Test Coverage of Topic 4?

[brian.field]

It seems to me that the important material from this topic is primarily associated with VaR, Option Pricing, and Fixed Income...which is really only 3 of the assigned readings.....i.e., Reading 21 for VaR = Allen, Reading 22 for Binomial and Black Scholes = Hull, and Reading 23 for Fixed Income = Tuckman. It just seems surprising to me that about 30% of the test's material will need to come from these 3 readings....approximately.

I had hoped to review all of this topic before Saturday but I want to get to the practice exams tomorrow....

Anyone have any thought on the pertinence of the other Book 4 readings? I suppose I will be sure to take a look at Ong's text since there are some unique topics there.....

I'd love to hear your feedback.

Thanks,

Brian

 

[CYLoh]

Hi,

Personally I am on the same page with Brian here. Anyone who cares to advise us?

Regards,
CY

 

[Alex_1]

Hi there,

I think I have worked through all Practice Exams and Mock Exams (at least I hope so) and additionally to what you have listed above, sometimes questions on Stress Testing, Credit Rating Matrix [Servigny], Expected Shortfall [Dowd] (I believe) and Ong came up, so I would not leave that out.

My personal guess is also, since apparently GARP loves to test the "coverage" of almost all topics, that one question re Country Risk (Wagner) will be in the exam. But that's just a guess, I have the feeling anyway that the new readings (i.e. readings added in comparison to the curriculum in 2013) can be tested --> APT, Risk appetite reading, Simulation, the Futures readings from T3 and Country Risk.

Once again a very subjective opinion from my side.

 

[David Harper CFA FRM]

I have almost an identical view as @Alex_1. Based merely on the historical record (which has some predictive power but limits too), I do think @brianhfield makes a good point: those three readings constitute a disproportionate majority. But you've got to include:

• Dowd mostly as overlapping Allen with respect to VaR, but adding expected shortfall (quantitatively) and its qualitative feature (lack of subadditive)
• De Servigny for the credit rating transition matrix (Alex's point is so correct: this reading is so old, I feel like almost the only thing that really matters here currently is the interpretation of the rating matrix. Maybe also through-the-cycle versus point-in-time. Maybe weakness of merton. A lot of the rest either obvious or outdated, IMHO)
• Ong for EL and UL; their basic dynamics remain testable
  
• Stress testing coverage has been shallow so far (just my opinion)

I hope that's helpful, good luck you excellent people Thanks for spending your prep time with us here!