[FRM考试] 2013.11 FRM 考试感受 + 考点回忆 [推广有奖]

41楼

hflixin 发表于 2013-11-19 14:35:02

楼主神人

42楼

hjq809 发表于 2013-11-19 17:03:20

11:45 发表于 2013-11-19 00:05
哈哈，我也在上大考的，只想说上大好多菊花。。。一级还好啦，都是看一眼然后狂摁计算器，最后涂卡时间没掌 ...

哈哈继续努力

43楼

hjq809 发表于 2013-11-20 09:43:23

Mostly theory around 80 %
1 historical shortfall var for different confidence levels given
2.solvency II ..correlation among risk factors...not in basel
3 4 ques caselet on basel III ..trick was not to include tier iii capital for calculations
4.many questions on CDS
5.Economic capital ..which would increase EC
6.Asset allocation problem
7.netting factor calculation
8.which was a confirmed fact about BMIS..didnt charge commission/management..performance fees
9.two ques from flash crash..one on results of the study
10.relation between financial and sovereign crisis
11.two ques caselet on risk management framework..

44楼

chenxu200312 发表于 2013-11-20 10:25:50

感觉2级真的太天马行空了，handbook里面没题是至理名言，可惜我一半以上时间都花在handbook上了

45楼

hjq809 发表于 2013-11-20 14:31:19

chenxu200312 发表于 2013-11-20 10:25
感觉2级真的太天马行空了，handbook里面没题是至理名言，可惜我一半以上时间都花在handbook上了

我也是主看handbook handbook比notes有条理很多

46楼

hjq809 发表于 2013-11-23 00:31:48

Very theoretical exam:
My annotations( I missed the bassel III tip (dropping Tier III, result was 8,4%):

12-Which of the following options would retrieve the largest LVar(constat spread) to Var ratio: smallest confidence level and holding period
13 - Regression: Beta when positive returns and negative. Asimmetry.
14. Impact on ES on economic capital
15. Which of the following would increase ARAROC the most: scenarios based on changes on operating cost, revenus, were given(guess it's Q number 5 above).
16: Liquitidy cost calculation: Assuming non-constant spread.
17: A set of options contracts were given plus a forward contract: One of the options deep in the money the other out of the money, derive the VaR, based on delta?.
18: Senior tranche: Is the one that has the highest duration of the tranches.
19: IO(negative duration).Not 100% sure about this one.
20: ZC Bond: yield=8% RR=0% Riskfree rate=3%. Derive the PD. Two correct options were given, 5% and 4,63%. I chose the latter(more accurate in my opinion).