mat.tschopp
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Formula in the extra readings is given by n^[3/2] hence you double the notional it’ll be 2.8
Exam Feedback November 2019 Part 2 Exam Feedback
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In the optional readings?
wow, ok. My reasoning was IM=sqrt(rho*di*dj*mi*mj) so sqrt(2)?mat.tschopp
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it was mentioned in the ccp readingIn the optional readings?
Thanks, will take a look!
prasunkhan
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I think the answer would (100/50)^(3/2)
Imo it was very tough indeed. I was able to clear Schweser mock exams within 3 hours (70%+ correct) and with this exam I had some time troubles and a lot of doubtful answers. Also there were many questions with long stories on which it was quite difficult to focus after already 2.5 hours into the exam..
Also no binomial trees and little securitization questions..
fordvsferrari19
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I felt the paper was overall tough and challenging in general. Some of those questions were like short stories 
Though there were the occasional easy questions here and there, although few.
I also feel like I made errors and got owned on a number of questions too. A few who wrote the paper in May said that this was a much tougher paper too.
Sigh... wish i was writing it in Hong Kong.
Though there were the occasional easy questions here and there, although few.I also feel like I made errors and got owned on a number of questions too. A few who wrote the paper in May said that this was a much tougher paper too.
Sigh... wish i was writing it in Hong Kong.
Horrible lol
Do you know which ccp reading mentioned that formula? I was curious about that question as well.
Do you know the logic behind why 3/2 power?
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I felt the paper was overall tough and challenging in general. Some of those questions were like short stories
I also feel like I made errors and got owned on a number of questions too. A few who wrote the paper in May said that this was a much tougher paper too.
Sigh... wish i was writing it in Hong Kong.
FWIW, part 2 is getting a significant overhaul in 2020. They plan to reduce weights of the 3 big risks by 5% and introduce new section worth 15% called “Liquidity and Treasury Risk”.
Could u show me the way to calculate to 0.32?
Mean Reversion was 68% implied by regression.
Autocorrelation = 1-0.68=0.32. Note autocorrelation measures degree of correlation to past values. Stronger mean reversion implies lower autocorrelation.
Source is Messiner chapter 2 of correlation risk modeling.
fordvsferrari19
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What??? Oh shucks.....
amit.m.sharma
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Lots of questions on hurdle rate and liquidity risk.
1. It seems GARP loves to concentrate on one or two topics chosen in a random fashion. You would think they would cover as many readings as possible and each question counts and is worth the same points....but who knows.
2. The words novate and novation showed up in two separate questions. I later checked the GARP textbooks on vital source and the word novate didn’t appear in any book. I wasn’t sure what the word meant but could guess it’s something negative like terminate but it means replacing a contract with another contract. As per the GARP websession/talk in the beginning of the year anything in the GARP books is testable. If so, terms that are not commonplace should also be defined. I’m not sure if novate is mentioned in the current readings though.
3. There was a grammatical error in one of the answer choices....missing article. It upset me for 5 seconds and I moved on to the next question.
4. Every now and then I would sift through the coming few pages to see how many numericals and subjective questions were coming up so that I manage my time accordingly. I was surprised to find a lot of numericals in the last part of the exam. One of them was to calculate the 10 day 99 percent VAR which needed a few more steps than the usual problem to solve.
Hope the feedback helps future test takers.
1. It seems GARP loves to concentrate on one or two topics chosen in a random fashion. You would think they would cover as many readings as possible and each question counts and is worth the same points....but who knows.
2. The words novate and novation showed up in two separate questions. I later checked the GARP textbooks on vital source and the word novate didn’t appear in any book. I wasn’t sure what the word meant but could guess it’s something negative like terminate but it means replacing a contract with another contract. As per the GARP websession/talk in the beginning of the year anything in the GARP books is testable. If so, terms that are not commonplace should also be defined. I’m not sure if novate is mentioned in the current readings though.
3. There was a grammatical error in one of the answer choices....missing article. It upset me for 5 seconds and I moved on to the next question.
4. Every now and then I would sift through the coming few pages to see how many numericals and subjective questions were coming up so that I manage my time accordingly. I was surprised to find a lot of numericals in the last part of the exam. One of them was to calculate the 10 day 99 percent VAR which needed a few more steps than the usual problem to solve.
Hope the feedback helps future test takers.
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mat.tschopp
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It was the reading, paper Central clearing and risk transformation from norges bank.
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