2009 FRM 考试 试题 回顾

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.
这道题好象NOTES里面没有啊,我看到就知道不会,直接过了.这次出题真他吗的太**了,概念题太多了.而且靠点分布很部均匀.

总体感觉难度应该高于以前的试题,什么那些模拟试题根本没用,难度不够,.单个题阅读亮还很大,有个题考二叉树计算期权的怎么感觉算不对, AMERCIAN PUT 向上升 20% ,向下降20% ,Rf=12%,期权期限6个月,分两个阶段计算.
S0=50, K=52.

cpa2002ly 发表于 2009-11-22 21:24
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

2我不记得有没有了~~
UBS貌似不止一到
21我答案和你一样~
49里那个我算出来似乎没有答案~~ 选了个最近的
57条件异方差是指error项的，GARCH是指vol本身的，本来也就nothing to do with

本人感觉计算题好像有重复往年的试题。不知道大家有没有这样的感觉？

hustgang 发表于 2009-11-23 09:17
总体感觉难度应该高于以前的试题,什么那些模拟试题根本没用,难度不够,.单个题阅读亮还很大,有个题考二叉树计算期权的怎么感觉算不对, AMERCIAN PUT 向上升 20% ,向下降20% ,Rf=12%,期权期限6个月,分两个阶段计算.
S0=50, K=52.

binomial trees有两道题，一道是算概率的，我算对了。但是算call price的时候我忘记乘以概率了，所以算不到答案。现在才想起来，真是郁闷，题目做的少了

1.有道题是说一个regression 有high R squared,但是t-test low,问原因。应该选multicollinearity吧。
2.还有一道是算Basel II的tier1,tier2 capital的，给了share premium,但是我忘加了。

22# hustgang
这两题我也是没来得及仔细想明白
现在想想，是不是要考虑美式期权提前行权的问题的啊

兴奋的不行哈，lz~

folkstar 发表于 2009-11-23 14:06
1.有道题是说一个regression 有high R squared,但是t-test low,问原因。应该选multicollinearity吧。
2.还有一道是算Basel II的tier1,tier2 capital的，给了share premium,但是我忘加了。

1.他用age和experience回归，这两个自变量没有多重共线性才怪来~~

我出的2道题被选上了，不知道是哪两道。