Exam Feedback May 2017 Part 1 Exam Feedback

[uness_o7]

It looked like 2017 May FRM Part 1 questions (numericals) were designed to test candidates' TI BA skills more than core fundamentals. I mean all this time you prepare to master the concepts and memorize every single formula just to witness that you are rendered helpless under time pressure because they have dramatically scaled up the calculations steps per question. Is GARP running out of creative ways to make questions smarter without resorting to increasing calculation steps ? One already feels like a cave man having to use a calculator in the present era, on top of that one has to be agile and accurate enough to meet GARP's ever increasing button pushing requirement. (I mean seriously , was it really necessary to test 2-step binomial valuation two times ?) Multiple times I felt, 2/3 questions are merged into 1 question. Just knowing the process is not enough anymore, you gotta embrace the mindless button pushing ritual too : the latter being a significant attribute of present day's Financial Risk Manager . Don't give me that whatever it is, it's same for everyone. No. Skilled candidates are forced to do dirty guessing work along with the Unskilled ones, thanks to your brutal intentions behind the question design. What do you think, what kinda of risk managers would come out of this ? I just hope they do not continue this madness and restore the elegance and dignity of the FRM Exam by designing questions in a TI BA agnostic fashion which are original and really test a candidate's worth.

Couldn't agree more with your point! After reading some question you see how to solve it but have to skip it because it'd take too long to do the calculations. The American put valuation with 2 steps binomial tree for example, but I also remember questions about the unexpected loss of a portfolio of two bonds, EWMA, GARCH...

I think they've got to change their calculator policy at some point (allow calculators where you can type the whole formula and then execute, e.g. TI 89), or (even better) move to another format (administer test on PCs with no internet connection, but with Excel) to test the concept rather than the ability to use the error prone TI BA+...

Anyway, let's wait and see the results. Good luck everyone.
Thanks!

 

[freek]

@irenestaal I feel the same way. The GARP practice exam was not representative of the actual exam. Actually, I think it was misleading in the sense that it made one underestimate the topics being tested, the level of difficulty and complexity. But then I am sure I failed

 

[Coolkool]

Did anyone remember a question with two loans: 500M and 750M, and ask you the unexpected loss of this portfolio loan. Am pretty sure all my steps are correct and I only can get the answer around 113M, which does not match with all 4 answers. What's the trick there?

Also, a question provide a GARCH formula and asking you to calculate Sharpe ratio, how to solve it? Thx

 

[Shams]

Also, a question provide a GARCH formula and asking you to calculate Sharpe ratio, how to solve it? Thx

If i remember correctly it was mentioned to use long run avg volatility to calculate sharpe ratio, so i first solved for it from the given garch equation (omega = gamma*Volatility^2, alpha +beta + gamma=1) and then used it in sharpe ratio formula.

 

[Anmolp176]

Did anyone remember the answer when ES and VaR will be same and one question that was on liquidation prefrence theory?

 

[hpkhan010]

GARP did a good job covering the overall material however I felt all my practice exam scores were thrown out the window. Actual exam had lot more complicated questions with very long calculations. Multiple concepts were rolled into one question. I was only able to attempt 75 questions in four hours.

 

[Shams]

Did anyone remember the answer when ES and VaR will be same and one question that was on liquidation prefrence theory?

Since ES is the avg of left tail losses, ES and VaR would be same when all losses in the left tail are equal to VaR.

WRT liquidity preference, my guess was that the security with shortest maturity should be more liquid. Not sure if that is correct though.

 

[Anmolp176]

Since ES is the avg of left tail losses, ES and VaR would be same when all losses in the left tail are equal to VaR.

WRT liquidity preference, my guess was that the security with shortest maturity should be more liquid. Not sure if that is correct though.

For ES and VaR i answered when losses will be same but really not able to remember that there was any option that if losses will be same in the left tail.

And for liquidity i answered 2 year zero rate, not sure abt my answer.

 

[Elnur1]

2 step Binominal Tres I spend more than 20 minut .American put option there is early exericise a did all of variant but couldnt find .Who did this ?

 

[slacknoise]

Did anyone remember a question with two loans: 500M and 750M, and ask you the unexpected loss of this portfolio loan. Am pretty sure all my steps are correct and I only can get the answer around 113M, which does not match with all 4 answers. What's the trick there?

I had the same issue. Would be really curious about the solution.

 

[Coolkool]

2 step Binominal Tres I spend more than 20 minut .American put option there is early exericise a did all of variant but couldnt find .Who did this ?

Yes it is early exercise and I got the answer.

 

[Coolkool]

I had the same issue. Would be really curious about the solution.

And also same issue in the question of
cumulative default probability from transition matrix (current is B rated), I also can't get the right answer, did u?

 

[Shams]

And also same issue in the question of
cumulative default probability from transition matrix (current is B rated), I also can't get the right answer, did u?

I did get. Had to add up the probabilities for 3 possible path for default from B in 2yrs - BD, BCD and BBD.

 

[Coolkool]

I did get. Had to add up the probabilities for 3 possible path for default from B in 2yrs - BD, BCD and BBD.

I did the same. Maybe somewhere I plugged the numbers incorrectly.. thx

 

[kprd35]

HI,

the feedbacks so far do not quite reflect what I found out after the exam. I didn't do quite well - mainly due to lack of time. but I didn't practice enough as well- not a single mock exam - just went through the study notes and practice questions given at the end of each chapter there.

After the exam, I discussed with two people (in London) - both said it's quite easy for them - they found it much easier compare to what they practiced. Wonder if this is the case for anyone here? just wanted to find out actual level of difficulty of the exam.

I know there are few exceptional guys for them no exam would be tough enough.

 

[Iryna Trygub Kainz]

Hi guys, congratulations to all of you! I am just happy that the FRM part I is over.....but, just as most of you, I doubt if i passed. The questions were not as much tricky as too much time consuming calculation questions, which I actually knew how to solve but had no time to complete them because of the tough lengthy calculations and lack of time!! Because of too much stress i made a couple of stupid mistakes as i can recall right now)...and the only wish is that if our FRM exam Providers started to offer also much more complicated questions, those similar to the GARP exam!

 

[Rinz]

Did anyone remember a question with two loans: 500M and 750M, and ask you the unexpected loss of this portfolio loan. Am pretty sure all my steps are correct and I only can get the answer around 113M, which does not match with all 4 answers. What's the trick there?

Also, a question provide a GARCH formula and asking you to calculate Sharpe ratio, how to solve it? Thx

I got the same, 113, with 88.62 and 42 or 52 million for each of the respective positions unexpected loss. For the variance of probability of default I used (pd)(1-pd) which was .055*(1-.055)= .51975, and could not get an answer that was on the questions. I truly suspect there was an error, I have seen some in GARP practice exams before, I don't see what could've gone wrong. But as they say "it's not what you don't know that hurts you, it's what you know for sure that just ain't so"

Also for the GARCH question you just had to use the square root of the long run variance average parameter as the standard dev in the sharpe ratio equation I believe

 

[satyapriya2004]

I got the same, 113, with 88.62 and 42 or 52 million for each of the respective positions unexpected loss. For the variance of probability of default I used (pd)(1-pd) which was .055*(1-.055)= .51975, and could not get an answer that was on the questions. I truly suspect there was an error, I have seen some in GARP practice exams before, I don't see what could've gone wrong. But as they say "it's not what you don't know that hurts you, it's what you know for sure that just ain't so"

Also for the GARCH question you just had to use the square root of the long run variance average parameter as the standard dev in the sharpe ratio equation I believe

Same here. I also got those numbers. I did it twice assuming I had fed wrong numbers. Could not match the answers. I hope the question does not ask "the unexpected loss is closest to...". Really hurts when you do a big question twice and don't find the answer.

 

[wilah_sociology]

Same here. I also got those numbers. I did it twice assuming I had fed wrong numbers. Could not match the answers. I hope the question does not ask "the unexpected loss is closest to...". Really hurts when you do a big question twice and don't find the answer.

Thought I was the only one who computed it twice and not get the answer. I got somewhere around 113 as well. From memory, i think the choices were below the amount of 113 and I decided to go for the highest among the 4 choices.

 

[shefalimr11]

The paper i think was definitely more difficult than the practise exam!