Think that was bayes.. P(Bond C and CC | default occurs)...i remember getting 40%.
Exam Feedback November 2019 Part 1 Exam Feedback
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1. One question was on the covariance stationary time series. I marked the answer which said that variance remains constant.
2. Monte Carlo simulation: I guess the answer was 45000.
3. Confidence Level<-> Economic Capital...? Does anyone remember this?
4. t-test..? I marked t-test>critical value..hence reject..I don't know if this is correct as I had to guess this one with a few seconds remaining.
5. Bond rating downgrade...Non-investment grade/investment grade and stock market relation...Anyone?
6. Variation Margin one ...the answer was 0, I think.
7. Risk Data aggregation/reporting...Finance division something?
8. One question was on crack-spread..
9. CAPM assumptions: Lending and borrowing at the same rate; investors' expectations same.....??
@Fisuca, I remember marking 40% too...
2. Monte Carlo simulation: I guess the answer was 45000.
3. Confidence Level<-> Economic Capital...? Does anyone remember this?
4. t-test..? I marked t-test>critical value..hence reject..I don't know if this is correct as I had to guess this one with a few seconds remaining.
5. Bond rating downgrade...Non-investment grade/investment grade and stock market relation...Anyone?
6. Variation Margin one ...the answer was 0, I think.
7. Risk Data aggregation/reporting...Finance division something?
8. One question was on crack-spread..
9. CAPM assumptions: Lending and borrowing at the same rate; investors' expectations same.....??
@Fisuca, I remember marking 40% too...
P Bhattacharya
New Member
W
Was ther any 61% option?i think I have marked that
I concur. The questions were either very indirect or multiple layered (like 2 in 1) such that time was hard to beat especially in the last half.
Sana22sept
New Member
I personally found the exam to be having more quantitative questions than qualitative, maybe because I spent more time in solving the multi step questions rather than thinking about the theory queries.
I had the red booklet and there was an option strategy question in there which specifically mentioned that the investor wants to have a positive payoff if the underlying price is within a specific range. I might be wrong but thatswhy I marked the option to be butterfly. Is there anybody else who marked butterfly ?
Also does anybody remember a question on Network Risk? I left the topic from my revision time and couldn't really make an educated guess to that. I selected the option on CVAs not sure if it is right.
For the SIC/MSE question I marked SIC is asymptotically efficient. This statement is written in Schweser notes, I thought MSE is consistent as the formula is SSR/n where n is in the denominator. so n inc ==> MSE dec.
I had the red booklet and there was an option strategy question in there which specifically mentioned that the investor wants to have a positive payoff if the underlying price is within a specific range. I might be wrong but thatswhy I marked the option to be butterfly. Is there anybody else who marked butterfly ?
Also does anybody remember a question on Network Risk? I left the topic from my revision time and couldn't really make an educated guess to that. I selected the option on CVAs not sure if it is right.
For the SIC/MSE question I marked SIC is asymptotically efficient. This statement is written in Schweser notes, I thought MSE is consistent as the formula is SSR/n where n is in the denominator. so n inc ==> MSE dec.
I agree. I also had red booklet. in first 50-60 questions I got significant no of C,D answers. Even for last 30-40 questions, I got significant no of C, if I remember correctly. overall answer A was very less. How about other members?? just to understand my answers didn't go in the wrong directions
qasimshaukat
New Member
I felt like there were atleast 10 questions that were low hanging fruits.. for instance there was a question where we needed to find SD from 2 data sets. Thankfully I remembered how to use the data function on the calculator
For me the covariance was asked instead of SD. I know well how to use the Data/Stat function of the calculator but I don't understand why I coud'nt get one of the 4 choices! I know that Cov = Correl * SD1 * SD2. So I really have a doubt if there was not an error into the question.
Maggie3344
New Member
Agree.
JamesVU2000
Member
does anyone know why probabilites in the binomial were 5% and 10% or something close? I always thought it was p, 1-p. wonder if thats why i couldnt get the answer
Why was variation margin 0?
I do not think these are probabilities but just the Up and Down factor to calculate the probabilities.
Maggie3344
New Member
I recall the up and down factors were given which was something close to 0.8 and 1.2 and we need to calculate the risk neutral probability of down
JamesVU2000
Member
hmm. this doesnt sound like the same question.
P Bhattacharya
New Member
What can be the expected cutoff score?
i think i answered 45000
JamesVU2000
Member
does anyone remember what the last questions were in the blue book about sortino and sharp? i thought they wanted to know how they were related and i had no idea
The exam need more time,
It is clear that we do not have time to solve some questions.
I am really disappointed, because for lack of time, I have to make a choice to answer questions that take less time, even here I know how to solve others.
exple: to compute the convexity of barbell portfolio ,we need to find a weight of a pf
and multiply each weight to its convexity.
I am disappointed
It is clear that we do not have time to solve some questions.
I am really disappointed, because for lack of time, I have to make a choice to answer questions that take less time, even here I know how to solve others.
exple: to compute the convexity of barbell portfolio ,we need to find a weight of a pf
and multiply each weight to its convexity.
I am disappointed
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