临近5月的考试季咯。。顺便重发一下之前的2013年11月的考题回忆哦，希望对大家有帮助！
那天周六考了ＦＲＭ 第二级，觉得出题比较灵活，趁现在脑子还有记忆，先把能回忆的题目给以后的童鞋们做个参考
１）计算ＣＲＥＤＩＴ ＶＡＲ
２）计算 ＳＵＲＰＬＵＳ，基本跟习题差不多
３）巴塞尔三： Ｔｉｅｒ Ｉ ｒａｔｉｏ， Ｔｉｅｒ ｉ 组成部分，ｌｅｖｅｒａｇｅ ｒａｔｉｏ，ｃａｐｉｔａｌ ｒａｔｉｏ
４）ｓｏｌｅｎｃｙ II 和 巴塞尔三的区别
５）计算短期利息 drift
6)给出各种不同barrier options, 计算共同exercice price
7) 冰岛危机，有两题
8) ERM
9)ADJUSTED RAROC计算
10）似乎有题 MARGINAL VAR 还是component var 记不清了
12） bank crisis 和 sovereign crisis的互相转换，有两题
13）6 may 2010 crash factor 分析一题
14）copulas
14) operational risk frequency distribution, 好象是poisson 分布
15）frictions
14) external insurance of counterparty risk
15) netting benefice
16) netting factor
17) effective EPE, effective EEP, EPE图像识别
18) 单一 default probability 计算，习题一样
19） conditional probability default ，需要转个弯
20）MBS中的几个friction
21) insurance for mazzanie tranch
22) 计算monthly paiment for mortgagen loan,但是之前几年是ｉｎｔｒｅｓｔ ｏｎｌｙ
23) overcollateralization, excess spread计算
24）似乎有model risk， 不过不是很清楚了
25）volatitily smile
26) lonnormal var 和 var 比较大小
27）hedge fund performance
28）private equity, limited partner, general partner
29) 企业价值估值模型，什么option on debt face value ...
30) madoff ，好像是说audit firm 很小，是red flag
31) 计算portfolio var
32) collateralization 对LGD 影响
33）计算DP,知道risk free rate 和 ｙｉｅｌｄ，用公式就行
1. Price of 1st to default vs Price of 2nd to default. Correlation decreases and which of the following is correct?
Ans: value of 1st to default CDS increases.
2. Why BSM is not used to value fixed income securities?
Ans: It doesnt account for the fact price of FI secs becomes face value at maturity.
3. Spot rate for 2 years was given. and yield for 2 years was also given in a table. We are asked to find the PD over the 2 years?
Ans: I used (1+rfr)^2 = (1-PD) (1+ytm)^2 and got 9.4 as ans
4. Calculating credit spread given r.f.r, RR, Yield etc.
Ans: we need to first find PD using (1+rfr) = (1-PD*LGD)(1+ytm) and then use the multiply PD*LGD to get credit spread. Ans is 5.x
5. One question on Allied irish bank. which of the following is the major reason for collapse?
Ans: Inexperienced supervisor (I thought "he took adv of inexperienced control ppl" is also close)
6. Common cause for U.S and Irish crisis : Ans: performance related pay
7. A took 1000 long position in
stock ABC and 1000 short position in XYZ and other details reqd for VAR calculation are given. Combined portfolio var was asked. But correlation between long positions was given as 0.75(??) So we should take it as -0.75. Ans: 86 M
8. Liquity Correction was asked as last question given mean spread and its volatility. Straight forward.
9. Total Market charge was asked given 60 day avg VAR and Stressed VAR and previous VAR and SVAR. Ans: 256 M
10: one question of Convertible arbitrage strategy. Two options are very close
11. Managing tail risk: again two options are close: Ans: invest in strategy which is negatively correlated with tail risk. But I marked move off the optimal frontier which is wrong.
12. CVA question Ans: A's credit exposure increases and its CVA will decrease
13. There are atleast two questions on Correlations and copula where two of the choices are very close
14. 2 questions (40 and 41) were asked on Merton based model given a table
1. One based on Value of equity can be replicated (or sth similar) Ans: D (dont remember the options)
2. DD is given and PD is asked. Ans: 1.25%
15. Two stocks and their holding details, daily volume, percentage they intended to sell daily were given. and liquidity duration was asked. Ans: 9 days
16. some question on up-and-out barrier option
17. 100 call long and 1oo more call and 300 long forwards were taken and VAR was asked. Similar to the one in the practise exam. Need to find delta of the portfolio and then find the answer.
18. KV01 for 2 yr rate is given and change per 100 is also given. What is the position that need to be taken was asked. Ans: -465.12
19. Duration of IO stip is asked indirectly.
20. Which of the following amounts to collateralization. I chose the answer "originators set aside cash for losses". I know it is CCA. but all other options are definitely false
21. One question on RAROC? Ans: Reject the project becoz ARAROC is lesser than market premium
22. why Sharpe Litner was rejected?
Ans: avg return is flat
23. Atleast two questions were there on dependence/correlation and copula.
24. One table with maturity, coupon, Compounding frequency were given and four options were given for us regarding macualays duration and DVo1 to choose the correct
Ans: Actually none seems to be correct. I marked ans D: DVo1
25. CVAR calculation was asked given all the details.
26. Atleast 3 questions were based on hedging concepts. For one question we needed to find beta using correlation, volatility of A, volatility of Portfolio etc. Ans: 120
27: Equity swap question was given. And the equity value increased and the net outflow was asked. Ans: -4.25 i think (not sure)
28: Mortage pool is structured into two tranches A and B. Coupon payments for mortgage pool and tranch A were given in a table. And Coupon payment for Tranch B was asked. Simple Math.
Ans: LIBOR + 88bp
29: 4 securities A, B, C , D were given with the value of the collateral.Which of them is more subject to liq
uidity risk or sth like that. Ans: C (by percentage wise, its was the one which was least collaterlalized)
30. One question on model risk. David's notes helped me here. There were few points like ignoring small errors etc., adding complexity etc..
31. CDS valuation. They made it tricky. But actually it was simple. They said the default occurs at the end of the year instead of half year through. While calculating I guess we just need to ignore pv of accrued payment in the event of default. I dont remember the answer though.
32. Option on Fixed income security. The probability of upmovement or downmovement was not given. So I assumed 0.5 each. and the price of 1-yr european call option was asked. My answer dint match any answer choice. So I choose a) 3.94
33. One question regarding tails of all distribution was asked.
34. One question on LCR. Ans: BASEL requirement is 100% and they dint meet the requirement.
35. What does PE do for financing?
Ans: They raised subordinate debt at higher yields.
36. One on Prepayments and Strips.
37. Question on EL and UL.
Ans: unexpected loss of the portfolio will always be lesser than or equal to sum of the individual portfolio
38. Similar concept was tested in operational risk too.
Ans: Total operational risk across various risks cant be greater than sum of all the risks in individual Business unit.
39. For modelling frequency, which distribution do u use?
Ans: negative binomial
40. One question on exception at 99% confidence interval for 2500 days. What is the maximum no of exceptions allowed without rejecting the model at 95% C.I?
Ans: I marked 35(??)
41. One on CLN. If the correlation between reference asset and CLN issuer changes, how will the value of CLN will be affected or sth like that?
1. Reasons for variance swap over volatility swap
2. 200 stocks regressed - 200 alphas, 25% residual risk, 8% information coefficient - How many alphas <-4%, >4%
3. Icelandic crisis - what happened after mini crisis at 2006
4. What would constitute high quality liquid asset for LCR - AA S&P 500 stock, unsecured A+ industrial bond, Some MBS ..
5. Which risks aren't treated under pillar 2 economic capital - CCR, IRRIBB, dependence in credit risks, liquidity risk - another one similar about funding liquidity risk (whether or not it's treated under pillar 2 if I remember correctly)
6. Signals for a financial crisis in the next 2 years - credit-to-GDP +5% and changes of -/+ 10% or none to equity prices