Exam Feedback November 2019 Part 2 Exam Feedback
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Overall, I'm not sure how the exam went 
I felt I answered about 45 questions confidently, then the rest I could mostly eliminate to between 1 and 2 choices. The questions were exceptionally wordy and long-winded so it was hard to get through everything - the annoying thing is a lot of the back story was not relevant, it just took up time.
I felt I answered about 45 questions confidently, then the rest I could mostly eliminate to between 1 and 2 choices. The questions were exceptionally wordy and long-winded so it was hard to get through everything - the annoying thing is a lot of the back story was not relevant, it just took up time.That's the weird thing though - I didn't include it and I still got the wrong answer :/
RAROC = (Interest from loans - costs of loans - EL + EC*r)/EC was what I used? I feel dumb... I wonder if I accidentally mistyped the numbers in my calculator?
Sixcarbs
Active Member
It's UL that you don't include, EL you do. But they were the same amount.
I think I answered revenue item droppng to 6%, was that a choice there?
I think I chose that one too.
Overall the exam was much more qualitative than I expected. Based on mocks I expected 50% at most for qualitative questions, but I think it was probably closer to 65-70%.
Unfortunately we don't know the minimum of answers to
It was the good one I hope
yes, it is
It was the good one I hope
Yeah I imagine it was hard for non-native speakers. Sometimes the text includes irrelevant information that's tedious to read
Yes, I got that answer as well. Current Revenue was 7%, which gave pre-tax RAROC of 4.5/30 = 15%, dropping revenue to 6% pushed numerator to 2.5%, which gave pre-tax RAROC as 2.5/30 = 8.33%. This was below their 11% minimum. All the other adjustments had pre-tax RAROC > 11%.
I put the same
I’d like to note the related topic with the questions below
- Smm
- 75 bond, 6 mio, at least 4 df, binomial dist, given sigma, 95%, creditvar? (Anyone have the way to resolve this?)
- Ir, trading day N
- IncreVar
- Irs
- cds
- Trs (payoff when df
- Ccp
- liquidity in ccp
- Stress test
- Filtered hs
- Fintech
- Ss, aa contribution return,
- excess return (rp-rb), sigmap-sigmab
- Lvar (m+zsigma) lognorm
- Basel 3 guideline in airb
- Outsource (đd& contract)- remedy 4 default
- Es 95%
- Cyber risk & insurance
- Sofr (weighted avg of eligible organization
- Sofr compared with libor
- Basel 2.5
- Nsfr (incr, deacr asset, liablilities)
- Raroc (icr, dcr,...)
- Long 4w mxn/usd
- Bank enter 2 cds, Dva &cva incr due to (ir decr, S icr)
- Algothrim machine learning
- Machine learning detect credit card
- Retail bank (opt risk profile internal,external fraud...?)
- Dtd
- Conditional df at y2 given surv y1
- Cva at y1,y2 (given hazard rate and exp, rr)
- Correl default (rmbs)
- Implied vollatility of ITM & ATM
- Distressed earn spr with acquisition, m&a
- Extreme (tail,location parameter, es, var, df threshold)
- Wrong way risk
- Var mapping
- Farma french
- Ho-lee model (lowest node rt given ro,lambda1,2, sigma)
- Backtest, validate model
- Credit rating A —>target to BBB and matrix transition, df???
- Not linear QQ plot? Why?
- Leverage ratio
- Liquidation cost in Ccp
- Liquidity duration
- Risk hedging DV01
- Alpha anomaly bring alpha closer with true value
- Aml and terrorism financing (don’t open acc 4 anonymous)
- 2year zero coupon rate given hazard rate
- Mutilateral netting(ask ab expo after netting given bilateral expo)
- Basel 2007-decision
- Higher threshold- lower collateral/effectiveness of colateral
- Pt-pt-1=0.24-0.68pt-1 (a.0.24 is mean reversion rate, b. Long reversion is 0.68 c. Autocorrel 1 lag is 0.32 d. No indication ab mean reversion)????
- Irs (r change) = long long term bond fix rate, short bond short term floating
- Relationship, correl btw opt&mkt, mkt&credit risk
- Policy mix+active risk
- Risk budgeting
- Make decision ab alternative investment given data to calculate Raroc, mVar
- Total CVaR in duration mapping = Diversified VaR
- Stress test variable (inflattion, unemploy rate, equity fall, sovereign bond df,...)
- Given special rate, bond price, face value —>transaction cost?
- Rmu (risk mngt unit) in fund function? Monitor, analyze anf give relevant person info
- Margin req increase liquidity risk of clearing’s member
- Joint prob of neither bond A, bond B df given df of each bond
- Time to next df given hazard rate
- Double in CCP, Liquidation cost incr? (2.83)
Jeez how did you remember all that?
mat.tschopp
New Member
Missing part for our RAROC calc was in the introduction saying 2.25%, I suppose.
mat.tschopp
New Member
on question 2: UL-EL; 4*bonds notional minus 5%of portfolio.
on q54: it should be 0.32 autocorrelation 1 lag.
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yes, and for your answers - I had the same
1. For the 75 bonds of 6mil, 4 defaults at 95% CVaR = 4*6mil-6*75*PD*LGD (can't remember the parameters)
2. Incremental VaR questions were IVaR = VaR with both portfolios - VaR of the single position
3. Basel 3 guidelines - this one I think was retail mortgages split by LTV. It wasn't the A-IRB answer as the text says that this has been taken away as an option for banks and corps which was part of the sentence.
4. SOFR question - I think the answers were weighted median for the one, the other one I think was comparing LIBOR as this was it was collateralised?
5. Ho-Lee lower 2nd node: think it was like 1.06%?
6. Credit rating from A to min BBB - I think this was 0.27%?
7. QQ plot: mass in the center and tails are different
8. AML and terrorism financing - don't open accounts for anonymous clients
9. Pt-P(t-1)=0.24-0.68P(t-1) - I picked autocorrelation = 0.32
10. Special % rate - I got 389, I picked special rate but I'm not sure???
11. RMU question - think this was monitoring and analysing and communicating
12. Joint PD = rho*sqrt(PDaPDb(1-PDa)(1-PDb))+PDaPDb
13. Conditional PD question was ((1-exp(-0.09*2)-(1-exp(-0.09))/exp(-0.09)
14. There was a question about VaR = IM and if you increase the notional from 50 to 100, what does it become? I had no idea here.
2. Incremental VaR questions were IVaR = VaR with both portfolios - VaR of the single position
3. Basel 3 guidelines - this one I think was retail mortgages split by LTV. It wasn't the A-IRB answer as the text says that this has been taken away as an option for banks and corps which was part of the sentence.
4. SOFR question - I think the answers were weighted median for the one, the other one I think was comparing LIBOR as this was it was collateralised?
5. Ho-Lee lower 2nd node: think it was like 1.06%?
6. Credit rating from A to min BBB - I think this was 0.27%?
7. QQ plot: mass in the center and tails are different
8. AML and terrorism financing - don't open accounts for anonymous clients
9. Pt-P(t-1)=0.24-0.68P(t-1) - I picked autocorrelation = 0.32
10. Special % rate - I got 389, I picked special rate but I'm not sure???
11. RMU question - think this was monitoring and analysing and communicating
12. Joint PD = rho*sqrt(PDaPDb(1-PDa)(1-PDb))+PDaPDb
13. Conditional PD question was ((1-exp(-0.09*2)-(1-exp(-0.09))/exp(-0.09)
14. There was a question about VaR = IM and if you increase the notional from 50 to 100, what does it become? I had no idea here.
Ahh! I totally missed that :/ thank you. I freaked myself out and didn't read properly
a_ishrat1973
New Member
Hello guys on an average how did you find the exams tough fair or easy and what is your guess-estimate of correct answers
Sixcarbs
Active Member
14. I saw that question and saw 1.4 as a choice, which is the square root of 2, so I went with that one.
I picked that one too - hopefully it's right!
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