gprisby
Active Member
I was not aware of a defined threshold. I could be wrong though.
Exam Feedback November 2018 Part 1 Exam Feedback
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I was not aware of a defined threshold. I could be wrong though.
gprisby
Active Member
gprisby
Active Member
I know this concept, bad sadly think I missed it. I think I had in my head stack meant bigger (series of contracts) and strip was smaller (individual short term contracts). Stack is the month to month, and strip is the series
firstplace
New Member
Does anyone remember the answer to the margin question? I think the options were : Initial, Variation and Maintenance? The wording was tricky for me.
heartlander
New Member
i answered Variation
that's true
gprisby
Active Member
I put variation too. Believe it was framed with a market movement type wording. Initial is up front, maintenance is the trigger. At least how I understand it.
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firstplace
New Member
I put variation too. I was having nightmares about it last night.
Qn on metallgesellschaft not model risk?
Was that A?
gprisby
Active Member
Qn on metallgesellschaft not model risk?
Not model risk, would be liquidity (was that an answer... I can't recall). Hedge was designed OK if they were able to meet margin calls on the short term futures.
I think I put buy call to neutralise -ve gamma, and 0.03 for both stdev.
gprisby
Active Member
I think I put buy call to neutralise -ve gamma, and 0.03 for both stdev.
I put .03 as well. Squared differences, both sets had one nullified (i.e. 0). All were .04^2 (two were negative, but doesn't matter when squaring). Summed to .0032... divide by 3. Take square root, equals .032
Hope that's right at least!
heartlander
New Member
i utilized the calculator to get both sd 0.04, not sure if thats right though...
gprisby
Active Member
Each set had 3. When you took the average and found the differences both set differences were -.04, 0, .04. Squared diffs would be .0016 + .0016 + 0 = .0032 ------> .0032 / 3 = .001066666 --------------> sqrt(.001066666) = 0.0326598632
Could be mistaken, just what I remember.
heartlander
New Member
oh man, i must have misunderstood the question, thought it was asking for individual sd for the 2 respective funds =/
That would be the population standard deviation right? To get the sample standard deviation you would have to divide the .0032 by 2 = .0016 which would result in standard deviations of .04
cmfrtblynmb209
New Member
There is no defined threshold, and nobody but GARP knows the exact methodology. David has discussed this a number of times on different threads in the forum. It seems that in some way, GARP scales off of some view of the 5th quantile of test takers. So something about the top 5% of test takers (average score? exact score for 5th quantile?) serves as the base that they scale from. Since we know none of:
- the 5th quantile score for this test
- how GARP uses the 5th quantile score
- the scaling mechanism
- whether the scaling mechanism is fixed or floating for each exam
... anyone guessing at what the cutoff will be is doing just that. Guessing.
I'll repeat a thought from earlier in this thread though. If someone thinks this test was easier than normal and you're concerned about the scoring threshold being higher than usual, you may want to ask someone who struggles a bit with English what they thought of the test. It's worth remembering how many of our friends in other countries, China and India in particular, took this test and might have strongly preferred something more focused on calculations and less focused on nuance and tricky questions phrased in a second language.
Whatever the passing score is, I doubt that it will be much different than it has been historically. Many have previously theorized that it has been somewhere in the 60's.
kylian.mbappe
Member
Hello all,
Here are the 81 questions I may remember from the exam. Please tell me if you remember extra questions
1 -Question about Implied volatility, option strikes and maturities in the B&S model
2 -"Entreprise-wide" risk management model question
3 -EL calculation with updated (increased value of loan) from 45 mln to 55 mln
4 -Swap comparative advantages with a table (I put the company with no absolute advantage as the fixed rate payer, not sure I was right)
5/6 -2 Code of Conduct questions (one with an employee using a model from former company)
7 -A t-test hypothesis with null hypothesis being as an equality (correct answer was failing to reject the null)
8 -A 95% confidence interval question linked to an hypothesis (the hypothetized value was in the interval if I remember correctly)
9 -APT question with updated factors (formula was sth like Ri = E(Ri) + aX + bY)
10 -Crack spread question with crude and heating oil gallons/barrels
11 -White noises and independant noises
12 -The operating / combined ratio question (105% being an incorrect solution)
13 -A question about credit spread risk (I put "credit spread can be easily found via the default transition matrix. Not sure..)
14 -Stack hedge question (30 vs 360 contracts).
15 -Change in price of a bond after duration and convexity effects combined
16 -Economic capital calculation where EL, UL and multiplicator were given
17 -A question about the impact of increasing level of significance for VaR and EL
18 -Number of contract to buy/sell to make a duration-hedge with a Cheapest-to-deliver bond (portfolio value, bond FV and durations were given)
19 -A question about mean-variance model components (inputs) vs other models inputs
20 -The variance of a Bernoulli distribution ( PD*(1-PD) )
21/22 -2 Bayes questions (one with a 3-states table (increase/neutral/decrease) and one with AA/BB bonds)
23 -How many additional Monte Carlo simulations required to narrow a confidence interval (think 12,000 was the correct answer)
24 -Sample standard deviation ("what is the StD of the most volatile asset ?")
25 -Cross hedge with maturity and correlation given (Zirconium)
26 -Long run volatility (not variance !) with GARCH(1,1) model
27 -EWMA updated variance (with previous vol and previous and new asset prices given)
28 -Updated Covariance with EWMA
29 -Adjusted beta hedge from 1,05 to 1,75
30 -Risk facing CCP (answer was Adverse selection)
31 -A question about whether netting through CCP is benefiting high-rated companies most
32 -A question where the correct answer was fat tail means time-varying volatility (acc. to me)
33 -A binomial one-step tree foe European call option
34 -correl + vol hedge ratio
35 -Delta normal VAR for a portfolio of long call options
36 -Gamma neutral portfolio
37/38 -R² and adj R² (and / or sqrt(R²), can't remember if this one or two different questions ; I hope it's two !)
39 -95% VAR for 60 days (using Poisson distribution)
40 -Converting 1-day 95% to 10-day 99% VAR
41 -Difference btw Mutual funds and Hedge Funds
42 -Sharpe ratio (need to compute the weighted exp return and std first)
43 -compute expected return with beta and risk free rate (CAPM question)
44 -a Multi factor question (or a second single factor question, can't remember precisely sorry for that)
45 -a forward rate calculation one year, two years from now
46 -FX forward with continuously componded rates (straigthforward exp(rDC - rFC) formula)
47 -a put-call parity question
48 -stop vs limit order question (correct answer was limit order, to me)
49 -Sortino ratio
50 -DV01 hedge ratio
51 -Loss frequency and severity distribution in Op. risks (Poisson + lognormal)
52 -Bootstrapping vs anthetic variate vs control variate (bootstrapping was correct acc. to me)
53 -Copulas question (Gaussian copulas was correct to me)
54 -WAM / WAY
55 -CPR / SMM
56 -A question about rating agencies process wrt local vs foreign debts
57 -A question about local vs foreign currency debt ratings (similar to 56 but definitely two different questions)
58 -A question about stocks price changes when rating changes
59 -Question about role of internal auditors in stress tests process (correct answer was sthg like "need to document material changes in stress test process")
60 -Second question about role of auditors wrt the board and shareholders
61 -Covariance stationary processes (answer was mean+covariance are stable over time)
62 -Values of beta in an stable AR(1) process (answer was 0,5 others choices being 0, 1 and 1,25)
63 -Probability question using binomial distribution applied to two cases and then sum them up
64 -FX loan without interests question (with useless and tricky wording)
65 -Net CCY exposure calculation and impact on gain/loss if foreign CCY is depreciating
66 -Price of a semi annual coupon bond (with price of the equivalent annual coupon bond given)
67 -question about spot rates curve vs forward rates (correct was spot curve is upward when fwd rates are higher that spot rates, not 100% sure but it sounds logical)
68 -question about which choices is relative to coherent risk measure (correct answer was p(A+B) <= p(A) + p(B) )
69 -second question about coherent risk measure in a bank but only with wording choices related to a bank's units
70 -basic risk definition (smth like "what is more likely related to a market risk ?" with answer being a drop in FX market)
71 -question about big failures and I thing LTCM was the correct answer (linked to model risk)
72 -UL calculation
73 -AIC curve question (B was correct)
74 -SPV question (a bank using SPV to transfer legal risk)
75/76 -2 quite esay questions about differences between OTC and exchanges
77 -duration hedge performing poorly when short term rates and long term rates are volatile and not correlated
78 -variation margin vs maintenance margin vs initial margin
79 -subordinated bonds being unsecured bonds with other unsecured bonds with a higher claim above them (not sure this is an acutal question)
80 -question about RiskMetrics vs Hybrid vs Historical models for VAR
81 -a question about the benefits of ES in operational risks and the fact that they give scenarios that had never happened in the past
Here are the 81 questions I may remember from the exam. Please tell me if you remember extra questions
1 -Question about Implied volatility, option strikes and maturities in the B&S model
2 -"Entreprise-wide" risk management model question
3 -EL calculation with updated (increased value of loan) from 45 mln to 55 mln
4 -Swap comparative advantages with a table (I put the company with no absolute advantage as the fixed rate payer, not sure I was right)
5/6 -2 Code of Conduct questions (one with an employee using a model from former company)
7 -A t-test hypothesis with null hypothesis being as an equality (correct answer was failing to reject the null)
8 -A 95% confidence interval question linked to an hypothesis (the hypothetized value was in the interval if I remember correctly)
9 -APT question with updated factors (formula was sth like Ri = E(Ri) + aX + bY)
10 -Crack spread question with crude and heating oil gallons/barrels
11 -White noises and independant noises
12 -The operating / combined ratio question (105% being an incorrect solution)
13 -A question about credit spread risk (I put "credit spread can be easily found via the default transition matrix. Not sure..)
14 -Stack hedge question (30 vs 360 contracts).
15 -Change in price of a bond after duration and convexity effects combined
16 -Economic capital calculation where EL, UL and multiplicator were given
17 -A question about the impact of increasing level of significance for VaR and EL
18 -Number of contract to buy/sell to make a duration-hedge with a Cheapest-to-deliver bond (portfolio value, bond FV and durations were given)
19 -A question about mean-variance model components (inputs) vs other models inputs
20 -The variance of a Bernoulli distribution ( PD*(1-PD) )
21/22 -2 Bayes questions (one with a 3-states table (increase/neutral/decrease) and one with AA/BB bonds)
23 -How many additional Monte Carlo simulations required to narrow a confidence interval (think 12,000 was the correct answer)
24 -Sample standard deviation ("what is the StD of the most volatile asset ?")
25 -Cross hedge with maturity and correlation given (Zirconium)
26 -Long run volatility (not variance !) with GARCH(1,1) model
27 -EWMA updated variance (with previous vol and previous and new asset prices given)
28 -Updated Covariance with EWMA
29 -Adjusted beta hedge from 1,05 to 1,75
30 -Risk facing CCP (answer was Adverse selection)
31 -A question about whether netting through CCP is benefiting high-rated companies most
32 -A question where the correct answer was fat tail means time-varying volatility (acc. to me)
33 -A binomial one-step tree foe European call option
34 -correl + vol hedge ratio
35 -Delta normal VAR for a portfolio of long call options
36 -Gamma neutral portfolio
37/38 -R² and adj R² (and / or sqrt(R²), can't remember if this one or two different questions ; I hope it's two !)
39 -95% VAR for 60 days (using Poisson distribution)
40 -Converting 1-day 95% to 10-day 99% VAR
41 -Difference btw Mutual funds and Hedge Funds
42 -Sharpe ratio (need to compute the weighted exp return and std first)
43 -compute expected return with beta and risk free rate (CAPM question)
44 -a Multi factor question (or a second single factor question, can't remember precisely sorry for that)
45 -a forward rate calculation one year, two years from now
46 -FX forward with continuously componded rates (straigthforward exp(rDC - rFC) formula)
47 -a put-call parity question
48 -stop vs limit order question (correct answer was limit order, to me)
49 -Sortino ratio
50 -DV01 hedge ratio
51 -Loss frequency and severity distribution in Op. risks (Poisson + lognormal)
52 -Bootstrapping vs anthetic variate vs control variate (bootstrapping was correct acc. to me)
53 -Copulas question (Gaussian copulas was correct to me)
54 -WAM / WAY
55 -CPR / SMM
56 -A question about rating agencies process wrt local vs foreign debts
57 -A question about local vs foreign currency debt ratings (similar to 56 but definitely two different questions)
58 -A question about stocks price changes when rating changes
59 -Question about role of internal auditors in stress tests process (correct answer was sthg like "need to document material changes in stress test process")
60 -Second question about role of auditors wrt the board and shareholders
61 -Covariance stationary processes (answer was mean+covariance are stable over time)
62 -Values of beta in an stable AR(1) process (answer was 0,5 others choices being 0, 1 and 1,25)
63 -Probability question using binomial distribution applied to two cases and then sum them up
64 -FX loan without interests question (with useless and tricky wording)
65 -Net CCY exposure calculation and impact on gain/loss if foreign CCY is depreciating
66 -Price of a semi annual coupon bond (with price of the equivalent annual coupon bond given)
67 -question about spot rates curve vs forward rates (correct was spot curve is upward when fwd rates are higher that spot rates, not 100% sure but it sounds logical)
68 -question about which choices is relative to coherent risk measure (correct answer was p(A+B) <= p(A) + p(B) )
69 -second question about coherent risk measure in a bank but only with wording choices related to a bank's units
70 -basic risk definition (smth like "what is more likely related to a market risk ?" with answer being a drop in FX market)
71 -question about big failures and I thing LTCM was the correct answer (linked to model risk)
72 -UL calculation
73 -AIC curve question (B was correct)
74 -SPV question (a bank using SPV to transfer legal risk)
75/76 -2 quite esay questions about differences between OTC and exchanges
77 -duration hedge performing poorly when short term rates and long term rates are volatile and not correlated
78 -variation margin vs maintenance margin vs initial margin
79 -subordinated bonds being unsecured bonds with other unsecured bonds with a higher claim above them (not sure this is an acutal question)
80 -question about RiskMetrics vs Hybrid vs Historical models for VAR
81 -a question about the benefits of ES in operational risks and the fact that they give scenarios that had never happened in the past
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