Level 1: Post what you can remember here

Discussion in 'About FRM' started by browniandynamics, May 21, 2012.

  1. muathabdalla

    muathabdalla New Member

    - one about forward price no arbitrage I remember it was $109 based on

    (S exe r + storage - conv t) <= F <= ( S exe r + storage t )
    108.8<=F<=110. ( not sure about the exact figures)

    The answer we got after doing the calculation was a little bit above 108.x and the max was close to 110 therefore the no arbitrage price should be between both, the only answer given that meet this was the 109
  2. Aleksander Hansen

    Aleksander Hansen Well-Known Member

    They let you know what quartile you were in for each of the 4 topics
  3. Suzanne Evans

    Suzanne Evans Administrator

    Hi Chris,

    I believe they do let you know which quartile you scored in the topics that you tested (either 4 or 5, depending on which part you sat for).

    Thanks,
    Suzanne
  4. varun34by02

    varun34by02 Member

    Well .. it was like 109.13 for me .. so I Chose 109.. Also I hope question used the word 'CLOSEST'.. and since the options were all integer.. so it made sense to me to chose the closest..but i cant say with 100% surety on that ...
  5. Aleksander Hansen

    Aleksander Hansen Well-Known Member

    It probably did not use the word closest, but there is no reason for concern; GARP, it would seem, has some difficulties understanding significant digits and precision.
    They have also demonstrated in the past that their questions/answers are clearly not error free.
  6. vallerano

    vallerano New Member

    Thank you for all of you who answered on this.
    • Like Like x 2
  7. varun34by02

    varun34by02 Member

    There was a question about choosing correct - a) Duration is additive ... b) Stop-loss ensures loss is limited .. c) ? ... d ) ?

    Were the options same ??

    I was confused in these 2 options
  8. ila

    ila New Member

    i think questions were really good
    question on ewma to calculate sd based on previous return & previous daily volatility...even i was knowing it answer was not coming
    question on longrun varance of garch model which one has the highest long run variancee =w/1-a-b
    what was the answer of probability question about probability of picking subprime mortgage
    then question about unexpexted loss what was the answer
    question on present value of dividend these questions were really intriguinggg
    i had almost attempted 80 t0 85 questions but i dont know how many of them were correctttt
    various theory questionsss which u had ticked based on judgment at that timeee
  9. ila

    ila New Member

    i thinkk there were 60 theory question and 40 numericall
    some off my friends who are frm said even u score 50% of questions correct u are throughhh
    we should try to list all the theoryy questionsss so that we can check how many of them are correct
    1.
  10. ila

    ila New Member

    i thought in that question they are asking about the highest long run varianceee not about the weight of vl
    i dont remember it it was weight or highest vl
  11. varun34by02

    varun34by02 Member

  12. Aleksander Hansen

    Aleksander Hansen Well-Known Member

    Yes, they were asking about VL , not gamma. Don't remember for sure but think they were asking about volatility and not variance, so sqrt(VL)....but def not gamma.
  13. muathabdalla

    muathabdalla New Member

    Hi Alex,

    isn't it sqrt (w/1-a-b).
    Thanks
  14. varun34by02

    varun34by02 Member

    I beg to differ here... I remember with certainity that the question in my booklet asked the smallest weight of long-run variance among the 4 choices, so the answer was the 1 with max (alpha+beta).... gamma = (1-alpha-beta) :)
  15. ila

    ila New Member

    Certainly the question was on highest longrun variance not the smallest be it weight or longrun variance i dont remenber but what i remember it it was highest lon run variance nor weight of thatttt... god knows
  16. varun34by02

    varun34by02 Member

    @ila - Thats why I said "question in my booklet " .. asking long-run variance is a standard FRM question ...by looking at the question even i was tempted to find it quickly w/(1-a-b) and mark the answer.. but I paused and re-read TWICE :p ... so 'hopefully' i did not read something that was not even written there ;)

    A small Correction - As per the 1st post on this thread on PAGE 1 -- Plz see 3. GARCH model: gives four options and asks you to choose the one with the heaviest weight on long-term average
    So we had to find one with minimum alpha+beta
  17. ila

    ila New Member

    but also i read it two or three times before solvinggg may be about wieight i didnt read it in the question sooo as PER FRM paper is concerned questions were like much more calculative apart from the formulas uu remember like all the questions even about knowing the concept the calculation part was very strong and required good calculation so weight problem requires less calculation than about calculating long run variance .other members are also saying the sameee...
    any way these are the questions which can make u pass or failll hope it is longrun variance nor about weightttt. if other members have idea about that please respond
  18. varun34by02

    varun34by02 Member

    yes.. i have found 1 in the 1st post itself.. which was the 1 listing all questions he remembered ....

    and u hav found 1 who is definitely going to be the rank 1 in this group (aleksander) all the best :)
  19. Aleksander Hansen

    Aleksander Hansen Well-Known Member

    sqrt (w/1-a-b) = sqrt(VL)

    I'll bet anyone $100 it was the long term volatility and not the factor loading (gamma)
  20. varun34by02

    varun34by02 Member

    Ok.. Aleksander ...if that gets us to the real question then why anyone.... you have a bet with me man :)

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