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 ERM Exam Old Advanced Finance and Enterprise Risk Management (ERM) Forum

#11
04-29-2012, 11:34 AM
 ddoc Member SOA Join Date: Oct 2009 Posts: 83

Morning
Q1: Operational Risk Incident - Identify the given situations and apply to Zoolander (6 points)
Q2: Z considering using S&P. Discuss what they would be looking for. ( 9 points)
Q3: Risk Appetite for Online Reading, Identify the 6 principles and apply them to Z, Calculate ERE term life and list recommendation. (10 points)
Q4: List 10 criteria for ERM. Apply to Z. (not sure)
Q5: Some question on oil, making decision using hedge strategies for divisions of a company.
Q6: Risk Aggregation Methods. Do calculations for Simple summation, Fixed Diversification and Correlation Matrix. VaR and CTE numbers provided for 3 types of risks. Prove using info that VaR is not subadditivity and CTE is. (about 12 points)

Afternoon:

Q7: Analyze CEO Compensation function of I:flat salary and function of growth in stock price and II: flat salary and function of Company Value (definition given)(8 points)
Q8: Expected value calculation, advantage and disadvantage of Copula and Correlation Matrix.(13 points)
Q9: Calculate EDF score and Critique EDF scores.(8 points)
Q10: Complete a Solvency II Balance sheet given info and the US NAIC figures. Calculations mostly (14 points)
Q11:HRO study note question. Had no idea what to write.(5 points)
Q12:Really long question on catastrophe bond study note. Purely theoretical (12 points)
#12
04-29-2012, 11:45 AM
 ddoc Member SOA Join Date: Oct 2009 Posts: 83

MPC you are right. But when you practice the ERE a thousand times b 4 the exam you just want to complete it regardless of the time it takes.
#13
04-29-2012, 11:50 AM
 lemmediWHAT? Member Join Date: Aug 2009 Posts: 62

wow dude, that is impressive haha however, I don't recall q4 as being one sole question but rather some part e) in a random question. I think you are only missing the question with 2 bonds, HQ and LQ and default and calculate VaR, CTE and the coherence of these risk measures (something like that), and I think tested the credit default swap as well

The HRO question, for your information, tested the integrative RM framework
#14
04-29-2012, 12:11 PM
 campbell Mary Pat Campbell SOA AAA Join Date: Nov 2003 Location: NY Studying for duolingo and coursera Favorite beer: Murphy's Irish Stout Posts: 74,635 Blog Entries: 6

Quote:
 Originally Posted by ddoc MPC you are right. But when you practice the ERE a thousand times b 4 the exam you just want to complete it regardless of the time it takes.
this is not good strategy.

I understand people do get into this sort of thing, but if you want to pass the written exams, you cannot waste time on overdoing problems.
#15
04-29-2012, 12:32 PM
 PAK Eddy Chan, FSA, CERA, MAAA SOA AAA Join Date: Aug 2006 Favorite beer: Saki Posts: 3,118

Quote:
 Originally Posted by ddoc Morning Q1: Operational Risk Incident - Identify the given situations and apply to Zoolander (6 points) Q2: Z considering using S&P. Discuss what they would be looking for. ( 9 points) Q3: Risk Appetite for Online Reading, Identify the 6 principles and apply them to Z, Calculate ERE term life and list recommendation. (10 points) Q4: List 10 criteria for ERM. Apply to Z. (not sure) Q5: Some question on oil, making decision using hedge strategies for divisions of a company. Q6: Risk Aggregation Methods. Do calculations for Simple summation, Fixed Diversification and Correlation Matrix. VaR and CTE numbers provided for 3 types of risks. Prove using info that VaR is not subadditivity and CTE is. (about 12 points) Afternoon: Q7: Analyze CEO Compensation function of I:flat salary and function of growth in stock price and II: flat salary and function of Company Value (definition given)(8 points) Q8: Expected value calculation, advantage and disadvantage of Copula and Correlation Matrix.(13 points) Q9: Calculate EDF score and Critique EDF scores.(8 points) Q10: Complete a Solvency II Balance sheet given info and the US NAIC figures. Calculations mostly (14 points) Q11:HRO study note question. Had no idea what to write.(5 points) Q12:Really long question on catastrophe bond study note. Purely theoretical (12 points)
At least there are more questions this time (compared to only 10 questions last time).
__________________
Eddy

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#16
04-29-2012, 12:41 PM
 ddoc Member SOA Join Date: Oct 2009 Posts: 83

Quote:
 Originally Posted by lemmediWHAT? wow dude, that is impressive haha however, I don't recall q4 as being one sole question but rather some part e) in a random question. I think you are only missing the question with 2 bonds, HQ and LQ and default and calculate VaR, CTE and the coherence of these risk measures (something like that), and I think tested the credit default swap as well The HRO question, for your information, tested the integrative RM framework
Oh yeah...forgot about that. Now that was also time consuming. I knew how to do it but time was going so I had to leave it. Never got back to it.
#17
04-30-2012, 10:31 PM
 wings fan Member Join Date: Nov 2006 Location: Canada Favorite beer: cold Posts: 48

Q4: List 10 criteria for ERM. Apply to Z. (not sure)

I didn't realize they wanted us to list the 10 criteria for ERM and I knew the list. They asked for 10 things that the rating agency could discuss with Zoolander. I guess I should have thought they meant the 10 criteria but they didn't specifically ask for it. What bothers me the most is that I knew the list.
#18
05-01-2012, 08:33 AM
 pete5383 Member SOA Join Date: Feb 2011 Posts: 9,297

I thought that question was more, "With regards to ERM culture, ERM controls, and Emerging Risk Management, give 10 things that S&P might want to talk about."

So I gave a list like: Executive compensation, underwriting audits, etc. I didn't think they wanted the 10 ERM criteria.
#19
05-01-2012, 09:12 AM
 lemmediWHAT? Member Join Date: Aug 2009 Posts: 62

There was no such question as providing 10 key criteria, you are correct, I did the same.

The only part you could write about those 10 criteria, was the question asking for 2 BoD roles and responsibilities, you could then put Evaluate the effectiveness of the ERM program, and this is then supported by evaluating it against the 10 key criteria.
#20
05-01-2012, 09:52 PM
 campbell Mary Pat Campbell SOA AAA Join Date: Nov 2003 Location: NY Studying for duolingo and coursera Favorite beer: Murphy's Irish Stout Posts: 74,635 Blog Entries: 6

Quote:
 Originally Posted by wings fan Q4: List 10 criteria for ERM. Apply to Z. (not sure) I didn't realize they wanted us to list the 10 criteria for ERM and I knew the list. They asked for 10 things that the rating agency could discuss with Zoolander. I guess I should have thought they meant the 10 criteria but they didn't specifically ask for it. What bothers me the most is that I knew the list.
oh yay. spitting out a list.

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