@mishrasa
I think that you do have a chance of passing with 50 - 60%!
There are a couple of people who only studied one week for the Part I Exam and then they passed, even with a quite good quartile ranking.
In any case, I wish you the best of luck and will keep my fingers crossed for all of us for January 5th!
For anyone interested, these are the questions I can remember:
I found the exam very long - not too hard quantitatively, but long. I had to guess quite a few questions that required calculations in the end even though I think I could have solved them with more time. I also remember a lot of CAPM, VaR, binominals, swaps, FX, and a lot of qualitative questions. I am glad it wasn't all math, it would have made it even harder for me to finish on time.
Dose anyone know when we can expect results?
Felt somewhat easy although that makes me nervous...
One tricky question about calculating VaR on a delta neutral portfolio using the delta normal method which was the only question I had to change my answer to, as it took a double take to realize that this meant that VaR is zero! Can anyone confirm that this is correct?
Zero was the "trap" answer I believe: the delta-gamma method is an approximation.
I know the question you are referring to, however I disagree that the answer was zero. Zero was the "trap" answer I believe: the delta-gamma method is an approximation. It is the same as a second-order Taylor approximation. Therefore, being delta-gamma neutral only means you are approximately neutral, thus there is no way VaR can be zero. The correct answer I believe was that VaR is greater than zero but less than x (whatever x was, I can't remember).
The question specified - 'using the delta normal method, what is the var', so they are looking for the approximated value which is zero.
It wouldn't be very valid for the answer to be anything else, as depending on the distribution any of the answers could be the true VaR. There are many ways that it could be >15k var, if for example it was a portfolio with a really long time to expiration and the first derivative of gamma is large.
Or it could trivially be a true var of zero if the delta neutral portfolio was cash
What is the solution to the key rates question? I couldn't figure out how to solve that one.
The question specified - 'using the delta normal method, what is the var', so they are looking for the approximated value which is zero.
It wouldn't be very valid for the answer to be anything else, as depending on the distribution any of the answers could be the true VaR. There are many ways that it could be >15k var, if for example it was a portfolio with a really long time to expiration and the first derivative of gamma is large.
Or it could trivially be a true var of zero if the delta neutral portfolio was cash
Are you referring to the question that asked for the percentages in the replicating portfolio based on two bonds, given their respective Key rate exposures to the 2 yr & 5 yr? I can't remember my exact answer, but it was one of the options that involved a very small percentage to one, and very large to the other (the 4 choices were really two choices, with L/S flip flopped for the hedging positions). I'm not even certain I was correct, due to the nuances of the question, but I was able to match one of the answers by solving a linear system in 2 unknowns.
I think there were other Key Rate questions that I skipped and didn't have time to revisit (beyond filling in a random bubble on the answer sheet).
You're right - I thought this too but didn't have time to overthink the "trap" answer of zero.
"See Market Risk Analysis, Value at Risk Models" by "Carol Alexander", page 273: https://books.google.com/books?id=e03cHzItv0AC&pg=PA273&dq="the+var+is+not+zero"&hl=en&sa=X&ved=0ahUKEwjBxqS-86fJAhVFChoKHQWnDdEQ6AEIHTAA#v=onepage&q="the var is not zero"&f=false
Guys see after discussing , everyone has different opinion about few questions and everyone is justifying through their own logic based on study material.....This is what these professional exams like cfa and Garp are famous for ....They construct questions in such a way that two of the choices can be right at the same time However as far as exam was concerned or whether it was easy or difficult ...We should not judge it on the basis of people present here on this forum....Most of the people over here were well prepared and if we decide to calculate MPS on ths basis of people present here, it will be biased towards on the higher side....i still believe MPS will be around 60 considering the impact of out verall population.............................What your thoughts about this