Naresh Nayak
New Member
I believe barbell came around 8X.xx. I can be wrong here
Exam Feedback November 2019 Part 1 Exam Feedback
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Naresh Nayak
New Member
I believe answer for Barbell was around 80 I don’t remember the exact answer I can be wrong here.
Could not get to the answer for the UL either and seemed to be using the correct formula having checked back.
Glad it wasn't just me
as I say, I was convinced there was an error in the question and eventually pulled myself away from it haha ... the only thing that threw me was that the question provided PD standard deviation. I tried calculating PD variance (PD * (1-PD)) and using that value, as well as squaring the standard deviation provided. Neither methods provided one of the options, so I eventually gave up and guessed the closest one.I was able to recall about 65 questions and concepts from the exam. I also referenced the May 2019 feedback forum to see similar questions that appeared on both exams.
- Kidder Peabody/barings similarities
- CCP liquidity risk
- Code of conduct question
- GARCH
- Long run Variance
- find Sortino Ratio
- Bond arbitrage price given price and discount factor
- Role of Audit committee
- Penalty factor graph for SIC/AIC/S^2
- Currency Swap
- Find sample Mean
- Find standard deviation 2 portfolio
- Interest rate swap
- Find Bond price given zero rate and coupon rate.
- Net exposure Assets/liabilities balance sheet Bought/sold derivatives off balance sheet
- CCP party exposure
- CAPM assumptions
- Hedging using futures beta
- Bond portfolios hedging using futures given duration
- 2007-2008 financial crisis
- Find futures price given monthly storage cost & risk free rate
- Stress testing
- Gaussian copula
- Find call given ND1 and ND2
- Identify type of Counterparty risk
- What happens to bond/stock when firm rating is downgraded
- Find Forward exchange rate.
- Compute Expected loss
- Find Unexpected loss
- Mortgage prepayment factor
- Loan Monthly payment, reject or make Loan
- Find return using CAPM (Beta NOT given) correlation and SD of portfolio and market given
- select portfolio with best Information given minimum Sharpe ratio
- Find Variance of probability of default
- Find R^2
- EMWA
- Cheapest bond to deliver
- Clean price of bond
- More SWAPS( at least 4 total)
- Make portfolio Gamma neutral
- Best risk data aggregation and reporting
- T test statistic
- Hypothesis testing - Null and Alternative
- ES and VAR sub addictive
- Find ES 99%
- Value of future price, given RF, storage rate, convenience yield.
- Difference of PV between 2 payment 350k in 6 months & 1yr or 1 payment of 700k Continuous compounding in 1 yr
- 2-1 split – stock price and option amount
- Sovereign default rating and spread.
- VAR delta approach.
- Loss frequency and Loss severity… Poisson/log normal
- Find probability-using Poisson
- Compute Variation margin
- Best risk adjust metric for portfolio specific risk - sharpe, treynor etc
- Probability questions/Bayesian
- given d1 d2 nd1 nd2 Find Delta
- Strategy to implement. Calendar, Strangle, butterfly?
- Type of market order, sell at price(I believe it was $63) or higher
- Compute 10 day VAR at 99% given 1 day var at 95%
- Benefit of ERM
- APT factor
- Difference between OTC and Exchange
- USD Return on Loan made in foreign currency.
- Question about what will increase value of short call (can’t fully recall)
- Find convexity
- Find call-using binomial step
- Binomial/black Scholes assumptions
- Risk metric and historical simulation
- Volatility swap.
- Question about 2 firm UL when rating is changed
But the options were between 37and 42..do everyone get different questions,
Sixcarbs
Active Member
I think the MonteCarlo question was something like this.
A simulation has an average of 6 +/- 3. I think they just said the range was 3 to 9 after 5,000 simulations, and they wanted to know how many simulations to get the range down to 5 to 7.
I saw that as bringing the Std. Deviation down from 3 to 1, and I figured a square or square root was involved so I answered 45,000. 5,000*3^2.
I remember some questions, anyone know the answer:
- There is a question of Cheapest to Deliver but based on the formula: Min (Quoted bond Price - QFPxCF), there are 4 results including both negative an positive number. So I choose lowest negative number?
- Confident level increase => Economic Capital increase/Decrease?
- Common point for Kidder Peabody and Barings: Fake large profit/Need back office to monitor error account?
- Investor ask broker to sell at 43$ or better....Day 2 price decline, order exprire worthless.: Limit Order/Discretionary Order?
- Portfolio Insurance: Long asset and worry about decline price => Invest a portion in risk-free asset. After that, price declines, what should do to insure large loss: Buy/Sell more asset and Buy/sell more risk-free asset?
- Calculate Long Run Std daily from equation of 500 day Garch (1,1): But there are non result related to sqrt of 500?
- 3 bonds: B-rated (W1, PD1), CCC-rated (W2, PD2), CC-rated bond (W3, PD3). If 1 bond default, what is the probability of this bond is CCC-rated or CC-rated?
- There is a question of Cheapest to Deliver but based on the formula: Min (Quoted bond Price - QFPxCF), there are 4 results including both negative an positive number. So I choose lowest negative number?
- Confident level increase => Economic Capital increase/Decrease?
- Common point for Kidder Peabody and Barings: Fake large profit/Need back office to monitor error account?
- Investor ask broker to sell at 43$ or better....Day 2 price decline, order exprire worthless.: Limit Order/Discretionary Order?
- Portfolio Insurance: Long asset and worry about decline price => Invest a portion in risk-free asset. After that, price declines, what should do to insure large loss: Buy/Sell more asset and Buy/sell more risk-free asset?
- Calculate Long Run Std daily from equation of 500 day Garch (1,1): But there are non result related to sqrt of 500?
- 3 bonds: B-rated (W1, PD1), CCC-rated (W2, PD2), CC-rated bond (W3, PD3). If 1 bond default, what is the probability of this bond is CCC-rated or CC-rated?
Naresh Nayak
New Member
Oh yeah you are right so I think it was 39.xx. Like I mentioned earlier I can be wrong here
Maggie3344
New Member
I remember there were four options and the first option is 36 which is definitely not right because the convexity of barbell must be greater than 6^2.
Naresh Nayak
New Member
n(d1) was given as 0.68xxx....something about short position was asked!! does anyone remember this question? ( I don’t remember the full question)
Sixcarbs
Active Member
I think they were looking for the delta of the put, which would have been .32.
Delta of short call, so it was -0.68
Naresh Nayak
New Member
There was a question where broker places order for investor. And order doesn’t go through
options were discretionary order (which I think is right), other options were fill or fail something like this. Am I right?
options were discretionary order (which I think is right), other options were fill or fail something like this. Am I right?
Maggie3344
New Member
was that the question that asked for the delta of put while N(d1) is given?
There was also a question of selecting best performing company based on IR and SR and what will increase the price of put option?
Naresh Nayak
New Member
Reply you mean which had a limit on minimum SR requirement and highest IR?
Sixcarbs
Active Member
I think it was delta of the put, which would be -.32, not .32 as I said above.
Sixcarbs
Active Member
Stock closes at 65.xx once day. Customer places an order after the close to sell at 65. Stock opens at 63 and never trades higher. Closes at 5x.xx. What type of order?
I remember the answer being a limit order.
Naresh Nayak
New Member
But customer doesn’t place the order right? Broker places it for the customer. And limit sell order is placed above the current market price which was not true in this case.
Sixcarbs
Active Member
Customer gives his order to the broker. You can place a limit order at any price, above or below the market. If your order to sell is below the market and the market opens higher, you get the higher price.
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