Exam Feedback November 2018 Part 2 Exam Feedback

[jaivipin]

Yes I also chose fait tails for both.

 

[Navneet02]

And one knows the answer of one profit loss question . I think question was number 15. Total percentage risk or something . 4 choices I think were -.2, .02 , .6 and .8

.6 was the answer it was on allocation strategy and that was difference in weights* Matket Return

 

[abbaskhaled]

there was a question about collateral before the court decision or after the court decision.. i have chosen after the court decision

 

[shailthakker]

there was a question about collateral before the court decision or after the court decision.. i have chosen after the court decision

Before the court decision, cause there is ISDA?

 

[jaivipin]

there was a question about collateral before the court decision or after the court decision.. i have chosen after the court decision

I do not remember any such question . Do you know more ?

 

[[email protected]]

I can remember following qsns:

1. NSFR ratio to be maintained (this was first qstn for me)
2. Bank had swap with two CPs - one with CSA another w/o CSA and the options were like Bank has both Market & Credit Risk, Bank has only Credit Risk, bank has to post collateral to CSA party
3. Backtesting VAR: 2% of exceptions when model is 99% 250 days - options were to accept/reject the model
4. RAF question- one business line has high profitability but failed Stress Test - Options - Lower the Stress test level to allow the profitable BL to pass it, inspite failing allow BL to get extra budget, Report the BL to Senior Management to recheck risk apetite
5. Endowment fund is skeptical of hedge fund returns - Options were - Choose a HF which manages endowmwnt funds, choose manager with highest reurns, ask the HF manager to report returns on regular basis

 

[jaivipin]

I think I saw 7-8 VaR related questions from 1st 4 chapters of market risk. I was expecting less.

 

[[email protected]]

Before the court decision, cause there is ISDA?

Yes it was ISDA, i believe i chose after court decision not sure though

 

[haziqnazri]

And one knows the answer of one profit loss question . I think question was number 15. Total percentage risk or something . 4 choices I think were -.2, .02 , .6 and .8

I answered 0.6

 

[[email protected]]

One question that struck me hard was the capital allocation decision when the stress test might cause a breach of limits for the treasury department that is believed to have superiority to other banks' treasury dept. I was confused between B) re-allocate capital from other non-volatile (less risky) department or C) go to the board to check whether if the breach is in line with RAS.


Anyone have any idea on this?


There's also a lot of questions on calculating PD from credit spread and calculate Annualised Default rate from credit spread

I chose C - go to the board to check whether if the breach is in line with RAS

 

[jaivipin]

.6 was the answer it was on allocation strategy and that was difference in weights* Matket Return

Ok . I think I chose .8.

 

[shailthakker]

I chose C - go to the board to check whether if the breach is in line with RAS

yup me too

 

[Navneet02]

Backtesting Question: I did select the option as a correct model because the critical value was lesser then 2.33.

 

[jaivipin]

Ok . I think I chose .8.

Somehow I could not get into the trick and I wasted my lot of time in it.

 

[jaivipin]

Ok . I think I chose .8.

I do not remember fully. But I think that was my choice too.

 

[shailthakker]

How about backtesting across non normal distributions?

 

[shailthakker]

How about the one between screening, stratification, LP and QP?

 

[jaivipin]

How about the one between screening, stratification, LP and QP?

I found that question was super difficult. Somehow I chose linear programming.

 

[[email protected]]

How about backtesting across non normal distributions?

I cannot recall the question.... do you remember the options?

 

[firsova]

I chose C - go to the board to check whether if the breach is in line with RAS

same, go to board