BT |
2015年FRM考試回顧 (2015/9/8 下午 02:48:48
)
•Asking question regarding payment vs close-out netting and the difference
•3 question set on XYZ's SPE of mortgage bonds, one question was the most pressing concerns regarding the consulting companies proposals for the SPE…
•Choosing between "Gamma" and "Theta" companies based upon balance sheets as the better counterparty, i.e. longer duration assets, shorter duration liabilities, less non-USD exposure, and something else were answer choices
•Repo with Hedge Fund question – some answers included special rate b/w General and Special, I chose an increase in bond price will reduce the HF’s exposure
•Question on Exposure of $9ook with a $1m threshold and $250k mta, exposure increases to $1.2m, and the outcome. I did not like this question as I thought this should trigger a $1.2m margin call, but that was not an answer. I chose increase $300k but the answer may have been zero.
•Question on Cybersecurity and the next step after discovering some sort of issue (forget exact details)
|
|
| |
|
BT |
Re:Re:2015年FRM考試回顧 (2015/9/8 下午 02:52:14 )
Some others coming to mind, apologies for the vagueness but maybe others can extend more detail:
•CHF/EUR de-peg from January event and a complimentary graph I think I chose the answer where one currency will be more volatile going forward.
•Something regarding an OAS spread above the treasury curve +30 and below the Securities spot curve -30 bps, and the implications on security value or market perception.
•A question where you had to distinguish and/or choose between age/volatility/filtered/correlation weighted approaches.
•Four hedge fund strategies with similar market conviction, which would be least likely to be correlated with the others. For me it came down to short bias or market neutral, I chose the latter.
•Pick the answer which best describes "Pillar 3"
•I recall performing the ROE calculation for some reason, or I am imagining this lol.
And unless I am just forgetting about it, I was surprised to not see any Merton / contingent claim questions...
There are others going through my head, but I am not sure if I am just blending them with past practice questions, it's becoming hazy at this point.
I will refrain from adding more questions I recall to this discussion, for my own sanity. The analysis I'm doing at this point is slightly driving me up the wall. I need to let go and know that worst case I did not make the cut, I can continue studies and be even more prepared and a better risk manager with deeper knowledge of the subject matter, which I found quite interesting especially for part 2. It would not be the worst fate. However, if I pass I will certainly miss all the learning and challenges that come with this curriculum. It can be an incredibly frustrating and painful journey, yet so uplifting and totally worth it when you experience each "Ah hah" moment and small victory along the way. Best investment of my time I ever made.
|
|
| |
|
BT |
Re:2015年FRM考試回顧 (2015/9/8 下午 02:50:50 )
- Use of lognormal wrong for bondprices
- Had lighter tails for the QQ plot
- Convexity adjustment downwards
- CCP question about a fradulous trade
- Net stable funding ratio (had not enough funding)
- zero correlation doesn't imply independence
- LIBOR swap valuation, didn't know how to do that
- CLN question
- A question about a CDS for a BBB rated company with a AA rated company or something |
|
| |
|
|
