Exam Feedback FRM Part 2 (November 2014) Exam Feedback

[monumonumental]

There was one question on factors that need to be considered while looking at quantile standard errors - I selected asymmetric confidence intervals
Another on facts pertaining to bootstrap, age weighted & volatility weighted HS - I selected age weighting being more responsive to losses,....data cluster.

I think i selected bootsrap may cause greater volatality compared to HS....I don't think your answer is correct as in age wt HS the probablity of impact of historical losses are reduced...i hope you read the question carefully..question was talking about historical losses..

 

[frmexam]

agree with Monumonumental Bootstrap answer I am pretty sure about it and have read some where

 

[monumonumental]

agree with Bootstrap answer I am pretty sure about it and have read some where

u agree with whose answer? me or rams?

 

[Hoang]

I agree with Bootstrap too !

 

[Tanya Vasileva]

Hi Tanya - Are you sure that there was mention about the haircut already being applied to the level 2A ??
I did perform the 40% check on the Level 2A assets but forgot to account for the haircut and landed up using the Level 1+Level 2A in the numerator. My answer should still be correct if the Level 2A figure already contained the haircut.

Yes, your answer is correct

 

[frmexam]

about var/Svar someone replied answer as 320, how did you get to that? I know how its calculated as per Basel not sure prior to basel. So i picked difference 500-XXX as 350 as a guess

 

[Prince31]

I marked 25 for the question. My reasons for marking 25 were as follows
35-25/4.975=2.01 which is greater than 1.96. Hence the hypothesis that the true p=.01 is rejected.

They give the formula :

z = (x - pt) / SQRT(p*(1-p)T)

so x = z * SQRT(p*(1-p)T) + pT

x = 1,96 * SQRT(0,99*0,01*2500) + 2500*1%

x = 1,96 * 4,97 + 25 = 35


The trick was 99% VaR one tailed but 95% confident two tailed so z=1,96...

I first made the computation with 2,33 and 1,65 but luckily no answer matched.

 

[Tanya Vasileva]

The reason why I selected consumer credit was because there was a mention of the usage of statistical tools and (I think) scoring methodologies and this matches the profile of individual (consumer) credit. I may be wrong here,....but there is a write up in paragraph 2 page 21 (GARP's credit risk book) that leads me to believe that that this was the answer.

Scoring models are relevant to consumers, so it is the correct answer here

 

[Roshan Ramdas]

about var/Svar someone replied answer as 320, how did you get to that? I know how its calculated as per Basel not sure prior to basel. So i picked difference 500-XXX as 350 as a guess

The Basel 2 market risk capital charge did not have an SVAR component

So the difference is -> Market Risk Capital Charge (with SVAR) - Market Risk Capital Charge (without SVAR)

 

[monumonumental]

about var/Svar someone replied answer as 320, how did you get to that? I know how its calculated as per Basel not sure prior to basel. So i picked difference 500-XXX as 350 as a guess

I was not sure about it as well...but i think historically Basel only use to consider Var and later it started considering both Var and Svar....So the difference between two methods will be the value of Svar ie max of (3*100,320)=320

 

[monumonumental]

I think going by the general discussion in this thread i have got at least 45 correct on 60 questions being posted here....i think i have some chances of passing now..

 

[frmexam]

Roshan - Can you correct what I am missing here, my understanding is
MRC diff = Basel VAR - Prior to Basel Var
Basel MRC = Max(var, M*Varavg) + Max (svar, M*svaravg) = 500
As per your definition then Prior to Basel Var is 150 (3*50k)
then the answer should be 500-150 = 350

 

[monumonumental]

I think both of us are

Roshan - Can you correct what I am missing here, my understanding is
MRC diff = Basel VAR - Prior to Basel Var
Basel MRC = Max(var, M*Varavg) + Max (svar, M*svaravg) = 500
As per your definition then Prior to Basel Var is 150 (3*50k)
then the answer should be 500-150 = 350

correct concept wise...but one of us have surely messed with calculations..

 

[Nicole Seaman]

Hi Nicole/David,

Based on your experience, do you always get this kind of "very Difficult" feedback from students or are we a "bunch of ill prepared losers"

Hello @sudssuds,

There are no "ill prepared losers" here There has always been mixed feedback, but many past candidates have stated that the exam was very difficult. Here is a link to the feedback thread that we posted for the FRM Part 2 May 2014 exam: https://forum.bionicturtle.com/threads/frm-part-2-may-2014-exam-feedback.7834/. I think you will find that there are many of the same comments.

 

[Roshan Ramdas]

Roshan - Can you correct what I am missing here, my understanding is
MRC diff = Basel VAR - Prior to Basel Var
Basel MRC = Max(var, M*Varavg) + Max (svar, M*svaravg) = 500
As per your definition then Prior to Basel Var is 150 (3*50k)
then the answer should be 500-150 = 350

Hello,
The method you have followed is perfect. I don't remember the exact numerical answer.
Thank you

 

[krenate]

it was one question regarding convertible arbitrage... I do not remember the answers though, however, maybe someone does?
due to 50 out 80...I am certain that it is a strong pass....

 

[monumonumental]

it was one question regarding convertible arbitrage... I do not remember the answers though, however, maybe someone does?
due to 50 out 80...I am certain that it is a strong pass....

So if we get 50/80 we pass??

 

[krenate]

I am sure, that you did....because there is no pass rate...it is based on performance of others... and I think that you outperform others surely....and the fact that exam was brutal and not like I was expecting, even last May exam was easier....this time almost no quantitative questions...and many questions with 2 right answers...where you just needed to get the most suitable one....

 

[frmexam]

hedge fund convertible arbitrage, some options i remember were long credit, long liquidity or something.. I picked something related to credit. I looked for something related to spread.. i think i got this wrong.
Monu - don't worry you will pass 45/60 is excellent. you did much better than folks like me!! Scares me putting long hours giving up family time and if we have to redo again.

 

[monumonumental]

I am sure, that you did....because there is no pass rate...it is based on performance of others... and I think that you outperform others surely....and the fact that exam was brutal and not like I was expecting, even last May exam was easier....this time almost no quantitative questions...and many questions with 2 right answers...where you just needed to get the most suitable one....

lol..I have made silly mistake on atleast 3 questions..i am not sure to pass..however i hope i pass..