I also find exam hard. Main problem was time.Even I couldn't have a look to some questions. The worst, there wasn't any watch so you could control your time. I've practiced garp mock, schweser and bionic turtle. I'd say David's questions are much better reflection of real exam than schweser. Even there was question about coskewness (question was like this: which value indicates highest risk. I chose highest positive number). About other questions: roughly :
1. Manager implements different risk models and asked to create a model Indian market. Manger is not familiar with the Indian economy. When asked he told that he will create model but can't guarantee time. I think he violated CoC by creating model without knowledge about economy .
2.Two step binomial model with american put. Despite I know how to do it I couldn't attempt, again because of time.
3. First question was about VaR. you have mean return and s.d calculated over 3 year's period. What is annualized volatility over three years. I could't do it. I think it is not something like dividing by 3^0.5.
4. Long put with strike 40 and long call with strike 60. Also payoff table is given for different prices. Question ask which additional option we need to choose so that our payoff becomes the one shown on the table. I remember one line of table: if price is between 40 and 60 then payoff is zero.
5.On which of following Black-Schole can't be implemened: forward, E. call, A.Put, A. call. I chose A. put
6. Same expected return for two stock. Indexed to the same benchmark. Which one is true? I choose lower beta will have higher Treynor but I think it is wrong.
7. Option has positive convexity. which one is true? I choose if volatility is higher then return will be high.
8. Man sell futures and rolls it. and has losses. Which is the cause? Backwardation or Contango?
9. This question was about black approximation. You have inputs and you need to calculated X(1-e^-r(T-t)).
10. Which incorporates correlation: Factor push or Conditional Scenario.
11. Risk of Sinking fund provision to the investor .I choose reinvestment risk.
12. Which one impact interest rate parity: sovern government spread , inflation. I chose inflation.
13. There were lots of VaR question. Typical one was. you have 1 day 95% VaR. need to calculate 10 day 99% VaR.
14. I don't remember Expected Shortfall question. I also read option strategies a lot but there was only one and even I don't know whether I wrote it right. Investor expects volatility could decrease. which strategy to choose ? Straddle, Short butterly, Short calendar, short bull or bear .
15. One portfolio volatility question. I calculated it three times. I think GARP shouldn't test as with digits. I calculated 10.3 then sow there is also 10.2.
16. Jensen alpha. portfolio return. market return, beta are given over 5 years. you need to calculate jensen alpha. I calculated both way: taking average of 5 year and finding CAPM or taking just last year. In both way I couldn't find exact answer.
17. Leveraged beta. sucks.
18. Gamma hedge.
19. You have annual , semi-annual, quarterly, monthly compounding coupon rates . which one offers highest annualized return
20. Monte Carlo with one path
I'd like to know what other guys think.
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