Albertikos
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think was 0,35
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Exam Feedback November 2020 Part 2 Exam Feedback
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I think it was that one (answer b if i remember correctly). The other 2 answers with psa resulted in a lower rate.Well among the two SMM options yes that was it. But I selected this one because I forgot how to apply the PSA formula and so didn't even check those two so cant say!
Albertikos
Member
there was a tricky one which involved a regressión formula and a remember an input of 0,19 and the orher of 0,64... answer was 0.64? or was other different?
It was 0.64 as they only asked for the mean reversion rate.there was a tricky one which involved a regressión formula and a remember an input of 0,19 and the orher of 0,64... answer was 0.64? or was other different?
Albertikos
Member
It was 0.64 as they only asked for the mean reversion rate.
i chose that one too! great!!
Last edited:
I added.
1- One in which both sides are exposed to wrong way risk
2- Calculation cox. 2,89 answer
3- Calculation ho-lee. think answer was 55 pb.
4- DtD (LN (MV/FV)/desv)
5- BCVA - 410000 answer
6- One with PD*-PD*EAD*LGD ... think was 8,3 the answer
7- stress var
8 - libor (answer was binding ...
9 - one that the answer was long coupon and short variable rate
10- Unexpected loss.
11- RAROC
12- ARAROC
13- one that you have to select directly doing the Return - CAPM return. Select the one ith highest alpha
14- collateral. select the one with the threshold small and margin perior small (the left one on the table provided)
15. Asset allocation 0.32%
16. Ccp select the one which total net exposure
17. Screen stratification
18. Adjusted duration gap 1.68?
19. Regression hedge calculation
20. Manager invest their own wealth
21. Super, Unsupervised ML Explanation
22. Mean reversion 0.64
23. Climate risk Explanation
24.Money laundering correspondent banking
25. Volatility smile Explanation
26. Psa / smm Calcaulation and select highest
Added more. I can't remember anymore and i can't remember my selection on each question. .haha
1- One in which both sides are exposed to wrong way risk
2- Calculation cox. 2,89 answer
3- Calculation ho-lee. think answer was 55 pb.
4- DtD (LN (MV/FV)/desv)
5- BCVA - 410000 answer
6- One with PD*-PD*EAD*LGD ... think was 8,3 the answer
7- stress var
8 - libor (answer was binding ...
9 - one that the answer was long coupon and short variable rate
10- Unexpected loss.
11- RAROC
12- ARAROC
13- one that you have to select directly doing the Return - CAPM return. Select the one ith highest alpha
14- collateral. select the one with the threshold small and margin perior small (the left one on the table provided)
15. Asset allocation 0.32%
16. Ccp select the one which total net exposure
17. Screen stratification
18. Adjusted duration gap 1.68?
19. Regression hedge calculation
20. Manager invest their own wealth
21. Super, Unsupervised ml Explanation
22. Mean reversion
23. Climate risk Explanation
24.Money laundering correspondent banking
25. Volatility smile Explanation
26. Psa / smm Calcaulation and select highest
27. Marginal cost method procing calculation
28. Leverage effect : margin, short, derivative
29. Structure of fund approach calculation
30. Var mapping explanation the one with mapping common risk factors?
31. Impact of pd and correlation explanation
Albertikos
Member
Added more. I can't remember anymore and i can't remember my selection on each question. .haha
1- One in which both sides are exposed to wrong way risk
2- Calculation cox. 2,89 answer
3- Calculation ho-lee. think answer was 55 pb.
4- DtD (LN (MV/FV)/desv)
5- BCVA - 410000 answer
6- One with PD*-PD*EAD*LGD ... think was 8,3 the answer
7- stress var
8 - libor (answer was binding ...
9 - one that the answer was long coupon and short variable rate
10- Unexpected loss.
11- RAROC
12- ARAROC
13- one that you have to select directly doing the Return - CAPM return. Select the one ith highest alpha
14- collateral. select the one with the threshold small and margin perior small (the left one on the table provided)
15. Asset allocation 0.32%
16. Ccp select the one which total net exposure
17. Screen stratification
18. Adjusted duration gap 1.68?
19. Regression hedge calculation
20. Manager invest their own wealth
21. Super, Unsupervised ml Explanation
22. Mean reversion
23. Climate risk Explanation
24.Money laundering correspondent banking
25. Volatility smile Explanation
26. Psa / smm Calcaulation and select highest
27. Marginal cost method procing calculation
28. Leverage effect : margin, short, derivative
29. Structure of fund approach calculation
30. Var mapping explanation the one with mapping common risk factors?
31. Impact of pd and correlation explanation
30. yes that one
25. same volatility put/call with same strike and maturity.
30. yes that one
25. same volatility put/call with same strike and maturity.
what is the answer in the money laundering question? I remember one of the option is :do not provide service for those non existing customers"?
marcreaidi
Member
Yeah u r right , it is also the first version using the new materials , some other service providers did not capture some of the areas that were asked in the exam . For example smmreading these comments...i feel like they may have recycled some questions from the October exam. Best of luck guys!
ww
What is smm?
Yeah u r right , it is also the first version using the new materials , some other service providers did not capture some of the areas that were asked in the exam . For example smm
What is smm?
mattheweidinger
Active Member
ww
What is smm?
Single Monthly Mortality I think?
YepSingle Monthly Mortality I think?
evelyn.peng
Active Member
I added.
1- One in which both sides are exposed to wrong way risk
2- Calculation cox. 2,89 answer
3- Calculation ho-lee. think answer was 55 pb.
4- DtD (LN (MV/FV)/desv)
5- BCVA - 410000 answer
6- One with PD*-PD*EAD*LGD ... think was 8,3 the answer
7- stress var
8 - libor (answer was binding ...
9 - one that the answer was long coupon and short variable rate
10- Unexpected loss.
11- RAROC
12- ARAROC
13- one that you have to select directly doing the Return - CAPM return. Select the one ith highest alpha
14- collateral. select the one with the threshold small and margin perior small (the left one on the table provided)
15. Asset allocation 0.32%
16. Ccp select the one which total net exposure
17. Screen stratification
18. Adjusted duration gap 1.68?
19. Regression hedge calculation
20. Manager invest their own wealth
21. Super, Unsupervised ml Explanation
22. Mean reversion
23. Climate risk Explanation
24.Money laundering correspondent banking
25. Volatility smile Explanation
26. Psa / smm Calcaulation and select highest
For the Ho-lee and the CIR question, did GARP provide the formula in the question?
For the hoo Lee no. For the CIR I think they did but I may be mistaken.For the Ho-lee and the CIR question, did GARP provide the formula in the question?
Yes i remember that. The correspondent bank must not conduct due dilligence on the respondent bank's customers. They must conduct on the respondent bankwhat is the answer in the money laundering question? I remember one of the option is :do not provide service for those non existing customers"?
Interesting. I didnt receive that mail and GARP Homepage didnt change the date neither...It is stated as 4th of January on the website but I received an email last week stating that there was a delay due to the pandemics, and the new date would be the 5th. Something similar happened for the October exam.
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