这样也不大好吧，其实好好看了书的没必要我觉得

GOOD　LUCK  !!!

谢谢

kk(kkkkkkk

如果也记得一些的可以补充啊，当做好事呗

hao  dong xi

hazard rate=0.1,让计算第一年不违约之后第二年违约的概率 这到题目是p(1,2) 还是批p(1,2)/survior rate(1)? 8.6% or 9.5%?

其实我也不知道，刚好这道题我当时脑子糊了，惭愧。。。

我看了看书 觉的他应该 是问 第2种 情况 那种 才叫 conditional probability, 如果 是那样 答案是9。5% ， 我记得 最接近的是9。25% ，，，

不错

先看下隐藏东西~~~昨天也考了一二级,体力活啊

牛人啊！！！佩服！！！

1.hazard rate=0.1,让计算第一年不违约之后第二年违约的概率
那题我不是直接用0.9 x 0.1的，貌似是(exp-0.2 -- exp-0.1)/exp-0.2  ?

2.根据那个single factor式子计算conditional default prob, 给出了beta等值
这题乱写的。。

3.四幅图，选择正确描述对应product PFE，notes上都有

4.给出benchmark 和 portfolio，一个表格，分别包括cash, stock 还有bond?,然后给出各weighting 和 return，问你是不是outperform, 以及outperform是由于stock selecting还是 asset allocation
不会，选的outperform since asset allocation，貌似错了。。

5.最后一个题貌似是计算条件概率的，结合正态分布6.在利率出现负值的时候什么处理方法最好，记得有一个是说set to zero,一个是说用lognormal？
这题真心不会。。。

7.给出trade portfolio和trading book的vol, return什么的，然后让算component VAR.
只知道CVAR=VAR x beta x weight，不过我VAR没算出来

8.计算surplus的题，跟notes例题一样，要计算Vol（A-L）那种；


9.IMA,IRB,SA,等方法哪个考虑了correlation还是什么的(记不清了)
zhege好像是考的是diversify benifit,记得standard方法可以正负抵消？我选的这个

10.有关于冰岛的问题，问题记不得了，但是notes上肯定是有的

11.root cause of Flash Crash
no price limit??

12.有一个表分别列出了99%和99.9%两行关于60 day VAR 和Last VAR的值，计算总的VAR，应该是考对99和99.9的选择吧
题目给的就是10天VAR，另外MR VAR是99%的
max(lastdayVAR,3 x day60VAR)+max(lastdaySVAR,3 x day60SVAR)

13.持有一个portfolio然后想用另一个fully hedge掉，给出了corr,貌似是问hedge的value，我貌似是设了一个x,y用计算portfolio VaR的方法解的，不知道对不对
不记得。。。

14.增加granularity of portfolio,问EL和UL的变化趋势，是Unchanged 或者 decrease等
记得是把一个portf 从25个分到50个，不过都是independet,所以都是看成一个资产应该么区别，我选的是unchanged...好像不太确定。。
查了书，R=1是相当于一个资产，所以又悲剧的错了一题。。

15.用spread和RR算PD，很简单，不过LGD似乎需要稍微转个弯先计算出来，不是直接给的

16.关于crisis的条件，就那三条，什么fiscal reserve不足什么的，notes上有的
就选这个选项吧。。

17.关于CPR,SMM和payment 中 princial 为多少，具体记不清

18.计算BCVA，notes上的，简单
EPE x CDSc - ENE x CDSi ??

19.分别long CDS, short CDS,问在counterparty rating 变化时postion value的变化

20.给出ABCD四家互相之间的position，在multilateral netting下对他们的exposure大小进行排序
正负相抵，负的按0算？

21.给出risky bond yield, risk free rate, cds premium，让你选择套利方式

22.选择vega最大的一种option, at the money call/ put, out of the money...
OTM的应该不是，剩下的是ATM的2年或1年的，貌似2年的VEGA大，不过我选了1年。。悲剧

23.给出swap, forward等不同情况的positon, 判断其counterparty risk哪个最小
这个我选D，short put a junk bond to a BBB firm, 因为对手是long put junk bond，不会违约？这题算是猜的

24.计算net excess spread
跟practice exam不太一样，没说是Libor+spread,我选的75bps

25.哪种情形减轻hedge fund manager 与 investor之间的 asymetry,比如high management fee, limit investment by manager himself等

26.private equity fund 相关，用什么debt类型，其中大部分是来自哪里，用什么collateral,收购prefered stock of target?
buy senior ？这题貌似去年回忆就有，但是NOTES上对LBO的东西太少，最后复习时间也不够

27.merger arbitrage中，哪种情况使其损失
acqurier stock涨，target的跌

28.frequency 用negative nomial
其他三个明显不是

29.关于volume 和 quote fragementation的相关结论，notes有的，很详细
这题应该我选错le，我选记得是VHI在之前都decrease但是这个选项貌似前半段是错的

30.关于GEV的问题，选项不记得了，不是计算，是相关概念和特点
只记得两个选项，通过GEV可以得出parent什么什么，90%置信不适合GEV...我选的前者，又是猜。。。

31.age-weighted historical simulation的应用
这个应该是按年份排一下，然后dechu结果，悲剧的是我不记得95%historical 是第5个还是第5+1个。。我选的是第5个，BOOK1上说FRM用的是T而不是T+1

32.计算ARAROC

33.LAR,有个选项是有相同VAR的portfolio是否有可能有很不同的LAR
就是则个选项吧？。。



我记得的，不定期更新
MADOFF的问题。。。。题目记不清，选项都很模糊，我就选了个他没有加入一个什么组织，但是前半句是他们公司少于15人。。。真心不会记那么细

Loan Equivalent Factor 的，跟13年的PRACTISE EXAM差不多

从老外那里拿了一点来，FRM下半年de题目应该跟上半年重复的有不少，一是为服务大家，二是为自己攒人品，三是如果下半年再考。。。


Market Risk

-Implied volatility: Given the skewed (equity) curve, which option is undervalued?
这个我排除了ATM 和两个一样的OTM PUT/ITM CALL

-Implied volatility: Similar to above, describe fatness of the right and left tails.
右偏的话左尾小吗？反正右边肯定是肥尾。。

-Exotic option: which option has the large negative vega?

-Exotic option: Given plain vanilla option information (maturity, strike price, risk free rate etc.) what would be the value of the chooser option in term of sum of which plain options with which strike price?

-Find the right characteristics for GEV … might not be reliable in lower confidence intervals (e.g. 90%)

- VaR : given non-uniform weighted loss, find the approximation of 95% VaR

- Weakness of ES: cannot produce the value outside of the historical(?) value
这题应该是ES没有risk avesion吧？

-Copula & correlation (there were quite many of them)

-VaR Backtest: what is the max. number of exceeds of 98%VaR model beforeBasel add the penalty? Please note that binomial test is two-tailed 95% (1.96)

- Find the correct VaR Mapping description of Cash flow mapping ( to what?)
这题。。。duration cashflow mapping的VAR谁的大，原因是什么？我只知道谁更复杂更精确，悲剧。。

- Another Mapping: What would be the most appropriate mapping for government bond (can't remember the question precisely)

-No so much from new Tuckman’s chapters (interest rate model) – one question was simulation of model 1 (yes, the very basic model with no drift) given simulated value (GARP did not specify to find the inversed value).
我怎么不记得有model1的题目。。。

-Interest model simulation: what needs to be done if it goes to the negative rate? Simply set to 0.

-(This is from Part 1… duh) Hedging – minimum variance portfolio (given std’s and correlation of portfolio and market)

-(Again, this is from Part 1) Given r(0, 1), r(1,2), r(2, 3) (one spot rate and two forward rate). Describe the shape of the spot curve rate.




Credit Risk



-Find Credit VaR, where Portfolio of iid 25 bonds (i.e. binomial dist), probability of default = 0.02

-(Continued from the above) if n = 25 is changed to n = 50 describe the impact of expected loss and unexpected loss

-Given CDS long and short positions of a trader, which scenario (credit transitions) would be most severe?


-Given two culmulative probability default function graphs (industry vs. particular company, in this case, distressd), interpret: it is more likely to default is the first 3 years.

-given lambda (cond. Default probability), find the probability when a company defaults in year two after surviving the first year


-No Merton question (DD), but single factor credit model in Malz - find the probability of default under severe market condition (k is given, and the market condition is -1). David’s new PQ cover this precisely.

-Netting, Given 4 institution’s MtM positions, rank them in the order of exposure with netting

-Given PFE graphs of various products, find the right one (I think it is FX, it is highest at maturity – exchange of Notional)

-BCVA running spread, very similar to David’s Canabarro’s CP question: EPE*CDS_cp_spread – ENE*CDS_fi_spread (I think it was 7 bps…)

-Which method is the most effective way to reduce CP exposure? I think it is collateralization (from my old memory in Gregory’s)

-Two random variables (Equity index and bond yield) are normally distributed with its mean and vol. Given high tailed dependence (what is this mean?) find the conditional probability (it was something like P(Y > 2.31% | X > 1800)

-given risk free rate and EL, PD (where LGD can be inferred), find the spread.

-Relevant credit card risk factor – I used my common sense: unemployment rate.




Operational & Integration Risk

-LDA Approach

-Given several inputs, including RAROC, find ARAROC

-Loan Equivalent Factor (Crouhy) RAROC charge: very similar to practice exam

Basel

-Basel III: Common equity tier 1 must be at least 4.5%

- There gotta be more onBasel… will update

Investment Risk

-Given Surplus status at year 0, find the surplus at risk at year 1: very similar questions are covered in practice exam & David’s PQ.

-Given asset allocation and returns table of benchmark and manager, analyze – it underperformed benchmark due to the asset allocation

-Finding Component VaR

-Risk Budgeting given bunch of information of different asset classes. Which one has the highest budget?

-Some portfolio VaR questions…

- Main source of Funding of Private equity

- M&A strategy: the most severe condition for trader taking this strategy - when the acquire's share price goes up and the target company's share price goes down (i.e. when the merger does not go through)


Current Issue

-Finding the right statement for Pillar 3 Disclosure for Basel II/III or Solvency II

-Flash Crash: what was the cause? (briefly, An order submitted but without limit)

-Flash Crash: finding the right statement for describing fragmentation (quote or volume) measure. It was highly fragmented (i.e. low measure) prior to the clash.

-Liability structure of Icelandic banks: after some criticism, back had funded largely from deposits (setup for the crisis)

-Sovereign & Finance system interconnectedness: not sure about this one, I think it was somewhat related to creditworthiness.

-Dog & Frizbee: Find the statement that correctly describes tradeoff between complexity and simplicity model.

-Stress testing??

看看，LZ太牛了，我觉得这次2级考得很难、很细，notes上大多没提到，个别提到的但也不是问在notes的点上，有点偏。。。其实真要考到BSM倒是挺好的，不用动脑筋套公式，但这次大多都是puzzle

多些分享哈~

你这个是从哪个网站来的啊，我也想去看看耶。。。你不会下半年再来的。。。

的确是，就是看上去好像是有，实际上好像又不在那个点上，比较迷幻。。

chooser option那个题完全不会，蒙了一个。。

thanks!

看看吧 求过

对的，很多重要点CLN或者Equity Swap，MERTON，KMV CREDIT+等的选择，BSM一题都没有，反倒是CRASH FLASH就考2了2题。。。还有BASEL 和 SOLVENCY II的区别，这个是BOOK3最后1章吧？这个也考？BASEL的LIQUID里的LCR和NSF也没考。。

感觉不像在考知识点，像是故意想弄难一点
FRM现在还是会员出题？快点改成和CFA一样的吧。。

bionicturtle
FRM还是相关资料太少，能拿的出手的论坛一个也没有，BT算一个，但是东西还是henshao，和人大这一样。。

谢谢你啊，托你口福，这次有希望了

看了你发的老外的那个，我发现自己多错了几个，伤心。。所以还是决定不看了。。考了就不管了，哈哈哈~