Exam Feedback November 2017 Part 2 Exam Feedback

[shefalimr11]

I completely agree with a lot of points! The GARP Mock Exam, this time round did total justice with the main exam! (Whereas, in for May 2017, for part 1, there was considerable gap).
I was, for the most part able to stick to the timeline too, which was not expected based on the Part 1 experience. And there were quite a few questions, where 2 options seemed correct and got me confused.

 

[zahra.saied]

Good memory , yup most of the questions appeared in exam.
I thought we had an % asset allocation question rather security selection and I Remember answer was .28%, 29th question in the above list.do U agree with the same ?

Yeah I remember something about the contribution calculation, but I can't recall the answer. It was portfolio-weights*excess return

Edit: must have been security contribution, I am forgetting

 

[efficientswan]

I remember a question on Collateral call and Balance collateral on day 3 wherein we were given MTM values on three days. Does anyone recollect the answer to that question ?

 

[shefalimr11]

I think the answer was 5 & 7. I m not very sure of the answer/ my memory!

 

[zahra.saied]

I think the answer was 5 & 7. I m not very sure of the answer/ my memory!

That was my answer too.. But now thinking about it, wasn't it -10 mtm? Which mean u owe it to the counterpart? So it should have been 0 and 2?? Or am remembering the question wrongly?

 

[shefalimr11]

That was my answer too.. But now thinking about it, wasn't it -10 mtm? Which mean u owe it to the counterpart? So it should have been 0 and 2?? Or am remembering the question wrongly?

i think it said 5 m was the threshold, 2 m was the minimum transfer amount. so because it went to -10, you would have to pay 5 m as collateral? i hope i m right

 

[Dipanjan]

sa

Yeah I remember something about the allocation calculation, but I can't recall the answer. It was portfolio-weights*excess return

+1

 

[Dipanjan]

I think the answer was 5 & 7. I m not very sure of the answer/ my memory!

I too marked the same option.

 

[bake5472]

Outsourcing question - I remember selecting answer like: reviewing their information security controls and comparing to the company’s internal controls. The only other answer I thought was appropriate was auditing the vendor but I couldn’t see auditing each vendor prior to even selecting.

 

[monachima505]

Outsourcing question - I remember selecting answer like: reviewing their information security controls and comparing to the company’s internal controls. The only other answer I thought was appropriate was auditing the vendor but I couldn’t see auditing each vendor prior to even selecting.

I went with the exact same answer, for the exact same reason! Had to think about it for a while - quickly eliminated the other two, but between those two, they both seemed possible. But I agree, it seems like overkill to use EXTERNAL auditors for multiple finalists. Plus, I felt like a a strong theme in the assigned readings was the idea that compatibility between different IT systems is very very important and should always be a top priority to address.

 

[frankdc11]

Does anyone remember what they got for the Vasicek or Ho-Lee questions? In both, DW was not given and I assumed them to be 0. I don't remember what I got for Vasicek (But they gave us the formula), but I'm pretty sure I got 5.03 for the Down Down interest rate in Ho-Lee.

Ho-Lee was what would the down down interest rate be after 2 months. With an annualized drift rate of 120 bps the first month and 80 the second.

 

[dseian]

I think the answer was 5 & 7. I m not very sure of the answer/ my memory![/QUOTE

Initially, I selected option A with 0 MTM and then I read the question again and I had to change my answer to C. Not sure if it was the same answer as you got. Can't believe my exam started with using the final answer column

 

[sergiogh7]

Does anyone remember what they got for the Vasicek or Ho-Lee questions? In both, DW was not given and I assumed them to be 0. I don't remember what I got for Vasicek (But they gave us the formula), but I'm pretty sure I got 5.03 for the Down Down interest rate in Ho-Lee.

Ho-Lee was what would the down down interest rate be after 2 months. With an annualized drift rate of 120 bps the first month and 80 the second.

I used the following formula:

r0 + (lambda 1 + lambda 2)*(1/12) - 2*vol*SQRT(1/12)

 

[frankdc11]

I used the following formula:

r0 + (lambda 1 + lambda 2)*(1/12) - 2*vol*SQRT(1/12)[/QU

I don't remember volatility from the question. So I think I assumed standard deviation to be 0 and ignored that part of the equation. I just went with r0 - Drift/12 for each period. A fun mistake I guess.

To clarify I used: dr = Lambda(t)dt + st.devDW
I just remember st.dev or DW was not given and I assumed it to be 0.

 

[CheckItOrWreckIt]

From Memory

1. Es - 2
2. vasicek - Ex rate in 2 years
3. Ho Lee
4. Hypothesis Test with Backtest
5. OIS - LIBOR forward rate
6. Graph identification - jump - frown
7. Equation given with Mean Reversion find autocoreln
8. Mapping - Qualitative qs on selecting the least impacted btwn PM, DM, CFM
9. Lognormal Var calculation
10. Bootstrap vs Var-Covar method effectiveness etc
11. LDA
12. Marginal DP - yearwise data given
13. Spread given MV and FV
14. Securitization qs on Credit Risk and Market risk
15. Hazard Rate given Spread and RR
16. DVA
17. CVaR calculation
18. Exposure of Cross Currency Swap
19. CCP vs Billateral Netting
20. MERTON model vs Moody's model effectiveness
21. Bitcoin - risk issue
22. NRP - problem identification
23. Funding Liquidity Risk
24. Debt in Emerging economy - 2qs - Loan raising impact - Risk for domestic borrowing when external debt raising halts
25. HFT risk
26. IVAR calculation
27. Portfolio VaR calculation when there is a VaR limit
28. HEDGE fund - event driven characteristics
29. Security Selection return calculation
30. Stratefication vs LP vs Quadratic
31. OPS risk Line of Defence and few more qs from first 4 chapters
32. NSFR - B/S given and altering done - what is the impact
33. BI vs SMA
34. MEVT - u and CL go up and Dow
35. Basel related qualitative - 3-4 qs I guess - LEV ratio impact etc Tier 1 capital impact - policy change applications
36. Outsourcing partner selection
37. LVaR exogenous approach
38. RAROC given but Economic Capital and return is changing - which will keep things under limit

For 6. I got answer D. Where I thought the answer was a smile.
For 15. I arrived at 18%
For 18. I chose 10 year FX forward + 10 year IRS. IRS for the intermediate payments and fx forward as the majority of the exposure is tied to the final payment.
For 31. I chose audit is the independent third line of defense

 

[Navneet02]

There was a question on maximum CVA increase , I have marked as deep in the money option. And it was on short security. Wasn’t that prepared this time, not sure any trick in that.

 

[Navneet02]

Yeah I remember something about the allocation calculation, but I can't recall the answer. It was portfolio-weights*excess return

I used the formula diff in weights [Wp-Wb]*return on benchmark and obtained answer as .28% not sure I used the right formula for asset allocation.

 

[ryanmccann2]

There is one question that has been bothering me since the exam. It was seemingly straight forward, but maybe I was overthinking. It was the binomial interest rate tree problem to compute the price of the bond. The tree gave 6 month forward rates 6 months from now. My understanding is they needed to be converted to spot rate equivalents prior to discounting? Am I alone or did anyone else come to this conclusion.

 

[shefalimr11]

There is one question that has been bothering me since the exam. It was seemingly straight forward, but maybe I was overthinking. It was the binomial interest rate tree problem to compute the price of the bond. The tree gave 6 month forward rates 6 months from now. My understanding is they needed to be converted to spot rate equivalents prior to discounting? Am I alone or did anyone else come to this conclusion.

Wasn't it a 2 level tree? In that case, the price would be discounted twice? once from 1 year to 6 months, and then from 6 months to time 0.

 

[Dipanjan]

Yes it was option C
5&7