may be there was a (k/T) axis, b/c invertible chart occurs at that case
Exam Feedback November 2018 Part 1 Exam Feedback
- Thread starter Nicole Seaman
- Start date
-
- Tags
- exam exam-feedback feedback
- Status
may be there was a (k/T) axis, b/c invertible chart occurs at that case
anyone remembered the question about the CPR/ SMM? had the right formula but my answer was none of the choices.
the other one I struggled with was the question regarding the poisson distribution, like how many losses in 6 months or something. ended up putting 27.1% but not sure.
the other one I struggled with was the question regarding the poisson distribution, like how many losses in 6 months or something. ended up putting 27.1% but not sure.
cmfrtblynmb209
New Member
I don't remember the answer to the CPR/SMM question, but it was a straightforward conversion with an exact match answer. There was some extraneous information given in the question, so if you're positive you had the formula correct, you may have mistakenly used incorrect figures or incorporated something you shouldn't have. I think there was a discrete payment amount given that didn't need to be accounted for, for example.
The SMM was 0.5%/ month and they asked to calculate the cpr I believe. I went with cpr=1-(1-smm)^(1/12) and could not find it. did I use the wrong formula then?
True, it was a straightforward calculation but sorry I don’t remember the full question. (1-(1-SMM)^12 was sufficient i.m.o. times the outstanding. Answer was one of the choices.
cmfrtblynmb209
New Member
That's unfortunately the incorrect formula. Your exponent should be 12, not (1/12), as BartW pointed out.
gprisby
Active Member
Used this and found the answer.
For the AIC question... It threw me for a quick loop with 4 lines. Then when I really looked the bottom line was horizontal / 0 slope. So I put whatever was second from top. Hope it was B!
gprisby
Active Member
Anyone remember what they put for the foundations question asking for line mgmt., portfolio mgmt., risk analytics, governance, etc.
I think I put Governance.
I think I put Governance.
gprisby
Active Member
I had to mark this and come back. I initially did the portfolio variance calc with the weights being the returns (12% & 8%). Came back to it and realized I should have used the weights being the .4/.6 for the $ value. Then I believe I got one of the answers with that result in the denominator. Averaged the returns by weight, less risk free rate. Hope I am remembering this correctly!
cmfrtblynmb209
New Member
That's correct - as long as you converted the portfolio variance to standard deviation for the Sharpe Ratio calculation. Wouldn't be surprised if they had a dummy answer that skipped that step.
gprisby
Active Member
I remember having a square root sign drawn, but now you are bringing some doubt into my mind, whether I did that or not lol.
Sorry I meant Volatility of course, as per the formula
cmfrtblynmb209
New Member
Definitely having a few of those doubts myself! I suppose most of us are.
Does someone knows what the answers are on these two questions? After the exam I was doubting and I was pretty sure during the exam?
- EL calculation with a given EA and an updated EA amount because increase in value of the loan. 45mln and 55 mln, I took 55 mln in my calculation which I think it was correct?
- PD variance, just the sigma pd calculation PD*(1-PD). Was it the variance or std deviation which you should calculate, I had 0,065 as the variance and my answer. But didn’t take the SQRT for the Std dev.
cmfrtblynmb209
New Member
I only vaguely recall the first question you're referencing. I thought it asked about the difference/increase in EL, in which case you'd clearly have had to calculate EL for both loan values and compare.
The second I recall more distinctly, and I believe it was the variance that you were asked to calculate. As you state, it's just P*(1-P) and using n=1 for the variance of a binomial variable.
The second I recall more distinctly, and I believe it was the variance that you were asked to calculate. As you state, it's just P*(1-P) and using n=1 for the variance of a binomial variable.
I believe that answer was tricky and should be d. Dividend increase the Combines Ratio
I had the same answer, just because of the fact that the other choices made no sense. The 45% and 105% was not possible imo and I forget the 4th option.
gprisby
Active Member
Crap -- I might have missed this if I am understanding you correct. I thought it was an EL calc based on a decrease from $55MM to $45MM. I calculated the EL based on 45MM and there was an answer for it, although might have been a trick. I remember kind of seeing that one and looking straight for inputs though (towards the end of the test, should have slowed down!!
). Actually... was it EL or UL? I remember hammering out a UL question.
gprisby
Active Member
This question was particularly about EL and both options were available between the answers, thus based on the 45mio and 55mio calculation. It was a straightforward calculation, EL=EA*PD*LR. I just analyzed this question more from an accounting point of view as an impairment. The loan increases and thus also “probably” the calculated expected loss. Was more a tricky question.
- Status
Similar threads
