- Thread starter Nicole Seaman
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hi

can anybody post the part 1 questions with answers (memory based)

can anybody post the part 1 questions with answers (memory based)

I moved your post to this exam feedback thread, which has 14 pages of discussion about the May P1 exam. There are many who have posted their recollection of the questions that were on the exam.

I did not participate exam, but please find bellow what I collected from previous comments, type of question and related comment I found in order to explain question more specific:

1. Calculating ES - "I too remember that loss values in were given in decreasing order, so I took mean of the 1 and 2nd values as they were above 99%-ile loss. The values were not returns I am sure about it."

2. Calculating Covariance

3. Understanding convertible and non callable bond - "I guess convertible bonds are beneficial for investors as it gives u an option on company shares."

4. Difference between ETF and Otc

5. Put call parity and hedging strategies

6. CAPM equation

7. Pricing a E call, 1 step binomial

8. Bsm model European put Nd1

9. Portfolio hedging strategy, reducing Beta

10. Garp code of conduct - "There was also a ethics question about confidentiality. I said you need consent before you can use confidential information"

11. Basel recommendation - "There was a question related to risk aggregation and reporting/ basel accord, was the answer something related to "different business lines of the company""

12. Risk governance - "There were so many risk governance questions on this exam so it was difficult to decipher exactly which question is which."

13. Aic/SIC/MSE and penalizing degrees of freedom

14. T statistic confidence interval

15. Computing the delta of a portfolio

16. Calculating IR and Sharpe Ratio

17. Interest rate swaps

18. Calculating currency swap

19. Foreign exchange exposure

20. Bayes theorem - "I recall there is one Bayes problem asking if a company is a star company given consecutively profit for 2 years. I have to square the probability (because it should be 2 years consecutive profit) to get the final answer."

21. Sortino ratio

22. Value of a future spot rate

23. Loss frequency / severity / Poisson / lognormal

24. Binomial probability, bond default

25. Calculating EL

26. Calculating UL

27. Calculating variance of probability

28. Calculating standard deviation & probability

29. VaR delta question

30. VaR number of excedence

31. Barings bank collateral

31. Wac and wam

32. M'schaft question

33. Portfolio insurance

34. Something about a ccp and its risk - wrong way risk or liquidity?

35. Erm question - can't remember specifics.

36.stress testing

37. risk data agregation

38. ERM - again , lot of ERM/Basel/Data Aggregation questions

39. calculate bond price

40.put delta

41.country risk - "2. Country risk - right answer must be countries which have more social security schemes have more chances of default."

42.seasonality

43.APT factor model

44.capm assumptions

45.hypothesysi testing

46.EWMA

47.GARCH - "GARCH(1,1), it was simply, omega/(1 - alpha - beta), very common test question"

48.long run average variance

49.Gaussian copula - "the marginal distribution of each variable is mapped to the standard normal distribution"

50.hedging futures beta

51.put call parity

52.arbitrage

53.Strategy: Bull/bear/covered/protective - "...determining if a strategy is a Bull or Bear spread (I suppose it was a Bear spread with a max of USD 15 and min of USD 2)"

54. credit rating

55.operational risk

56.Unexpected Loss

57.Unexpected Loss calculate LR

58. Trading & Banking book - "Regarding 3, I answered that the banking book is related to the loans, while the trading book is related to the assets and liabilities (I recall it was mentioned in the first reading "Banks" in FMP)."

59."Yes, we were given the expected annual return (mu) and volatility (sigma) of a stock, and asked to compute the mean return, with the assumption that the annual return is normally distributed.

I assumed the stock followed a lognormal process of BMS model, and used the formula :

mean return = mu - (1/2)*sigma^2"

60.duration based on hedging Dv01

61.insurance company question - "There was two answers , two on adverse selection and two on moral hazard. I choose adverse selection since the company dint have information on customers.the first solution was to charge everyone same premium which was wrong and i remember choosing the other option. Do anyone remember whats the solution to avoid this adverse selection issue?"

62.FRA

63.MBS

64.1st question was simple mean reversal value of b. b>1 must be right choice

65. cheapest to deliver

66."There is a question regarding the best derivative strategy to apply VaR approach. Any input?"

67."The Arithmetic Mean was given in the question with Standard deviation and it was asked to calculate Geometric Mean.......which is AM - SD^2/2........

Couldn’t recall the same in exam....:-("

Hope this will help you

(i) the

(ii) the practice questions,

(iii) the study notes;

(iv) the study planner; and/or

(v) some combination of the above?

Thanks! (cc @Nicole Seaman )

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