The options for my question is
A. x, 61.xx
B. x, 62.xx
C. y, 61.xx
D. y, 62.xx
I ruled out A, B because the figures given were wrong alr
D was the right one I think. May be the questions was not the same in your paper
Exam Feedback November 2016 Part 2 Exam Feedback
- Thread starter Nicole Seaman
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A. x, 61.xx
B. x, 62.xx
C. y, 61.xx
D. y, 62.xx
I ruled out A, B because the figures given were wrong alr
D was the right one I think. May be the questions was not the same in your paper
Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam
Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam
There was one question says which of the following best describes the products : TRS, CDS, CLN are involved
I dun think DD was tested.... at least I dun remember any calculation for DD
devdutt.21
New Member
Should one include UL in Raroc calculation in numerator? I remember reading that RAROC does not consider UL.
UL should not be included.. but the answer should be 8% tho
I am 100% sure that Option d was 63.XX ,and i had rejected that on the basis of exceding the target VaR limit ,are there different sets of questions ?
In my question paper there was only option which had "62.xx" the option 62.xx was not repeating otherwise I would have read it twice ... It was option B) 62.xx
You have 1000 pnl values. 99% VaR is USD 1.484 (it is given) which is the 10th item.
And it is included in the ES calculation. Why this 10th item, which is the VaR, is included in the ES calculation?
I don't say that Moey is incorrect. His formula is given in "Dowd, Measuring Market Risk" . But why in this exercise VaR is included in ES calculation?
Can someone tell me? Please?
adambschrier
New Member
I can't remember what I put as the answer - do you remember the loan size and initial rate it paid - I think it was 7ish %
We are talking about 1000 items in above! In above question 1484 is at 99.1 % item (i.e exceeding 99%) and so on till 100oth item 2833. So, last 10 number is take into consideration.
But you don't worry garp doesnt give close options in this case. You may still have chosen closely a right option. I have seen this in many practice exam.
Well, but it is specified in the text that the 10th item is the VaR. It isn't calculated VaR is given...
I give up on this question. Next time, I'll know I've to exclude VaR...
Can someone confirm if these questions where posted in the actual exam? I think that they were but its becoming a bit of a blur what I did in revision and what came in exam
We are all suffering from that....what was in the last practice exam vs the actual exam. For question 1, I can confirm it was there, but not sure about the second one. thx
I also calculated expected discount value and my answer did match the choices. Then, I calcualted the market value I forgot the spot rate percentage but used the following : 1000 / (1+spot rate) that gave me one of the suggested choices.
It would be the one year - that would give the market value. the question asked specifically for current exposure I believe. That threw me off a little.
Now we should express our expected scores so that we can be aware of expected cut off score for FRM part 2 exam.only caveat is no reporting biases all group members should express their scores so that we can have fair idea about average score of this sample.hope u all contribute to this.i expect my score to be 40 to 45 with upward bias.
Not sure how accurate and informative this is, but I'll play along - and guess that I scored a little lower than the lower-end of my practice exam range which is 55% or 44 questions right. I recall my range around 60-85% and could post detailed results of those exams when I get home.
My expected score is 43 correct with a range of 40 to 45 possibly with a small upwards or downward bias
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