Exam Feedback November 2018 Part 2 Exam Feedback

[haziqnazri]

There another question on the 95% var for basel 2.5 where there are 20 exceptions for 250-days VaR, i really thought there's 2 answers B and C where the C) Reject the VaR model as the exception exceed the significance level at 95% confidence interval and also B) the basel 2.5 Var was higher than 9 million ish.....

 

[haziqnazri]

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

I choose Screening can be used at initial and rebalancing

 

[[email protected]]

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

I chose screening can be used to re balance the portfolio before and after construction

 

[haziqnazri]

How about backtesting across non normal distributions?

This one the answer is u can do it as the question mentioned that historical VaR if i am not mistaken

 

[Yassir HAMID]

20 first questions seemed relatively easy to me and then it went harder. I think I did about 50. I don't know if it will be enough. I was also surprised there weren't that many people in the room (LONDON exam centre) compared to how many people were there taking part I.

 

[Yassir HAMID]

From what I can remember there was:
Market Risk
Quantile Plot, Hedging using Empirical data, at least 2 questions on backtesting VaR, Volatility Smiles
Var Calculations (One question required calculating VaR on portfolio of 3 assets - or maybe I missed the point)
Credit Risk
2 or 3 questions about hazard rates and CDS spreads, CVA
Credit VaR (a simple question where they gave you UL and you just need to calculate EL).
General vs Special rate for Collateral (did not know the answer to this one)
Operational Risk and integrated framework
Basel related quetions (no FRTB), Liquidity requirement calculation (NSFR or LCR - that I skipped right away),
External loss data, Liquidity Adjusted VaR, Exogenous vs Endogenous liquidity.
Many qualitative questions - as you would expect - about CRO and Board roles, model risk, etc ...
Asset Management
Individual VaR calculation (VaR of portfolio before and after adding a position), however I do not remember questions about MVaR.
portfolio construction techniques (Screens,stratification, Linear programming,...)
Fama-French model
Current Issues in financial Market
about 4 or 5 questions. I was expecting more.

 

[haziqnazri]

20 first questions seemed relatively easy to me and then it went harder. I think I did about 50. I don't know if it will be enough. I was also surprised there weren't that many people in the room (LONDON exam centre) compared to how many people were there taking part I.

How many people? In Malaysia, there were like less than 20 people taking level 2 FRM and ERP

 

[Yassir HAMID]

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

Basically if you owe collateral and the counterparty goes bust do you need a court decision to get it back... I personally don't know the answer.

 

[jaivipin]

Basically if you owe collateral and the counterparty goes bust do you need a court decision to get it back... I personally don't know the answer.

I remember the question now . I chose after court decision.

 

[[email protected]]

There another question on the 95% var for basel 2.5 where there are 20 exceptions for 250-days VaR, i really thought there's 2 answers B and C where the C) Reject the VaR model as the exception exceed the significance level at 95% confidence interval and also B) the basel 2.5 Var was higher than 9 million ish.....

yes i agree to your observation... . Both options seemed correct I chose 9 million one. The question asked to calculate market risk charge given the 10 day and 60 day Vars

 

[Yairw]

How many people? In Malaysia, there were like less than 20 people taking level 2 FRM and ERP

Here in Israel we were 6 people...

 

[Yassir HAMID]

How many people? In Malaysia, there were like less than 20 people taking level 2 FRM and ERP

I would say about 60 for both Part II and ERP. I remember there were more than 100 for part I.

 

[shailthakker]

How about the one with PD for a spread of 3 years, being 375?

 

[haziqnazri]

How about the one with PD for a spread of 3 years, being 375?

Should be the hazard rate.... 5.60%? i remember the cs = 375 , the RR = 0.35

 

[shailthakker]

Should be the hazard rate.... 5.60%? i remember the cs = 375 , the RR = 0.35

Yup thats for 3 years tho

 

[MFT]

How about the one with PD for a spread of 3 years, being 375?

I think it was 1,09%, since you had to calculate the Annualized Default Rate out of the PD given by the hazard rate.

 

[shailthakker]

How about the one with benefits of investing in securitized products?
I wrote offers a diversified investment option

 

[[email protected]]

How about the one with benefits of investing in securitized products?
I wrote offers a diversified investment option

Yup me too

 

[Flashback]

Too much they insisted in one part of curriculum and almost they completely left the another one. I don't wanna discuss specific questions nor tested or not tested exam areas but Part 2 exam was highly skewed with high kurtosis. I am not very confident.

 

[shailthakker]

How about LVar, I put exogenous and 92,975