Search results

submitted 30th Jan...certified today

Cleared 111112 max I was expecting was 60-65 correct in best case scenario

this is full list of questions I could recall and my answers. Question Answer 1 97.5% ES with 1000 sampling average of 1000 ES - 44m 2 Daily lognormal var with annual mean and SD given option B 3 6 M call option price with bond PV 987.5 and strike price 987 0.65 4 Calculation on cox...

this concept isn't just part 1...it is there twice in part 2 credit risk book as well. in capital structure in banks chapter and spread risk hazard rate chapter

yes...mean divided by 252....SD by sqrt(252) .....one of the answers did match exactly.....i think it was option B....but not 100% sure...not able to recall fully.

had a similar question....rescaled mean and variance by 252 days given....and option B matched....I think answer was $933K

had 0 questions on time/dollar, liquidity duration or gap duration or sofr in my version....I wonder maybe there were 7 different exams....a new one for each day. I had mine on 9th December....what day was yours?

It’s 6 months bond price and 6 months call option. For 6 month tree there is only one spot price.so only one discount rate. no matter what up/down probability you should end up at same answer. Be it 1%/99% probability or 50-50%. These probabilities would have mattered if it was 1 year call...

Why do we need neutral probability. 6m option call should be straight 987.65-987.

One question which I think they gave more info than required was price of call option on 6 month bond at strike of 987 and current 6m tree price 987.65.I answered 0.65 They gave tree for 6m and 1year. I might be wrong. But why do we need 1 year tree for 6m option when 6m tree is given straight...

2 options (A and B) had ratio of 1.19. Other 2 ratio of 1. Just picked B at random.

24m and 19m. Tev of portfolio 3.4%. Individual manager 5%. Calculate at 99%.

Some of questions were mix of quant and qualitative. Like I got one repo related question asking repo calculation and counter-party credit risk aspect which was qualitative.

Reject because ARAROC less than RF. not because of market return. They gave that option to confuse(I might be wrong ,though fairly confident that I got the right answer!) 8? How come. beta was 1.2. Rf 2. Rm 7. So by capm rate of one equity = 8%. And another equity = 4% was given. So in any...

I answered aRaroc reject. Hurdle rate 6.5. For CNY they already gave 7 defaults. So 7*2m is pd*ead at 95%. Just Multiply lgd.

For 25 numerical questions ; they were even easier than Garp mock exam and anyone with even basic knowledge should get atleast 20 correct. For rest 55 almost in every question 2 of the options were complete non sense and you are down to picking 1 out of rest 2. Even random guess will get you 25...

Distance to default between x y and z. 2 questions on Merton debt and equity calculation. 1 question on hurdle rate. 1 on raroc. 1 question on LDA. 2.66 answer 2 year bond credit spread question. 1.69 answer Threshold. I answered 0 Ul with .25 correlation. 2 million cny. 120 loans. 7...

I think cut off should be 55+. Exam wasn’t difficult. It was very conceptual. For most question you could have easily filtered out 2 incorrect options.

I got completely different exam. No BCVA. No surplus as risk. No question on structured waterfall. Nothing on risk aversion. I had question on cox ingersol. Nothing on model 1 or model 3. I did get Basel market risk 23.7 option B. And 3 year survival probability with given hazard = 8%.

35% quant...65% qualitative. Couple of quant questions gave more info than required(probably to confuse). Quant questions were much easier for someone who has practiced BT. at least 10 credit risk questions were quant. 50% MR quant. OR heavily qualitative. Some of the qualitative questions...