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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??
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