Exam Feedback November 2018 Part 2 Exam Feedback

[MFT]

How about LVar, I put exogenous and 92,975

Yep, me too

 

[[email protected]]

How about LVar, I put exogenous and 92,975

Same here...

 

[shailthakker]

How much was the lognormal var?

 

[shailthakker]

What about the SMM and CPR?

 

[MFT]

For the SMA question, I answered that the main advantage was that no "internal modelling" was needed, which reduced model Risk...

 

[haziqnazri]

another tricky question was question 79 where they mentioned the firm is compliant with FRTB and then one of the option was the reclassifying the securities in trading book into banking book would lower the capital of the bank, I answered A in that.... can't recall what but that is the only choice that have some sense

 

[haziqnazri]

For the SMA question, I answered that the main advantage was that no "internal modelling" was needed, which reduced model Risk...

me too

 

[haziqnazri]

What about the SMM and CPR?

i answered C

 

[[email protected]]

There were many questions related to CCP. Does anybody remember those? Also, there was question for which i chose Clustering as the answer... 2/3 questions on role of dollar, question on Merton, KMV model, question on friction from securitization...

 

[shailthakker]

For the SMA question, I answered that the main advantage was that no "internal modelling" was needed, which reduced model Risk...

I put model risk is introduced LDA in AMA

 

[[email protected]]

What about the SMM and CPR?

did not answer this one...

 

[shailthakker]

Was the CVA coming out to be 0.498?

 

[shailthakker]

Merton does not account for changes in volatility

 

[shailthakker]

There were many questions related to CCP. Does anybody remember those? Also, there was question for which i chose Clustering as the answer... 2/3 questions on role of dollar, question on Merton, KMV model, question on friction from securitization...

Strong dollar breaks down CIP

 

[MFT]

Strong dollar breaks down CIP

Also answered that one

 

[shailthakker]

Was the answer to Ho-Lee 1.9?

 

[MFT]

Was the answer to Ho-Lee 1.9?

Yes, it was way lower than the initial 3%, 1,9% if I remember correctly.

 

[[email protected]]

Was the answer to Ho-Lee 1.9?

i think 1.7 or1.9 not sure ....

 

[shailthakker]

Yes, it was way lower than the initial 3%, 1,9% if I remember correctly.

Looks like we gonna pass

 

[shailthakker]

Maximum interest rate to maintain raroc was 5%