We hope that everyone did well on the FRM Part 1 exam on Saturday! We would love to hear any feedback that you have about the exam. How did it go? Did you encounter unexpected questions? Thank you in advance for any feedback you can provide!
can remember spread type and other inputs value & alternatives or their range?Only question I had never seen before was a crack spread. No idea, guessed A .41 I think.
Yes this was straight from the bookAnyone recalled the Combined Ratio question? was the answer something like loss of 10% before tax?
Thanks
These are the questions that I remember from the top of my head:
In general the exam seemed easier than some GARP mocks.
- Calculate long run variance in a GARCH(1,1) model
- 2 questions about Bayes Theorem
- Calculate unexpected loss (all factors given besides LR, had to calculate that from the recovery rate)
- Calculate the PD variance
- Couple of hedge ratio questions where you usually had to calculate beta first
- Choose the appropriate hedge instrument (correlation and maturity given)
- Employer uses model from previous employer for a valuation. How did he violate the GARP Code of Conduct
- Construct a gamma neutral portfolio
- Calculate variance with EWMA
- Crack spread: calculate the per gallon profit of the structure (input was given in barrels, output in gallons so you had to convert)
- Responsibilities of a CFO
- Some ERP questions where I don’t remember the details
- Responsibilities of the internal audit
- 1 step binomial tree of a European put
- Calculate the forward exchange rate with the interest rate parity
- One put-call parity question
- Operational Risk: choose the correct distributions for loss frequency and loss severity
- Calculate Sortino ratio
- Transform a 1-day 95% VaR to a 10-day 99% VaR
I was surprised that there weren't any Swap/FRA valuation questions.
I think it was a call optionwasnt the binomial model question ask about call option valuation?
There was also a question on MC simulation, options given were bootstrap, control variate, antithetic variate, not too sure but i chose Antithetic, not sure if the qs mentioned anything about complement set..