Exam Feedback November 2016 Part 2 Exam Feedback

[Longpips]

In defense of GARP, I like the idea of not simply "recycling " questions from old exams. If most of the questions are simply a rehash of old ones, the test becomes "stale", too easy and loses its value.

Candidates who just took the test may find the questions too difficult and tricky simply because it's their first time to have seen those questions.

I think that is fair, and is a more accurate assessment of a candidate's mastery of the subject matter.

If questions are too similar to previous exams, it is not an adequate measure of mastery, instead it is just a test of how well one has done practice tests.

There is a big difference between the two. And I feel GARP is measuring mastery not dilligence.

 

[Moey]

99.5% isn't taken into account? I thought we must compute the mean of var where var ≥ 99.5% to obtain ES

According to GARP (see attached Q+A from their practice exam): "An estimate of the expected shortfall (ES) can be obtained by taking the average of the VaRs for the various confidence levels that are greater than [the confidence level]."

In risk management, there are different ways to calculate ES but GARP does "greater" and not "greater or equal".

Sorry.

 

[raya]

According to GARP (see attached Q+A from their practice exam): "An estimate of the expected shortfall (ES) can be obtained by taking the average of the VaRs for the various confidence levels that are greater than [the confidence level]."

In risk management, there are different ways to calculate ES but GARP does "greater" and not "greater or equal".

Sorry.

Thanks for the explanation! I'm so ashamed I'm wrong with such a simple question!
I've done an other kind of exercise before where the VaR was included in the expected shortfall calculation... So I've kept in mind to sum the values where L>= VaR.

As you can see below, VaR 99% is given = 1.484 and is included in the ES 99% calculation... Is it only because we're dealing with Pnls instead of VaRs values? (I'm just trying to understand)

 

[mghm]

Why banks will not issue CoCos ...reason Preference Share (cumulative or non cum) ) can reflect any best CoCo like feature ... If Banks want to issue CoCos because it's investors need then also the rating agencies will rate it like preference shares hence we see moreof preference capital in balance sheet rather CoCos ... GARP should not have practically asked this question. One more strong support I would say against CoCos that having preference share in balance sheet rates better for banks rather having cocos ... Investor who is investing knows how CoCos are risky and behave more like equity in distressed and debt in good times.

 

[mghm]

Thanks for the explanation! I'm so ashamed I'm wrong with such a simple question!
I've done an other kind of exercise before where the VaR was included in the expected shortfall calculation... So I've kept in mind to sum the values where L>= VaR.

As you can see below, VaR 99% is given = 1.484 and is included in the ES 99% calculation... Is it only because we're dealing with Pnls instead of VaRs values? (I'm just trying to understand)

View attachment 954

They included ">= " while calculating ! I don't know simply why ? When they write in theory its average or expected value of increasing confidence level! The question you quoted that simply includes I believe !

 

[mghm]

Raya...Sorry ! Remaining 1% data does include only 10 items...that is exceeding 99%... So Moey is correct !

 

[mghm]

Does anyone feel great about the exam? If yes, what and how did you study in terms of materials and practice exams? I read the entire books but they are extremely not straightforwad as BT helps tremendously but this time this exam had questions not even BT had covered as much. Hoping I have a ball bounce my way but i wont know best how to prepare. Does anyone recommend other materials that Can i can combine with BT? Is schweser worth a read? Wiley?

Dont worry i still think BT is best for it held my hand for part 1. Thanks david!

You can look upon course providers for questions only. The core reading material must be read once or twice. No one comes to the level of BT in framing questions. Just solving BT and reading reference books would make lot of difference. GARP throughout remained assymetric in their difficulty level. In few exams they asked questions of average difficulty and some they were very tough. So better not judge GARP that how hard they can be next time.

 

[frmpart2dan]

Anyone remember the question when they ask what percentage of contribution of the manager due to asset allocation? What is the answer you have for that one, is that 0.63 or -0.03?

 

[mghm]

I got answer as 0.63 ...I took weighted average of benchmark vs weighted average of portfolio and difference came to ~ 0.63

 

[Ra10as12]

yes i also got 0.63

 

[Ra10as12]

What was the answer of RAROC question ? I got 8.5% not 8% .anyone else got same answer

 

[Eternity]

What was the answer of RAROC question ? I got 8.5% not 8% .anyone else got same answer

I got 8%.. but I think the question deviated from the formula in the material

 

[mghm]

Same here 8% .... question related to RAROC. Revenue - (60+x) - EL + EC revenue - Cost / EC = 15% that puts X% = 8%

Can anyone confirm bilateral netting problem ...I loosely chose C. 9 as the asnwer... I have doubt that it may be wrong.

 

[Ra10as12]

Okay then I think i got calculation wrong in RAROC one . does anyone remember the answer of SMM question ? 0.3%, 0.9%, 50%, 90% ?/

 

[mghm]

Okay then I think i got calculation wrong in RAROC one . does anyone remember the answer of SMM question ? 0.3%, 0.9%, 50%, 90% ?/

If someone can share calculation would be great help.

I gone for wild guessing 0.9% SMM.

 

[Ra10as12]

i got 90%SMM

 

[FRMPART2]

Seems all the questions have a trap.barring few all questions were having two close answers .hence its very hard to have a high score .what do you think is most acceptable score to clear FRM part 2 exam

 

[Eternity]

If someone can share calculation would be great help.

I gone for wild guessing 0.9% SMM.

0.9% is the right answer

 

[Eternity]

I got answer as 0.63 ...I took weighted average of benchmark vs weighted average of portfolio and difference came to ~ 0.63

The options for my question are -0.69%, -0.03%, 0.72%, 4.39%, i was oscillating between -0.03% and 0.72% because other two answers can be ruled out. But I cannot get the exact figure

 

[Eternity]

Seems all the questions have a trap.barring few all questions were having two close answers .hence its very hard to have a high score .what do you think is most acceptable score to clear FRM part 2 exam

i think 48 is a fair guess (60%) but the lower bound can be 40 if it is a really hard paper...