt remember what it is.
And, in case of immediately after trading, I chose an option that correlation between the two indices would decrease, because the halted index started falling after resumption of trading, while the other index was more or less stable. I am not sure if there was an option for increase in Var because that is also more likely as volatility normally increases after resumption of trading.
Don't know the question exactly but I had in mind "ghost effect" due to the rolling horizon and hence and increasing VaR, but im not sure if Im getting confused with another question
I agree with your comments, although my doubt is that the emerging market asset allocation could be intended as a tout-court asset class. This would in my view not rule out the policy mix risk. Of course all the reasoning is dependent on the semantics of the question that was in my view open to more than one interpretation
Yeah, same thoughts for me. But I had the feeling that the analysts argued primary about the market volatilities and financial distress from the emerging market, so hence Sponsor Risk for me. But of course....its free for interperations and guesses...no really good question....
Paranoid Panda
New Member
I think its sponsor risk because putting money into a risky asset class which leads to uncertain returns can be thought of as cash flow risk and economic risk to the sponsors over all financial status. Also isn't policy risk more about deviating from the set policy and weights we had no idea how comfortable the company is with risk. And yes I too answered CLN.
Paranoid Panda
New Member
You know the question about mapping positions to derivatives just confirmed that the correct answer was the one with buying USD spot, long in us t bill and something wrt the JPY.It was option B.
I remember MissJaguar's posts very well!Can I offer you drink in case I pass?
By the way, @MissJaguar - what is the CALA?
Brian
i chose option d
Senior and mezzanine got fully paid and oc got 1.8mil , remaning goes to equity. No sure wether its correct
I chose the option where senior and mezzaning got fully paid, but OC got nothing, with remaining going to equity. My reasoning was that if OC had not yet been used, there would be no need to replenish it (assuming it was already at 1.8 before the cash.)
i could be wrong though
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