2009 FRM 考试 试题 回顾

这次题目风格果真很puzzle,current issues 有一定比例,ubs就有两三道。上午有道题用了分布表，whatever，it' new from now.

这么快就来回忆了。。。

我记得很多，说几题吧
给call, put, t, s, x 求r
给图，求线性相关度
有雷曼倒闭后,TED spread变化和市场流动性的判断
4个组合，给ir, volatility, rate of return等信息，求投资于哪个最优
EWMA 求volatility update
求surplus
why banks failed to stress test
ETC......

考了用求导找最大的EXPOSURE是哪年的题目了吗？

Schweser and the GARP not really useful in this year exam. By still examine the same concept based on past GARP past paper.

还是有的。

有一题 给了 K = 45 payoff = 45, 的binary option,  Call option = 5.59, K = 45, Spot = 50 , N(d1) = 0,9796?
球binary option的价格。
另外一题，给了 K = 120 spot = 110相同的 call = 5 put = 25, 另外一个k = 120, k = 150的 box spread option, 是 20。 问arbitraga space.不能确定spot是不是110
再想一个，就是给了两个fund的variance cov 矩阵，给了两个基金跟两种市场的回归。求两个市场之间的covarance.

补充：
1.文字题：对bank run的理解。选项之一是现在的挤兑已经转变为对手和其他方面对银行施压。bear stern及另外一个关掉的银行。
滚轴溜冰鞋厂商，市场在欧洲，材料采购在美国，怎样对冲汇率风险。
对冲远期债务，用cap floor、远期及其他。
根据几何布朗运动对股票2天价格作模拟定价
2.计算题：
算LVAR
算EL和UL

market risk charge question, model risk application, basis risk application, around 4 questions related to investment strategy, 1 question only for code of conduct, UBS case

one more expected shortfall calculation , which option price is cheaper- answer is european opion

转帖牛人回忆1. Gold forward arbitrage with continuous yield (2%) and Rf (4%).
The future price was lower that the computed one.
What should be done to “gain” the arbitrage?
2. One BII market risk capital charge computation, be careful daily var was 95%.
So we had to convert to 99%.
3. Currency forward arbitrage (Rf and time provided)
4. Volatility smile descriptive question (currencies and equities)
5. Maximum likelihood (you should take the log and tell what to maximize/minimize)
6. No Poisson question
7. Easy Binomial: What is the prob that a student has less than 8 answers right
if he answers randomly a two possibility answer test with 20 question.
You did not have to compute but just to say how to compute.
8. Several questions that required put/call parity (including S*exp(-y*t))
9. Several questions on option combinations (butterfly spread)
10. One greek question
11. No TRS question
12. Several CDS questions (impact of correlations)
13. Lots of var questions
14. Not too many questions on BII compared to var questions.
15. One Tier1 and Tier2 BII computation
16. Model risk question
17. One UBS (easy) question
18. Why stress testing var
19. Indirect question on backtesting var
20. One easy swap computation (2 years remaining, Libor against 8%)
21. One easy question on interest rate: Which one is higher?
They gave yearly, monthly, quarterly and continuous numerical values.
The answer was continuous.
22. Several questions on linear regression:
Compute R^2. Beta has bad t-stat and the strategy is to be market neutral -> what can be concluded?
23. A few questions on IR, Sharpe and Treynor ratio.
I was confused by one because they were calling the tracking error, the systemic volatility or something like that.
24. One portfolio credit risk model question
25 One very easy question on matrix transition: Which statement is incorrect?
There was a line with BBB down grade proba > 80%...
26. No rating question
27. Difference between CDO and MBS (I answered the tranching)
28 CDS question on price of first to default versus second to default.
29. No moral hazard question
30. One SPE usage question.
40. No inverse floating question
41. A few modified duration question. (DeltaV = -D* * V * deltaY)
42. Which obligation has negative convexity:
good to see easy question and not time consuming.
43. An easy proba computation:
z-proba of not been between 1 and 1.5 or something like that.
The z table was provided for each test on the first page.
44. P(A|B) computation:
I had P(A and B) by using P(B|A) but I did not have the time to compute P(B)
because the text was long and I needed at least 5 minutes to recompute.
This is a typical question when I lost point because I had to avoid loosing time.
45. One easy question kurtosis:
The normal has lowest proba of extreme value than 4, 8 kurtosis distributions.
46. Several EVT questions: one was to compute it with extreme returns provided.
47. One var question:
20 worst returns provided but unsorted. Find the var, It was 1% of 80 Million as far as I remember.
48. You decrease significance what happens to Type I and Type II probs.
49. One binomial tree call computation question that I failed.
50. One Monte Carlo simulation of GBM (mu was zero to be easier), sigma was provided
You had to compute S(n+2) given S(n) e(n) and e(n+1).  
I also failed because I did not want to loose too much time on computations
and I made a mistake in the contribution.
51. No Cholesky or interest rate model question.
52. One Ted behaviour (after Lehman episode) question.
But there were two possible good answers as far as I understood.
I answered that the it increases because there was a lack of liquidity
(for me the fact that all bankers we scared of lending was a liquidity funding problem).
53. One or two linear hedging question (rho * sigma(S) / sigma(F))
54. Concerning study cases, a single question on MetallGesellshaft
55. Two questions on basis risk.
56. A liquidity VAR computation:
Normal distribution for return with mu and sigma, value of portfolio and spread value in dollar provided
57. One EWMA and one Garch (compute the long term vol for Garch)
This has nothing to do with the exam. But it remembers my wife’s boss explaining to me that Garch
has nothing to do with modeling heteroskedostaticity.
As he is responsible for Market Risk Management, I should have suggested him to take the Garp exam.
58. An interesting question on style drift versus leverage increase for HF.
They were providing the fund returns and the benchmark returns.
You could see that one manager increases leverage (same signs for returns) and the other was doing style drift.
58. Tracking error:
3 graphs were given with benchmark and fund returns. Tell which one has lowest tracking error.
59. Correlation:
3 graphs were provided. Which group of variables has the highest correlation?
60. An easy question on credit risk: Which operation adds CR: sell/buy options
61. One Merton question (that I failed) close to the one provided in Garp2009:
Compute prob of default
61. Two EL and UL computations (PD, LGD, COM, sigma(PD), sigma(LGD) were provided)
62. Two questions on credit “modifiers” (Triggers, Netting, collateral, MTM)
63. No cat bound question
64. One Raroc computations (no taxes were involved and RC was provided)
65. One BS call/put computation N(d1) and N(d2) were provided
66. One interest risk reduction question (buy a cap, sell a floor, ...)
67. One or two questions on MVAR, CVAR questions:
Compute the global VAR if a fund is removed
Compute an MVAR

6# michelle0213
貌似有garp里的一道吧，当时看到了还挺兴奋。。。。