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Exam Feedback November 2016 Part 1 Exam Feedback

Coolkool

New Member
How to solve the unexpected loss on the two loans? I remembered the equation, but still couldn't solve it... Is a tough exam
 

Angelinelyt

New Member
Tough exam... One def has to read fast press the calculator fast and write fast. Can I check some of my concepts though. My fundamentals are not very strong but would like to keep learning whether or not I pass the exams
1) something about the put options and they give Greek letters to ask you which will decrease the bond price I think?
2) about MBS and convexity
4) covariance time series. Is it dependent on time displacement?
5) history of corporate bond ratings. I assume it is not likely to get investment grade rating during first year in which it defaults
6) volume and open interest. I think it was 150 and 100?
 

arijitsantra

New Member
Anyone remember the answer to the American call option (CAD/USD) question using binomial tree?
What would be the answer to the question regarding bullet and barbell portfolio?
 
Anyone remember the answer to the American call option (CAD/USD) question using binomial tree?
What would be the answer to the question regarding bullet and barbell portfolio?
I didn't think at all to use the binomial tree as I think it mentioned it was a 2-step method?

I spent ages on this question and saw 1 of the answers closely matched mine, however it was in USD which threw me off because I used CAD rates for the workings because it gave us CAD Strike price, CAD interest rate.

When I converted CAD to USD, none of the answers were matching mine :( so I just went with the answer in CAD form. I think it was answer B, maybe 9 or 19 ? cant remember
 

stephenjohn

Member
Apologies but Shout out to all the guys who wrote at Wembley London. One of the worst organized exams I've ever seen. test started 34 minutes late. made to stand outside in freezing cold, ill equipped proctors who collected our answer sheets so irresponsibly as to make us cringe. All the best for the results.
Regarding the Wembley exam, they did not even have a clock so it was very difficult to manage time during the exam, (atleast in the Atrium).

At one point they said we had 2 hours late and the a few minutes later told us we actually had 2.5.

Does anyone know why they don't allow people to wear normal watches into the exam hall? I understand why smart watches are not allowed, but I can't see the logic in banning a regular vanilla watch that do nothing except tell the time. Do they think all Omegas have been modified by Q branch? Why can't they project a clock onto the wall like CFAI does?

For the most part, I thought the exam was ok. There were a few curveballs that I had to guess, but not knowing how much time we actually had contributed to it out of fear it would be time badly spent.
 
regarding the bullet barbell portfolio the answer is convexity of barbell is greater. does anyone remember the answer to credit risk of credit card ? dont remember the exact question
 
To maintain delta hedge = no of calls( delta new-delta old)
= 100 x (.....)
I think the answer should be 3002 or 3200 or something like that. forgot the options
Yes, i think the answer was 3200.

I remember doing similar question on BT question sheet. I kept going on this question as I was determined to get it correct as it was just a simple simultaneous equation.

I was quite worried when the gamma vega values were quite high though but the numbers were nice so I am quite confident the answer was 3200.
 

borndreamz

New Member
Tough exam... One def has to read fast press the calculator fast and write fast. Can I check some of my concepts though. My fundamentals are not very strong but would like to keep learning whether or not I pass the exams
1) something about the put options and they give Greek letters to ask you which will decrease the bond price I think?
2) about MBS and convexity
4) covariance time series. Is it dependent on time displacement?
5) history of corporate bond ratings. I assume it is not likely to get investment grade rating during first year in which it defaults
6) volume and open interest. I think it was 150 and 100?
For 6...I also marked volume = 150..open interest = 100. But at hindsight I feel it's gonna be 150 and 50. Since he took up a new contract of 100 and 50 contracts from a person who had long previously but now reducing his position. That means he is closing down his position which will reduce the Open interest by 50 but increase the volune by 50 at the same time. What do u feel?
 

borndreamz

New Member
Guys,
There was a question..For which the mean came to be 139. Any of u remember what was the Standard deviation? 0.6 or 0.07? In spurt of the moment I calculated the Variance and forgot that we need to square root it in order to find the standard deviation. I missed out a few sitters apart from obviously leaving out the difficult ones.
 
Hi, I
Guys,
There was a question..For which the mean came to be 139. Any of u remember what was the Standard deviation? 0.6 or 0.07? In spurt of the moment I calculated the Variance and forgot that we need to square root it in order to find the standard deviation. I missed out a few sitters apart from obviously leaving out the difficult ones.

I also found this question slightly difficult when it should have been one of those easy sitters as you mentioned. I selected 0.07. I did square root the value but it didn't match either of the answers and so to save time I made logical guess. I had 50% of getting it correct.

My workings was closer to 0.07 so I went with that one. I think my workings were not rounded so that might have been why my answer was different to theirs.
 

borndreamz

New Member
People who wrote FRM part 1 in may and reappeared yesterday are telling that May paper was way more difficult. Doesn't it imply we would have a higher Minimum Passing Score(MPS) this time? what's the MPS in general for FRM? For CFA in know it's approximately 68-70%. Anyone knows anything for FRM?
 
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