Delighted! Passed FRM Part II! (1,1,1,1,1). Congratulations to all that have passed!
Thanks David and Nicole for the amazing BT platform which has not just helped me pass but also greatly enhanced my knowledge beyond the necessities for the exam. The knowledge I acquired here over the last year...
If I understand you correctly then I think that you are making the interaction between a Profit and Loss Statement and a Balance Sheet more static here then you should, in my opinion. Your earnings are not moved to the balance sheet at your discretion, this is a continuous process. I think the...
Ah yes now I recall. You are correct. 7.5% was the hazard rate I got derived from the s/(1-rr) and then calculate 1 year PD. Or something along those lines.
Yeah I recall but I believe they asked the conditional ,100% sure the word was there somewhere. I explicitly looked for the wording here (thanks to David stressing this point often on the forum) I believe 10% was joint PD, 11.3% conditional.
I used r*e (^-kT)+Theta (1-e (^-kT). My answer matched.
Damnit, I maked 16.6. I think i spend 10-15mins on this question. After 5 tries or so I found 16.6m. Probably still an error somewhere, cant believe I couldnt get this question right more easily.
Good to hear regarding the ops risk in 4...
Hi Nikic,
Thanks for the impressive recollection. Some additions/comments from my side which may help out :)
Market Risk
Similar answers, as I recall, as you. Some deviations; For Vasicek I applied formula 13.23 (page 217). Didnt spend much time on reading this question fully so maybe I got...
Also passed the exam (2, 1, 1, 1). Big thanks to the BT team! Without the BT materials the result would undoubtedly have been different!
Will definitely be back here for part II prep!
I recall marking something along the lines of 'The credit spread can change significantly without there being an increased default risk for the company in question'. Think that was the correct answer, think it is somewhere in the Damodaran reading.
Yeah I am thinking the same regarding the swap. Too bad I ruined that one myself, marked the comp adv which was in the floating markets if I recall correctly.
Thinking about some of the questions. I remember the price change of a bond(dur&conv) gave me headaches. Believe it was mentioned that...
A very nice recollection! I recall most of these as well and hoping I can make a couple of additions.
1.) There was a question on a German bank (?) that wanted to make loans denominated in USD and have this exposure hedged on-balance. Believe there were some options with forwards or issuance of...
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