there questions on Fintech, Corporate culture, one qsn on back testing where i chose yellow zone =5 as answer, quation on validation of model - i chose utlizing knowledge of developers, one qsn on AML, one on subcontracting
In the beginning I thought it was a difficult question, but when I tried it again it turned out to be an easy one.. luckily for me I answered it on the final half hour.
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
Concerning economic capital models, I also answered that one application was to determine maximum liability costs (interest rate) that could be assumed.
The other answer was that it helped in setting regulatory capital, which did not make sense to me since that should be IRB models...
Concerning economic capital models, I also answered that one application was to determine maximum liability costs (interest rate) that could be assumed.
The other answer was that it helped in setting regulatory capital, which did not make sense to me since that should be IRB models...
There was question like 80M invested in US bonds and additional 40M to be invested in US/ European stocks and portfolio VaR to be maintained at 13M, given the correaltion b/w US bonds and US/EU stocks... i broke my head but couldn't get the answer to this simple question...
Part 2 exam was sufficiently easier than I expected. (Especially for calculation items)
I remember some items were lengthy but I completed full items in 3 hours and there were 3 items I was not able to answer...
I feel the actual exam was easier than GARP practice exam?
This was my first attempt and I am not sure what the cut-off score will be...finger crossed!
Concerning economic capital models, I also answered that one application was to determine maximum liability costs (interest rate) that could be assumed.
The other answer was that it helped in setting regulatory capital, which did not make sense to me since that should be IRB models...
There was question like 80M invested in US bonds and additional 40M to be invested in US/ European stocks and portfolio VaR to be maintained at 13M, given the correaltion b/w US bonds and US/EU stocks... i broke my head but couldn't get the answer to this simple question...
I think the answer was US bonds. I followed these steps:
1) Get VaR of portfolio, before any additional exposures
2) Get VaR of US Bonds, given STDEV and exposure amount.
3) Calculate aggregate VaR using the square root formula, using the correlation given.
The output was an aggregate Var below the maximum "budget", which was not the case with European securities due to their high correlation (0,8 I think it was).
ntech, Corporate culture, one qsn on back testing where i chose yellow zone =5 as answer, quation on validation of model - i chose utlizing knowledge of developers, one qsn on AML, one on sub
back testing - 5 yellow zone
Validation model - check IT infra and outputs (if i recall correctly)
Advantage and disadvantage of fintech - advantage - serve the underserve disadvantage - have only went thru good cycle (somthing like taht)
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