Ank
Member
I think its about daily var for FI position which is 48% percent of total portfolio. They give var value of portfolio and equity position. I put a guess of 55k, did you get exact answer?
Nov 2013 FRM Level 1 feedback
- Thread starter Maiyaa
- Start date
Oh that one. Don't exactly remember the answer but I got an exact answer. Just calculate the sigma of the position then use the formula to,add sigmas and try to get the sigma of the other position in the portfolio, then do your normal var thing and that is your answer..... Very tedious work though and it was a question that I skipped when I saw it even though I could calculate it
Matthew Yeates
New Member
GARP answer to that question is the last in these q's:
http://www.garp.org/media/1150766/frmsamplequestions2011.pdf
http://www.garp.org/media/1150766/frmsamplequestions2011.pdf
Ank
Member
Ahhh I put C disappointed 
I do not agree. The question was proposing to SHORT crude oil futures. In a crack spread you want to be LONG the oil futures and short the refined products (that you sell) to protect against downward trend. The first choice made sense to me because it was proposing the short one of the refined product.
hi everybody
yes for me it was more coherent to short one of the refined products in that question
I also would like to know if the risk manager that implemented a strategy that was not the best practice violated the Code or not (either b or c I don't remember exactly).
Moreover, is a strike of the airway's company employees an operational risk?
There was then a question on country risk models, for which I answered that they affect corporations that are also not directly located in that country (I thought that answer was coherent with the contagion effects cited in the preparation material)
Thank you in advance
yes for me it was more coherent to short one of the refined products in that question
I also would like to know if the risk manager that implemented a strategy that was not the best practice violated the Code or not (either b or c I don't remember exactly).
Moreover, is a strike of the airway's company employees an operational risk?
There was then a question on country risk models, for which I answered that they affect corporations that are also not directly located in that country (I thought that answer was coherent with the contagion effects cited in the preparation material)
Thank you in advance
Hello, I said that it was a violation because he failed to be aware of last update of the regulations (I ignore the fact that it was not a best practice): dont know at all if I am correct or not
for your last question: sorry, dont remember at all this one.
brunners16
New Member
I a couple of the things I remember from the exam off the top of my head:
.
.
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bellows are some questions I remember,
One question is binomial distribution, calculate PD 0.15^2*0.85*3
calculate mean and variance
one question is poission
forward price of 90 ton of steel
1 question about one step binomial to calculate call option
1 question calculate standard deviation of portfolio including std -5% , 5%, 10%
1 question: regression with one independent variable is income
use t-test reject or accept null hypothesis
calculate interval confidence of slope b1 with 95% confidence interval
one question about investment asset does not use dividend in calculation
strike price:50, current price:80, decrease 1 $, estimate call delta, put delta
operational risk employees turn over
information ratio
calculate beta of portfolio and Kospi
3 or 4 question about hedging ratio
sharpe ratio vs treynor, ir, jensen use benchmark
1 question: cheapest to delivery
1 question calculating NPV, with CF0=0
Garch (1,1)
Brownian calculate in second move
2 question about ethics
LTCM did not calculate other institutions use LTCM's strategy in stress test
1 question is 4 curve for SML
1 question about modified dollar duration
1 question about effective duration
calculate bond price with duration and convexity
2 question about spot rate and forward rate
return historcical Var updating for 10 day later
make loan with 95% B+ in next year
Just i remember, I think i have 50 correct answer, 20% has probability of 50/50, remain 30 I randomly choose
I do not hope have a good result, but I'm praying
One question is binomial distribution, calculate PD 0.15^2*0.85*3
calculate mean and variance
one question is poission
forward price of 90 ton of steel
1 question about one step binomial to calculate call option
1 question calculate standard deviation of portfolio including std -5% , 5%, 10%
1 question: regression with one independent variable is income
use t-test reject or accept null hypothesis
calculate interval confidence of slope b1 with 95% confidence interval
one question about investment asset does not use dividend in calculation
strike price:50, current price:80, decrease 1 $, estimate call delta, put delta
operational risk employees turn over
information ratio
calculate beta of portfolio and Kospi
3 or 4 question about hedging ratio
sharpe ratio vs treynor, ir, jensen use benchmark
1 question: cheapest to delivery
1 question calculating NPV, with CF0=0
Garch (1,1)
Brownian calculate in second move
2 question about ethics
LTCM did not calculate other institutions use LTCM's strategy in stress test
1 question is 4 curve for SML
1 question about modified dollar duration
1 question about effective duration
calculate bond price with duration and convexity
2 question about spot rate and forward rate
return historcical Var updating for 10 day later
make loan with 95% B+ in next year
Just i remember, I think i have 50 correct answer, 20% has probability of 50/50, remain 30 I randomly choose
I do not hope have a good result, but I'm praying
brunners16
New Member
I am around the same- I confidently answered at least 50 questions. another 30 at around 50/50, 20 were random guesses. I feel thats going to be on the cusp of pass/fail. All depends on the distribution of results as we all know. Good luck to all.
monsieuruzairo3
Member
@lesnar
Yes you are right, it should be 15. Sorry I confused 15 with 5. The approach remains the same of exercising early. Delta-normal VaR is a linear approx so the graph must be linear with confidence level.
VaR=Z*(Sigma) which is a straight line
Payoff of FRA has to be discounted back since settlement is done at T=1 and not T=2 (Source: John C Hull)
Anyways I don't remember that question perfectly so don't worry about it.
Anyways I think it is prudent to not disclose exam questions and so I have edited this message. I am quite sure David can throw more light on this(to share questions on forum or not).
All the Best
Uzi
Yes you are right, it should be 15. Sorry I confused 15 with 5. The approach remains the same of exercising early. Delta-normal VaR is a linear approx so the graph must be linear with confidence level.
VaR=Z*(Sigma) which is a straight line
Payoff of FRA has to be discounted back since settlement is done at T=1 and not T=2 (Source: John C Hull)
Anyways I don't remember that question perfectly so don't worry about it.
Anyways I think it is prudent to not disclose exam questions and so I have edited this message. I am quite sure David can throw more light on this(to share questions on forum or not).
All the Best
Uzi
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hi uzi
For most of your questions I believe you did great, but I have some doubt actually:
for American put option value how could you find 5 USD as value: if S(0) was 85 and X was 100 and the actualized value from binomial tree was around 3, I think 15 is its value (we are at time zero)
Moreover, how can the Var chart be linear in the graph? I curved it as it is the left tail of a normal distribution
Finally, I did not discount the payoff of the FRA since in the prep material I had that the value at settlement is discounted, but the payoff was not discounted
I found out that the formula was notional*(fl-fix)*(T2-T1)
Kindly let me know if you think I was wrong
Best regards
For most of your questions I believe you did great, but I have some doubt actually:
for American put option value how could you find 5 USD as value: if S(0) was 85 and X was 100 and the actualized value from binomial tree was around 3, I think 15 is its value (we are at time zero)
Moreover, how can the Var chart be linear in the graph? I curved it as it is the left tail of a normal distribution
Finally, I did not discount the payoff of the FRA since in the prep material I had that the value at settlement is discounted, but the payoff was not discounted
I found out that the formula was notional*(fl-fix)*(T2-T1)
Kindly let me know if you think I was wrong
Best regards
monsieuruzairo3
Member
@a.lesnar : Please read my edited comment above
@David Harper, CFA, FRM, CIPM : Do you think it's prudent to share/discuss the current FRM exam questions on a well known forum like this? On another note, I would like to extend my heartfelt thanks to you for being so helpful in your support to my queries on this forum.
Best
Uzi
@David Harper, CFA, FRM, CIPM : Do you think it's prudent to share/discuss the current FRM exam questions on a well known forum like this? On another note, I would like to extend my heartfelt thanks to you for being so helpful in your support to my queries on this forum.
Best
Uzi
@ Uzi
hi
thank you for your reply
I checked the Code of Conduct and actually it seems we are not prevented from discussing exam questions (differently from the CFA where candidates cannot do that);
In any case, if it is possible to discuss, then I would kindly ask David whether kindly he can confirm the fact that the delta normal var graph is linear: actually I really believe that in case it is linear, it should not be a straight line but at least a sum of segments with different slope, I am not sure about that however
I also remember that there was a question on country risk models, where one of the given solutions, in my view the most coherent one, was to consider that risk class important also for those corporations that do not directly operate in that foreign countries (I thought it could have been related to the contagion effect, but I still did not find an explicit solution to that question on my notes)
Best regards
hi
thank you for your reply
I checked the Code of Conduct and actually it seems we are not prevented from discussing exam questions (differently from the CFA where candidates cannot do that);
In any case, if it is possible to discuss, then I would kindly ask David whether kindly he can confirm the fact that the delta normal var graph is linear: actually I really believe that in case it is linear, it should not be a straight line but at least a sum of segments with different slope, I am not sure about that however
I also remember that there was a question on country risk models, where one of the given solutions, in my view the most coherent one, was to consider that risk class important also for those corporations that do not directly operate in that foreign countries (I thought it could have been related to the contagion effect, but I still did not find an explicit solution to that question on my notes)
Best regards
The only thing know is that it was a refiner that gets it's profit from crack spread. The question was how qwould you hedge the risk...
but to be honest... the question wasn't too clear. The refined product wasn't known, and even the answers didn't really suffice. Crack spread normally entails 1 future crude and multiple futures refined.
In this case there was a refiner that profits of crack spread and he wanted to hedge his risk... imho you could do that with crude, rather with only 1 refined product. because crude would hedge a much larger amount of the risk than just one of the 3 products.
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hi everyone
without being insistent, does anyone here kindly remember whether:
one questin identified employees strikes as possible operational risk for an airline company
one question identified sharpe ratio as the only ratio that does not require any market index or benchmark value
one question on how to overcome a lac k of observations within a sample, identified a proper solution in generating additional data through montecarlo and adding those data back to the existing observations
thank you very much in advance
without being insistent, does anyone here kindly remember whether:
one questin identified employees strikes as possible operational risk for an airline company
one question identified sharpe ratio as the only ratio that does not require any market index or benchmark value
one question on how to overcome a lac k of observations within a sample, identified a proper solution in generating additional data through montecarlo and adding those data back to the existing observations
thank you very much in advance
seems correct
thought it was Treynor. The question was to asses performance without the index or benchmark portfolio, but not Beta.
"In other words, the Treynor ratio is a risk-adjusted measure of return based on systematic risk"
Sharpe doesn't take that into account.... but then again, you need the volatility and the correlation with the market index.... so i really wasn't sure how to interpret it... i did know that information ratio and jenses alpha was really wrong
no clue what you mean by that.
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@Pflik
thank you for your message
actually that question on ratios asked which one needs a market index or benchmark index to be computed, and I guessed sharpe since it requires a portfolio and not a market index (and portfolio standard deviation). Treynor in my view also uses beta of a portfolio but it needs a market index to compute beta so I did not select it
Last question I do not remember it very well..there was a case of few data available within a sample in the hypothesis of the problem and I guessed that generating additional data through Montecarlo and adding them back to the sample could make sense but I am not sure
Let me know
Thank you for your cooperation
thank you for your message
actually that question on ratios asked which one needs a market index or benchmark index to be computed, and I guessed sharpe since it requires a portfolio and not a market index (and portfolio standard deviation). Treynor in my view also uses beta of a portfolio but it needs a market index to compute beta so I did not select it
Last question I do not remember it very well..there was a case of few data available within a sample in the hypothesis of the problem and I guessed that generating additional data through Montecarlo and adding them back to the sample could make sense but I am not sure
Let me know
Thank you for your cooperation
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