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Yes, the multifactor question. Is it a case of simply plugging in the numbers into the respective formulas? I got 6.5% and 6.65% respectively or something very similar to that (Answer A). Or is there something else that needs be done?

Anyone remember the nature of the question on the futures/OTC and the correct answer? Also for the operational risk allocation, is this the one where there were two answers talking about the basic indicator approach? For the currency hedge using options, I believe I put long put as well (it...

This is correct. Convexity is always positive due to the square, duration has the opposite effect. On that note, there was a question to calculate portfolio duration and convexity. I got the duration easily...but the convexity alluded me. What did I miss out on? I believe there were two...

This is the one on V1 and V2 correct? I believe I answered Gaussian copula but it was a total guess. Looking into the reference book, it seems to be correct?

Hey Dotun, my queries on the questions highlighted by your good self as follows: 4) How did you answer this question? Is it as simple as S*(e^rt) + Cost + Cost*(e^-rt/12)? I believe the storage cost was $6. My answer was 1242 or something. Basically around $12 above the vanilla futures price...

Did the question give the odds of it being a AA, BB or C bond? I don't recall it. If it did give the odds, then I'm definitely wrong and wonder why I didn't go down that route. Unless I did and am not remembering it. If the odds were given (say AA=50%, BB=30%, CC=20%)...is such the formula...

I put bootstrapping too but I checked the book after the exam and it was antithetic variate if I am not mistaken. Sadly this was a stab in the dark for me.

There was a question that seemed to be as follows (the numbers are wrong but the idea is the same, I think): There are three grades of bonds. AA, BB and C. P(default) for each of them is 0.1, 0.25 and 0.4. If a bond defaults, what is the probability that it is a BB or C bond? The way I...

Are you mixing up two different questions? There was one question for Poisson. 2 errors in three months. Calculate probability of exactly three errors in nine months. Or something to that effect. Lambda is 6 in this case. Straightforward computation thereafter. There was another question for 3...

What's the difficulty of this paper compared to previous sittings? What would an estimated passing mark be like? Would 60++ be enough?

Do you remember the questioned for the futures and operational risk allocation? What were the answers? I'm hazy. For the put options, I need the exact question again to worksend out my answer.

For this question the variance of the pd is pd * [1-pd]. I got an answer that matched.

Yeah so can we please come to awork conclusion, which was ccorrect? This is sure tricky given I work in a mf!

Some more I remember: Question on operational risk. My answer was B, the one talking about basic indicator approach. Was that correct? Question on margin. My answer was 54000 variation margin. I know for a fact the aaccount goes to -22000 at the end of day one. Am I correct? Question on erm...

Absolutely certain? I put the same but the first option seemed correct as well when I check back on the notes.

There was a question on hedge and mutual funds. Anyone remember the exact question and the answers? Also one question on futures contracts. What was it again? What about the one for covariance and std dev. Was it using population or sample? Was the divisor 2 or 3? What about the hedge amount...

I also got two answers with sharpe ratio above 0.3. But it was the ones with 2nd and 4th highest IRs. But there were two sets of questions. Maybe one had different numbers.

I hope when the embargo is over David could share his thoughts on the overall difficulty of the paper based on the feedback he's received. He'll be the best judge on this matter.

Mr David Harper, can I ask for your help? I actually did speak with my proctors regarding an issue I had. I accidentally shaded the wrong digits of my GARP registration number. I asked for an eraser to correct it, they said no can do. I asked for a new answer sheet, they said no can do. The...

Just to clarify, previous exam takers meaning from previous exam years, or from earlier today?