Exam Feedback November 2017 Part 1 Exam Feedback

[Mace]

I found the difficulty in line with the GARP mock exam difficulty. Struggled with a few of the questions, but expect it to be enough for a pass. Level 2 will be more challenging, especially with the reduced overlap with the CFA program.

 

[ramanis]

Exam I felt was a missed opportunity for myself , guessed around 10 and for some bizarre reason the binomial tree questions no 2 for the life of me could not solve it... not sure if there was something special about it ?

However expect around 55 to 60 ....not sure if it will be enough.

Also what was the methodology for the Unexpected loss question with correlation 0.45 .... how did people get the answer for this 72 or 80 or whatever it was.

BT overall was the right resource and practice questions were too good.

 

[ramanis]

Exam I felt was a missed opportunity for myself , guessed around 10 and for some bizarre reason the binomial tree questions no 2 for the life of me could not solve it... not sure if there was something special about it ?

However expect around 55 to 60 ....not sure if it will be enough.

Also what was the methodology for the Unexpected loss question with correlation 0.45 .... how did people get the answer for this 72 or 80 or whatever it was.

BT overall was the right resource and practice questions were too good.

 

[Nicole Seaman]

Hi Omar,

I have given this exam for the first time and I understand that we get either a pass or a fail as result and nothing else. However, you mention that you got 3232 in May. Just wondering if we get some sort of marks also in addition to the final result. Just curious. Thanks

Hello @dubeyamitgmailcom

GARP will provide a pass/fail, but they also provide your quartiles for each topic. There is a good discussion on the quartiles here in the forum: https://forum.bionicturtle.com/threads/quartiles-and-weights-exam-results.9883/#post-45156.

Nicole

 

[sohinichowdhury]

One question on upper bound.. can't rem if it's call or put

It was the upper bound for a European Put. Answer = Kexp(-rt). I think came out to be 64 something. K was 68.

 

[stina0105]

how can you get more than 96 even if you give 100% weight age to 96 UL? i got answer 68.......did u take .5^2....coz 137/2~ 68...if i remember correctly they were of equal weight-age...i am not sure if my answer is correct though

I also went for 68 (dividing 137 by 2). But I don’t fully understand why? We have never included weights before in any of the practice questions (e.g. P1.T4.418) although they were either identical or equally weighted....

 

[MisterDiaz]

Took it in Washington, DC. Missed the one where Lease Rate = Convenience Yield :/ Didn't have enough time to finish. I studied BT and the GARP books like a religion, but that exam was tough. A lot of "What is the risk in this situation ?" or "How should we hedge in the situation where...XYZ?" where the answers were all very similar. What was up with all the MBS questions?

 

[pint0]

I also went for 68 (dividing 137 by 2). But I don’t fully understand why? We have never included weights before in any of the practice questions (e.g. P1.T4.418) although they were either identical or equally weighted....

I rely on this:

I dont see why it has to be devided. So i took the "closest" value to the ULp.. But not sure. I was really confused and calculated it multiple times.

 

[prsdmoh]

Exam I felt was a missed opportunity for myself , guessed around 10 and for some bizarre reason the binomial tree questions no 2 for the life of me could not solve it... not sure if there was something special about it ?

However expect around 55 to 60 ....not sure if it will be enough.

Also what was the methodology for the Unexpected loss question with correlation 0.45 .... how did people get the answer for this 72 or 80 or whatever it was.

BT overall was the right resource and practice questions were too good.

ULp =[ (ULi)^2 + (ULj)^2 + 2×ULi×ULj×Pij]^0.5

Ans. 137.. but there were no option 137?? you will get 72 if u add 96+64 and multiply with 0.45.. that is what i got sadly..

 

[[email protected]]

I rely on this:

I dont see why it has to be devided. So i took the "closest" value to the ULp.. But not sure. I was really confused and calculated it multiple times.

I also tried a couple of formulas similar to this but could not arrive at any answer matching the options. The data was : UL1 = 64, UL = 96, rho =.45, and given that the exposure was equal. So using this formula ans was coming as 137 and I remember all choices were below 100.

Theres one formula is core readings

Sqrt(w1*w2*rho* ul1*ul2)
This i believe to be correct. Not sure though.

 

[prsdmoh]

its very difficult to say how many right..in first attempt i was able to do 50-55 and expecting at-least 40 correct among them...then there are lot of 50-50's...option elimination...guess work ...and some 10 questions with completely random 25% chance....a good day favoring my luck I might even cross 70...bad day and i will struggle to get 55

I think the forum has covered nearly 60 questions/topics.. I have made 6 mistakes so far. There are still 30-40 questions lurking in the dark for which either answer is not discussed or the question is yet to be recalled..


Reg the exam:
I didn't feel constrained by time. I had practiced more than 2500 questions but hardly 1 percent were directly asked I guess.. I relied on BT (my friend's old material). Initially, I found BT to be hard..but later on when hard pressed for time I switched over to Schweser.. I realize now that I should have used BT more.. Schweser also does a good job but it's like a thin gruel and doesn't test you in as many ways as BT.

Hope it helps..all the best to everyone..

 

[ramanis]

Yes this is the mystery as applying the relevant formulae I got a number greater than any potential option so I have a feeling correlation was minus 0.45 rather than 0.45 not sure lol

Also the European call option pricing using binomial model q2 or 3 was there anything special about this as I couldn't get the answer.

 

[oldfed]

I think the forum has covered nearly 60 questions/topics.. I have made 6 mistakes so far. There are still 30-40 questions lurking in the dark for which either answer is not discussed or the question is yet to be recalled..


Reg the exam:
I didn't feel constrained by time. I had practiced more than 2500 questions but hardly 1 percent were directly asked I guess.. I relied on BT (my friend's old material). Initially, I found BT to be hard..but later on when hard pressed for time I switched over to Schweser.. I realize now that I should have used BT more.. Schweser also does a good job but it's like a thin gruel and doesn't test you in as many ways as BT.

Hope it helps..all the best to everyone..

Thanks prsdmoh

I am in line with your exam's feedback and preparation tips

1 However, I was constrained by time. I toughly completed the 100q. I think I failed to skip enough questions when I was able to see that more time will not be usefull. I think now that's it's a great skill for FRM exam to "quit" some questions after 30s-1minute.
2 I had the chance to benefit from several providers. My goal here is neither to rank its nor judging its. It's an opinion which may not be shared because we are all working differently:
- BT is the deepest in coverage (pdf lessons) and their questions are the most relevant IMO after taking the exam. The drawback was relative: it is time consuming. I didn't read and practice with scrutinity all lessons and questions but I had time to do more. The question is: Is it possible for an "average candidate" to pass FRM1 with less than 250h of studying?
- Schweser takes knowingly shortcuts and insists on the global picture to maximize the chance their subscribers have the minimum level necessary to pass. Webinar videos are goood, books too. Mocks did not give to me the good picture to what the real exam is. That was THE problem.
- Prespmarter is usefull when you want to customize a special question set with time constraint and ideas on what topics you want to test.
- Wiley was a big mystery for me for FRM (not for other "certifs"). I did not understand the method. It just did not fit my way to work I suppose. Skipped it quickly. I lost money - It was all my fault, it is not necessary to get many providers. Some students just use GARP books ;-)

For info, I found roughly 70 single questions when reading the forum. The remaining must be all those areas which were tested several times and quoted in the forum by their topic's name (test significance, delta-hedge, bond pricing and rates, stress tests, governance....).

All the best

 

[oldfed]

Quickly, there are the 70 questions I quoted on that forum so far. I put no precision for each question. However, I tried to respect the GARP order for the 4 big parts.

The 30 remaining? There were cleraly more questions in some areas (CAPM, multifactor models, Best practices, optimal level of risk, stats, hedging…)


Foundations


1. Failure of risk management

2. Financial disaster

3. Network risk

4. Role of CRO

5. Role of audit committee

6. ERM benefits

7. CAPM compute Beta

8. Sharpe ratio

9. 2-factors model to neutralize a portfolio

10. Change Beta from 1,35 to 1,8

11. GARP code of conduct with credit rating analysis


Quants


1. Rho given SSR and TSS

2. R² and adjusted R²

3. Poisson proba computation

4. Binomial: less than two exceedances

5. Binomial : 8 defaults

6. Which distribution beyond a threshold?

7. Standard deviation of a sample

8. Test of significance/ reject / fail to reject

9. F test

10. White noise

11. Penalty factor to improve MSE

12. EWMA estimate of correlation

13. GARCH estimation of volatility

14. MCS: Sample change

15. Antithetic variate Technic


Markets and Products


1. Moral hazard concerning banks

2. Longevity/mortality risks

3. Insurance premium

4. DBP/DCP effects on BS

5. Difference mutual/hedge

6. Basis risk

7. FRA

8. SWAP

9. Variation Margin requirement

10. Open interest and volume

11. Accrued interest computation

12. Upper bond of put option

13. Strategy to hedge Fx risk with put

14. Derivative strategy with strangle

15. Cost of carry /Convenience yield

16. Cost of carry / IRP

17. Balance sheet Fx hedge

18. CCP/margining

19. Mortgage payment after a certain month

20. Embedded options in respective bond/loans


Valuation and models


1. VAR 1d-95 to VAR 10d-99

2. VAR 120d

3. VAR vs ES: subadditivity

4. 1 step binomial

5. Volatility with down and up moves

6. Which greek has same effect on both put/call

7. Warrants

8. Number of stocks to delta hedge calls

9. Hedge with futures a 2.8 billion portfolio

10. Hedge with DV01

11. Annual effective rate of bond (8-8,33)

12. Spot/forward/Par curves positions

13. YtM with 0/coupon bonds

14. Convexity computation

15. Convexity and duration effect after curve’s shift

16. Portfolio duration

17. Country risk

18. Ratings: through the cycle vs at the point

19. Rating matrix: default over 2 years

20. Distribution for frequency/severity

21. EL

22. EC/UL single asset

23. UL portfolio of 2 assets

24. Stress testing

Oldfed

 

[Nicole Seaman]

Thanks prsdmoh

I am in line with your exam's feedback and preparation tips

1 However, I was constrained by time. I toughly completed the 100q. I think I failed to skip enough questions when I was able to see that more time will not be usefull. I think now that's it's a great skill for FRM exam to "quit" some questions after 30s-1minute.
2 I had the chance to benefit from several providers. My goal here is neither to rank its nor judging its. It's an opinion which may not be shared because we are all working differently:
- BT is the deepest in coverage (pdf lessons) and their questions are the most relevant IMO after taking the exam. The drawback was relative: it is time consuming. I didn't read and practice with scrutinity all lessons and questions but I had time to do more. The question is: Is it possible for an "average candidate" to pass FRM1 with less than 250h of studying?
- Schweser takes knowingly shortcuts and insists on the global picture to maximize the chance their subscribers have the minimum level necessary to pass. Webinar videos are goood, books too. Mocks did not give to me the good picture to what the real exam is. That was THE problem.
- Prespmarter is usefull when you want to customize a special question set with time constraint and ideas on what topics you want to test.
- Wiley was a big mystery for me for FRM (not for other "certifs"). I did not understand the method. It just did not fit my way to work I suppose. Skipped it quickly. I lost money - It was all my fault, it is not necessary to get many providers. Some students just use GARP books ;-)

For info, I found roughly 70 single questions when reading the forum. The remaining must be all those areas which were tested several times and quoted in the forum by their topic's name (test significance, delta-hedge, bond pricing and rates, stress tests, governance....).

All the best

Hello @oldfed

Thank you for your informative review on the study materials! Regarding your question about an average candidate being able to pass the exam with less than 250 hours of studying, this is difficult to answer because everyone studies differently. We have had members purchase our materials with little to no knowledge of financial risk, and they passed the exam with the average amount of study hours. From feedback we've seen in the forum over the years, it is definitely possible. We not only make sure that our materials are adequate enough to pass the exam, but also make sure that our members will be able to carry their knowledge into the real world. This is the reason that Bionic Turtle strives to create in-depth materials, and the reason that David spends hours and hours in the forum providing support to individual questions.

Also, I have to comment on your preparation with Prepsmarter because I feel that this is very important for any candidates who are looking for preparation materials. We cannot, in any way, recommend the purchase of the Prepsmarter materials. It has recently come to light that Prepsmarter has stolen hundreds, if not thousands, of Bionic Turtle's practice questions. We are also aware that they have stolen the Schweser practice questions, and we have been in communication with Kaplan because of this. Prepsmarter blatantly stole all of these practice questions, completely removed the company branding and claimed thousands of practice questions as their own. They have also misrepresented BT and other prep companies on their landing pages. GARP has already removed Prepsmarter from their preparation list on their website, and there are other procedures taking place due to their major criminal copyright theft. You will never, EVER see David or myself "slam" another prep provider, but we cannot allow any recommendation for Prepsmarter products on our forum without speaking the truth about their stolen products.

Thank you,

Nicole

 

[dubeyamitgmailcom]

Hello @dubeyamitgmailcom

GARP will provide a pass/fail, but they also provide your quartiles for each topic. There is a good discussion on the quartiles here in the forum: https://forum.bionicturtle.com/threads/quartiles-and-weights-exam-results.9883/#post-45156.

Nicole

Thanks, its clear now

 

[oldfed]

Hello @oldfed

Thank you for your informative review on the study materials! Regarding your question about an average candidate being able to pass the exam with less than 250 hours of studying, this is difficult to answer because everyone studies differently. We have had members purchase our materials with little to no knowledge of financial risk, and they passed the exam with the average amount of study hours. From feedback we've seen in the forum over the years, it is definitely possible. We not only make sure that our materials are adequate enough to pass the exam, but also make sure that our members will be able to carry their knowledge into the real world. This is the reason that Bionic Turtle strives to create in-depth materials, and the reason that David spends hours and hours in the forum providing support to individual questions.

Also, I have to comment on your preparation with Prepsmarter because I feel that this is very important for any candidates who are looking for preparation materials. We cannot, in any way, recommend the purchase of the Prepsmarter materials. It has recently come to light that Prepsmarter has stolen hundreds, if not thousands, of Bionic Turtle's practice questions. We are also aware that they have stolen the Schweser practice questions, and we have been in communication with Kaplan because of this. Prepsmarter blatantly stole all of these practice questions, completely removed the company branding and claimed thousands of practice questions as their own. They have also misrepresented BT and other prep companies on their landing pages. GARP has already removed Prepsmarter from their preparation list on their website, and there are other procedures taking place due to their major criminal copyright theft. You will never, EVER see David or myself "slam" another prep provider, but we cannot allow any recommendation for Prepsmarter products on our forum without speaking the truth about their stolen products.

Thank you,

Nicole

Thank you for all those precisions.

At least, me and some other candidates are now aware of the deceitfulness of that provider's practices.

Regards

 

[Nicole Seaman]

Thank you for all those precisions.

At least, me and some other candidates are now aware of the deceitfulness of that provider's practices.

Regards

@oldfed

You're welcome! We always want to watch out for candidates, even if they do not choose us as a prep provider! Honesty and integrity are a huge part of Bionic Turtle. We hope that all of you did well on the exam!

 

[David Harper CFA FRM]

@ankitagarwal and others in regard to the unexpected loss question. We have not seen the original questions, of course, but I just wanted to comment on the UL. If the assumptions are:

• UL1 = 64 (I assume this is value denominated; e.g., dollar; and not a percentage of some other value?)
• UL2 = 96 (similarly I assume that is value not %)
• rho = 0.45 (aka, default correlation)

Then the 2-asset portfolio unexpected loss is given by sqrt(64^2 + 96^2 + 2*0.450*64*96) = $137.26; see Ong, but if a doubt remains we can double-check by reconciling with the risk contributions, which must consistently sum to portfolio UL:

• Risk contribution #1 = 64*(64+96*0.45)/137.26 = 50.0
• Risk contribution #2 = 96*(96+64*0.45)/137.26 = 87.3
• Such that 50.0 + 87.3 = 137.3; and using a different value of X in the above denominators does not ensure summation to X, so this is a double-check; these are long-trusted formulas

Two thoughts:

1. I am confused by "exposures" if they were given as additional assumptions: if UL are values then they are implicitly already a function of exposures and would be unnecessary. Similarly with respect to weights, weights are implicit already, the correct formula does not require them
2. The formula 'Sqrt(w1*w2*rho* ul1*ul2)' looks familiar (I am on vacation and don't have handy references) as given by De Laurentis. However, I believe that formula is a mistake in the source text; we reported several mistakes in De Laurentis to the publisher.

Please understand we will not get to see the question, so I cannot really opine on the question, but we will copy this "issue" to GARP just in case they mistakenly used his formula (or, perhaps, there has just been a confusion on our end ....)

Thank you so much for all the great feedback so far. I am enjoying a break in Cabo San Lucas, I just completed my scuba PADI certification and am spending some relaxing time with family. I hope you all get to enjoy a break too!!! Thanks,

Append: I appreciate the solution by @gautamrastogi and others who show how 69 can be solved, and apparently this value matched an answer. But this formula does not make any sense to me (and has no reference of which I am aware). Just step back and consider intuitively: if the individual ULs are 64 and 96, the portfolio UL would require significant negative correlation (ie, offsetting) in order to fall below the 96.

 

[gautamrastogi]

Thank you David! I used this formula and as people have mentioned my answer didn't match too. Then I tweaked the formula to factor in weights of the respective ULs
( ((1/2)^2 * 64^2) + ((1/2)^2 96^2) + (2*1/2*1/2*0.450*64*96)) = 68.63. If I remember correctly, there was a 69 in one of the options. Marked it and moved on only to panic and miss out on some easier ones towards the end :|