testability of topics (new and tough) in L2 2011 ??

[the luncheon meat]

Hi David,

I have been looking through 2010 may and nov level 2 questions posted in the forum, and observed a comment made by you on new, difficult concepts been seasoned for 1 yr before testing..

Along this line, would you be able to guestimate which would be the topics belonging to the above category for the coming exam? Also, any other topics which you have a hunch that will appear or remain hidden in may paper?

thanks

 

[David Harper CFA FRM]

Hi afarty,

I can try and give you some thoughts on that, but if you don't mind: I'll try to reply at the end of my day, as there are several outstanding specific tactical queries (where i can be more useful, frankly). My comments, I think, asserted that, while GARP is very unpredictable with respect to the specifics of their exam questions, I do perceive that (thankfully) they do not unexpectedly innovate with highly "at the margin" questions. So, I am glad to offer my SUBJECTIVE forward-looking views, but the the usual caveats - David

 

[the luncheon meat]

thanks david, EOD is fine, as it would be midday for me and i'll prepare and analyse accordingly... have a good day ...

btw what's "at the margin" ? and it would be great to hear of ur opinion that L2 could be doing a may-qualitative and nov-quantative style format (since turning 2 levels a yr) as seen from 2010 papers, GRANTED that 1 yr does not make a statistically meaningful study.

 

[David Harper CFA FRM]

afarty,

I don't follow the last part? I would agreed based on short sample that L2 is more qualitative/less quantitative than L1, but since GARP has not stated that intention, I tend to view that as "inadvertent". With regard to a May versus November difference, GARP has made it clear they intend NO DIFFERENCE with respect to exam coverage; i.e., given what we know, there would be no domain-based difference in a candidate's prep approach. Thanks, David

 

[the luncheon meat]

Hi David,

morning, what i meant was based on 1 yr of both may and nov (i.e. 2011), not sure if it can produce any meaningful comparison as to may is more qualitative than nov. but you have highlighted there should be no diff ..

thanks

 

[David Harper CFA FRM]

afarty: right, no difference between May and November exam from an assignment standpoint. Although, it does occur to me: GARP gets actionable feedback early in the year (e.g., I myself give them a lot of feedback). In theory, they ought to be "learn" such that November exam might be better "quality" (it just now occurred to me) (as the AIMs churn, end of year f/back ought to be less actionable on average)...David

 

[David Harper CFA FRM]

Hi afarty:

I did this b/c i said i would but I don't think it should be taken seriously. (We are working on a more formal development plan for November exam). With a grain of salt, then here are the L2 topics that strike me as maybe "more essential" than others. But i don't think this quick exercise is productive frankly, thanks, David

Market
Hull: Exotic options
Tuckman 6
(not Tuckman 7: key rates is expendable)
Tuckman 9: basic binomial only
Tuckman 21: MBS
Jorion Ch 6 backtest
(not VaR mapping: expendable)
Dowd Ch 3
(not Ch 4)
Dowd Ch 5 (correlations)
Dowd Ch 7 (EVT)
Fabozzi Ch 1
Fabozzi Ch 31 OAS (not deep)

Credit
Ashcroft case (high testability)
Counterparty risk
Securitization, CDS, CDO

De Servigny: Merton for PD (testable!)
Hull: Credit derviatves
Stulz Ch 18 (credit derivatives)
Ong UL maybe

Operational
RAROC
LvAR
Model risk

Basel II/III: see practice questions.

Investment
Grinold Ch 14 (prob not Ch 17)
CAPM
Jorion Portfolio VaR (Chapter 7)
? Jorion VaR and I/M ?
Jeager Hedge fund strategies

Current Issues: too hard to predict, changes each year

 

[the luncheon meat]

thanks david for the quick summary .... appreciated