Exam Feedback November 2016 Part 2 Exam Feedback

mghm

New Member
I consider 15 questions to be with 100% accuracy. So,

15+65*0.65 = 54 (remaining attempt with 65% accuracy)
15+65*0.6 = approx 51
15+65*0.5 = approx 47
15+65*0.4 = approx 41
15+65*0.3 = approx 35

This is how I think about my result.
 

Johnkrause1

Member
Subscriber
I think I am got 32 qns I know for sure are right, the rest I think 8 qns with high certainty, so about 40 +- 3, very scared indeed as I am borderline 50% only
With me it is similar I have 35 qns I believe to have correct, 13 incorrect and 32 remaining which I cant remember, partly guessed so 25 % expected score on 32 qns
 

Johnkrause1

Member
Subscriber
Whats giving me comfort is that I read a post in last years feedback forum and there was someone who was 100% convinced he only got 41 correct and scored 1's in most quantiles and a couple of 2s so hopefully the scoring will be something similar this year :)
 

Moey

Member
Do you remember notional amount is 300 as well?
[0.4133-0.4]*300 < 0.4million

The crux of that question wasn't the plug n' play correlation swap value, but answering what would happen re the receiver if the actual correlations were higher than the expected correlations resulting in 0.4m pnl, so the answer was receive greater than 0.4m.
 

Diep Anh Ngo

New Member
The crux of that question wasn't the plug n' play correlation swap value, but answering what would happen re the receiver if the actual correlations were higher than the expected correlations resulting in 0.4m pnl, so the answer was receive greater than 0.4m.
Don't agree
The unit which the bank can receive/pay in the question in million not in % (of correlation). It is importance that what is notional amount? (300 or 400, i remember 300)
 

devdutt.21

New Member
Don't agree
The unit which the bank can receive/pay in the question in million not in % (of correlation). It is importance that what is notional amount? (300 or 400, i remember 300)


it states that the Correlations were miscalculated and lower. Actuals were higher. so the Realized correlation * VAR will be higher than 0.40 million
 

FRMPART2

Member
One question was about using equation st _st_1=a(u__st_1) where a was to be taken from the regression equation and value of st was to be calculated for forward month.it was straightforward question
 

devdutt.21

New Member
One question was about using equation st _st_1=a(u__st_1) where a was to be taken from the regression equation and value of st was to be calculated for forward month.it was straightforward question
Yes i think the value was 0.20 and the forcasted worked out to be 0.28
 

FRMPART2

Member
One question in which different types of portfolio construxtion options were given like screen startification linear prograaming and quadratic programming in which the correct answer was linear programming is not suitable for predefined no of stocks.
 
One question was about using equation st _st_1=a(u__st_1) where a was to be taken from the regression equation and value of st was to be calculated for forward month.it was straightforward question
That is one of the very few straight forward qns, just plug in 2 times that eqn. Another easy one is the ES where just average 4 numbers. Unfortunately not many qns like that in the exam!
 

FRMPART2

Member
Is backtesting abd var should be done at same confidence level or it can be different. As per basel if u have exceptions more than Ci .then capital multiplier is increased to match the VAR at 99 % CI var.hence backtesting can be done at lower confidence interval and increase in exceptions can be managed by capital multiplier
 

farahm

Member
Is backtesting abd var should be done at same confidence level or it can be different. As per basel if u have exceptions more than Ci .then capital multiplier is increased to match the VAR at 99 % CI var.hence backtesting can be done at lower confidence interval and increase in exceptions can be managed by capital multiplier

Yes I agree with you. Confidence levels can be different - backtesting does not have to coincide with VaR confidence level.
 
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