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FRM Level 1 Nov 2012 Feedback

AlokS

Member
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
 

balajismz

New Member
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
Yes, American Put is the right answer.

Balaji
 

nabil1234

Member
for me more than 50% of questions were somewhat difficult and need deep thinking and time to find the solution and about 25 question of 50% were really tough and i forced to guess about 22 questions and there was no time to think more, the question now is about the pass percent this time i hope it will be better than the last time i hope more than 50% the last time was about 47%?.

iam just wondering that some candedates say that the exam was little tough and others say was fair and the rest say that was really tough???????

there was a questions I could not solve such as:question about finding unexpected loss and i could not solve because the LGD standard deviation was not given in the question, and two questions about duration and convexity (bonds embeded with option or future)I have tried to solve but didnot reach the true result cosidering the time limits of exam.

about the Duration of a Callable bond question, my answer was 10 - 15 years.
 

nabil1234

Member
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

in the first 10 questions of the exam i got As more than B or C or D
 

nabil1234

Member
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...
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/.
 

balajismz

New Member
There was a Question on ES and Var comparing the coherent risk measure rules. Anyone remember the question and answer

Balaji
 

nabil1234

Member
There was a Question on ES and Var comparing the coherent risk measure rules. Anyone remember the question and answer

Balaji
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.
 

balajismz

New Member
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.

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)
ES(3x)=9E(x)
Var(3x)>= 3 Var(x)

Something like the above

Balaji
 

nabil1234

Member
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)
ES(3x)=9E(x)
Var(3x)>= 3 Var(x)

Something like the above

Balaji
yes i rememberd the question and the answer, almost the answer was VaR(a+b)<=VaR(a) + VaR(b)
 

nabil1234

Member
This can't be right. For VAR, the sum can be larger than its parts i.e VAR is not sub-additive.
I agree with you about that the VaR is not coherent risk measure.

but the sum of VaR (portfolio) will be less than the VaR of the sum of each asset VaR, and this because diversification that reduce the risk and reduce the VaR too.

but to be honest 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.
 

Bryon

Member
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.
Honestly, I can't remember what the question asked nor my answer. Anyway, it's over.
 

AlokS

Member
If i remember right, one of the options was ES(3x) = 3ES(x), which seemed right to me as ES is a Coherent risk measure and this option directly comes from the Positive Homogeneity property.
 

nabil1234

Member
Dears really i dont remeber any questions mentioned to Coherent risk measure issue. but if there was for sure the answer will be not the Var and my answer was wrong.
 

Bryon

Member
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.
 

nabil1234

Member
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.

thanks Bryon for answer, really iam asking about 2 questions about duration and convixety of bonds embeded with options or futures, i hope u can remebr them, for me i have tried to solve them but i lost alot of time and did not reach the correct answer.
about that question my answer was the same 10-15 years and hope to be right.
my wild guess was about 16 questions and i put them all a "D" and about 20 qualitative questions i was not completely sure about the answer but i narrowing down as u did. hope to pass this time because it is the third time :)
 
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