Exam Feedback November 2019 Part 1 Exam Feedback

[randrema]

I remember it was future o


I have the blue book and I remember the question was what is the probability that the stock price decreased less than 40? My answer was 62.5.

I do remember less than 15. Moreover, the probability than the stock price decreased less than 40 is 100% because less than 40 means decrease will be between 40% and 0%. But if decrease is less than 40% but above 15%, then the probability would be 62.5%. If the decrease is less than 15 (ie 15% to 0%) the probability would be 37.5%.
But I may be wrong.

 

[Venkat k]

I remember that less than 15 only asked and answer is 37.5%

 

[wool]

I do remember less than 15. Moreover, the probability than the stock price decreased less than 40 is 100% because less than 40 means decrease will be between 40% and 0%. But if decrease is less than 40% but above 15%, then the probability would be 62.5%. If the decrease is less than 15 (ie 15% to 0%) the probability would be 37.5%.
But I may be wrong.

makes sense...subjectively the probability of the price drop near the 'current market price' will be higher than that's far off...don't know what thoughts plagued me to land at 62.5%

 

[yz1300]

Does anyone remember if the two questions asked from garch were about long term variance or long term volatility?

Is it w/1-a-b=long term variance and SQRT of long term variance is long term volatility?

 

[stevoDE]

Does anyone remember if the two questions asked from garch were about long term variance or long term volatility?

I’m sure there was a q on both. One asking for variance on first half & one asking for vol in 2nd half.

 

[tweakpun]

Does anyone remember if the two questions asked from garch were about long term variance or long term volatility?

One was on volatility and one was on variance, as far as I remember. (blue booklet)

 

[randrema]

I’m sure there was a q on both. One asking for variance on first half & one asking for vol in 2nd half.

Yes it was the same question (same parameters) but for one, a sqrt was needed for volatility calculation.

 

[Indrahui]

Did your answers match with the options, cause I did sqrt but still didn't get the answer... The answer of the other one was. 0077mostly

 

[Naresh Nayak]

I remember reading this" for European options, the binomial model converges on the Black-Scholes formula as the number of binomial calculation steps increases. "

No the option read time period increasing between each step it didn’t say steps increasing as per what I remember. So I went with constant even though I had no clue about it

 

[Naresh Nayak]

Did your answers match with the options, cause I did sqrt but still didn't get the answer... The answer of the other one was. 0077mostly

Was there an answer 0.003?? WRT blue book and question was on GARCH

 

[Maggie3344]

Was there an answer 0.003?? WRT blue book and question was on GARCH

Yes I have the same answer

 

[Naresh Nayak]

Yes I have the same answer

It was option A right ??

 

[Maggie3344]

It was option A right ??

Yes it was either A or B

 

[Naresh Nayak]

So the sample mean question ? We just had to take the mean right? Use “n” and not “n-1”??

 

[Fisuca]

No the option read time period increasing between each step it didn’t say steps increasing as per what I remember. So I went with constant even though I had no clue about it

exactly right!

 

[Venkat k]

So the sample mean question ? We just had to take the mean right? Use “n” and not “n-1”??

Yes For sample mean we should use n.

 

[Fisuca]

One other question which really bugs me about Information Criteria. One option was BIC is asymptotically efficient and one answer options was MSE is biased if i remember correct. I put MSE is biased, because from what i know BIC is asymptotically consistent, not efficient..thats also what i found when i did research...but in the Bionic notes i think i is written that BIC is indeed asymptotically efficient...
So kind of confused...

 

[Indrahui]

One other question which really bugs me about Information Criteria. One option was BIC is asymptotically efficient and one answer options was MSE is biased if i remember correct. I put MSE is biased, because from what i know BIC is asymptotically consistent, not efficient..thats also what i found when i did research...but in the Bionic notes i think i is written that BIC is indeed asymptotically efficient...
So kind of confused...

Sic is not assymptotically efficient.. So I also marked mse option

 

[randrema]

Sic is not assymptotically efficient.. So I also marked mse option

Yes MSE is inconsistent.

 

[Victor93]

How abt Cheapest to deliver, any one can remember the answer?