Yes, American Put is the right answer.I too marked it as 15 yrs - for Duration of a Callable bond qn.
Btw, there was another qn on which contract can't be priced using BSM model - i guess the answer is American Put.
Other options were Forwards, European Calls and Puts
I too got many D's in the latter half and very few As
What do you suppose the cut off score will be . My guess it cannot be 70%. its got to be lower. Keeping my fingers and toes crossed as I had t guess in a few places
most of experts in these two certeficates say that FRM level 1 study material harder and deeper (but shorter) than CFA level 1 and say that the FRM level 1 exam more difficult too, and the FRM became more and more difficult after being two levels, please u can go to the comparing issue between CFA and FRM on the net or in bionic turtle forum http://www.bionicturtle.com/forum/threads/cfa-vs-frm.6495/.Well, no surprise the BT questions were an excellent preparation,1 or 2 notches above, for the actual exam. The only issue for me was the time constraint maybe it's would be a good idea for future candidate to practice a full mock exam (100 questions). Otherwise, i think that i would be a good idea to purchase some books on VAR and RM, before you kick off your study with the BT notes; there are excellent to pass the exam but even I could answer 90% of the questions on the exam day I fell like I know nothing about Risk management...only to plug numbers into formulas and remember lists of facts... Last thought, FRM 1 is at least 3 time easier than CFA level 1...
i remember these questions but i dont remebr the answer, any way i did not know how to calculate expected shortfall (ES), so i solved this question as same way as i solved the VaR question, and i remeber that i find my result between the four choices in two questions.There was a Question on ES and Var comparing the coherent risk measure rules. Anyone remember the question and answer
i remember these questions but i dont remebr the answer, any way i did not know how to calculate expected shortfall (ES), so i solved this question as same way as i solved the VaR question, and i remeber that i find my result between the four choices in two questions.
yes i rememberd the question and the answer, almost the answer was VaR(a+b)<=VaR(a) + VaR(b)No, not that question, there was a question on coherent risk measure properties. I remember few options as below
Var(a+b)<= Var(a)+ Var(b)
Var(3x)>= 3 Var(x)
Something like the above
I agree with you about that the VaR is not coherent risk measure.This can't be right. For VAR, the sum can be larger than its parts i.e VAR is not sub-additive.
Honestly, I can't remember what the question asked nor my answer. Anyway, it's over.I agree with you about that the VaR is not coherent risk measure, but really i think that question which include VaR(a+b)<=VaR(a) + VaR(b) was not about coherent risk measure, I do not think (coherent risk measure) is mentioned in that question.
If you are asking about the duration of a callable bond, my answer was between 10-15 years. I stand by my initial answer having check the references.
Considering the negative convexity at lower yield, duration is smaller at lower yield. The one example quoted from FRM has a condition: callable at par making the option on zero-coupon bond worthless. I don't think it's the case with the particular question in the last exam.
Personally, I'm optimistic that I will pass given that I feel comfortable with a good number of quantitative question (~60%) where the answer is black and white. I made some educated guesses after narrowing down to last 2 choices in about 30% of mostly qualitative questions. Wild guesses are less than 10% of the total I'd say.