Post-exam thoughts

I also passed CFA level 3 this year (3 for 3). I didn’t prepare much for FRM (only studied Credit and OpRisk) and thanks God I didn’t spend much time - I dont think I would be able to solve the ones I missed anyway!!! I have to admit this is a tough exam. I think I bombed the morning session (mean = 35, std dev 2.5) but I think I did reasonably well in the afternoon (mean = 50, std dev 2.5)… Give this estimate I think that should be a borderline passer. Another comment I want to make is I cannot believe SO MANY PEOPLE SHOWED UP for the exam. THis is not a popular exam and I cannot believe what I see… the number of candidiates almost matches with the CFA exam… I was like WTF!!

Rydex Wrote: ------------------------------------------------------- > On a side note: > I was one of a handful of plain vanilla white > dudes in this exam. I think this just further > cements in my belief that the white folks in > america have a irrational sense of entitlement and > very little desire for higher education. When I looked around, it felt very much like I was back at my undergraduate years at Carnegie Mellon. Maybe 20% women, and I was one of two people out of ~120 with blonde hair. I disagree a little bit with the second statement. Assuming intelligence is evenly spread in the world (vs. opportunity, which is a different topic altogether), us Caucasains do not make up a majority. I find what I saw in the exam as a good reflection of the population of the world, at least for us XY types. :slight_smile:

The afternoon session was definitely more straight forward than the morning session. I feel the more off-track questions were anti-schweser mines in the FRM road.

I thought the exam was fair. I am a PRM Holder so maybe my views are biased. I wrote the Financial Markets Risk Management course through the CSI last month and found it to be a much better read the Hull’s book. The FRM (GARP) was a complement. I only wish I had studied more. Some questions I should have gotten but didnt. Being well prepared mentally and getting a good nights sleep is half the battle during any exam. So in other words screw worrying about anything because it doesn’t pay : )

I can say I do like the four exams that the PRM do offer. More reasonable. Especially if you are working full time and do not have time to study at work. Factoring that in with life’s hectic schedule the PRM offers flexibility. I am glad I took a crack at the FRM as well. Its always nice to see the differences/similiarities with exam material. PRMGCM

I felt the exam was a sureal experience. Like a Dali piece. I preped for about 2 months every eveneing giving about 3-4h. Then took all my vaccations to have three whole weeks for the final preparation. I invested about 12h each day. I did the 2009 GARP prep exams about a week before the exam and felt ok with my understanding of the material, got a less than perfect 66% score. So, I worked really hard on the last week to polish everything, up to the point that I could write all the formulas from memory with less then 10% error. I figured, if I knew the formula and/or the calculation method I could always reason on the effects different variable changes would have. Well, I went through the exam woundering what all this work was for. Some topics were not covered at all, others were covered at extreme detail. Sometimes I had trouble even understanding what GARP wanted me to find out. Others were outright easy. I believe quite a few questions tested not one but several concepts at once. Therefore, my hope is that the GARP testing method somehow considers giving at least some points to an answer that got a portion of a question right. Such as: You understood that you had to calculate portfolio duration (+0.5 points) but you got the VaR computation wrong (+0.0) for a total score of 0.5 (instead of 1.0). However, I’m glad I toock the challange. I learned a lot and the challange was part of the apeal. But I am not sure that I will try again if I should not pass the exam. P.S.: Schweser FRM material is, in my oppinion, not the best choice for the FRM preparation. I felt it lacked depth and structure.

@egal: I wish they gave half points, but I am sure they don’t. PS Schweser sucks for anything, never use it as a primary source for anything! I only used because of a lack of any other option (since there was no way I would have time to read the actual assigned readings).

I agree, I wish stalla offered FRM materials. They were much better for CFA.

Schweser was fine I think and the best thing there is a primary study source but it needs to be complemented by other things. The handbook had too much extraneous information although I did flip through it and go through the relevant questions which I felt helped. Also used some of the free information available on bionic turtle and wikipedia to help fill in the gaps on some things. If I pass Level 1 then I plan on using the Schwesser/paid bionic turtle combination for Level 2. I think the core course reading from FRM is a waste of money, can be much more efficient with bionic turtle/Schwesser.

Agree with joeisenb: Start with Schweser (introductory) Then go to Bionic Turtle (more in-depth, although sometimes David is prone to error) If I pass L1 I will do the same for L2.

I can’t believe someone remembered most of the question… Check this guys/ gals 1. Gold forward arbitrage with continuous yield (2%) and Rf (4%). The future price was lower that the computed one. What should be done to “gain” the arbitrage? 2. One BII market risk capital charge computation, be careful daily var was 95%. So we had to convert to 99%. 3. Currency forward arbitrage (Rf and time provided) 4. Volatility smile descriptive question (currencies and equities) 5. Maximum likelihood (you should take the log and tell what to maximize/minimize) 6. No Poisson question 7. Easy Binomial: What is the prob that a student has less than 8 answers right if he answers randomly a two possibility answer test with 20 question. You did not have to compute but just to say how to compute. 8. Several questions that required put/call parity (including S*exp(-y*t)) 9. Several questions on option combinations (butterfly spread) 10. One greek question 11. No TRS question 12. Several CDS questions (impact of correlations) 13. Lots of var questions 14. Not too many questions on BII compared to var questions. 15. One Tier1 and Tier2 BII computation 16. Model risk question 17. One UBS (easy) question 18. Why stress testing var 19. Indirect question on backtesting var 20. One easy swap computation (2 years remaining, Libor against 8%) 21. One easy question on interest rate: Which one is higher? They gave yearly, monthly, quarterly and continuous numerical values. The answer was continuous. tongue laugh 22. Several questions on linear regression: Compute R^2. Beta has bad t-stat and the strategy is to be market neutral -> what can be concluded? 23. A few questions on IR, Sharpe and Treynor ratio. I was confused by one because they were calling the tracking error, the systemic volatility or something like that. 24. One portfolio credit risk model question 25 One very easy question on matrix transition: Which statement is incorrect? There was a line with BBB down grade proba > 80%… 26. No rating question 27. Difference between CDO and MBS (I answered the tranching) 28 CDS question on price of first to default versus second to default. 29. No moral hazard question 30. One SPE usage question. 40. No inverse floating question 41. A few modified duration question. (DeltaV = -D* * V * deltaY) 42. Which obligation has negative convexity: good to see easy question and not time consuming. red face 43. An easy proba computation: z-proba of not been between 1 and 1.5 or something like that. The z table was provided for each test on the first page. 44. P(A|B) computation: I had P(A and B) by using P(B|A) but I did not have the time to compute P(B) because the text was long and I needed at least 5 minutes to recompute. This is a typical question when I lost point because I had to avoid loosing time. red face 45. One easy question kurtosis: The normal has lowest proba of extreme value than 4, 8 kurtosis distributions. 46. Several EVT questions: one was to compute it with extreme returns provided. 47. One var question: 20 worst returns provided but unsorted. Find the var, It was 1% of 80 Million as far as I remember. 48. You decrease significance what happens to Type I and Type II probs. 49. One binomial tree call computation question that I failed. 50. One Monte Carlo simulation of GBM (mu was zero to be easier), sigma was provided You had to compute S(n+2) given S(n) e(n) and e(n+1). I also failed because I did not want to loose too much time on computations and I made a mistake in the contribution. 51. No Cholesky or interest rate model question. 52. One Ted behaviour (after Lehman episode) question. But there were two possible good answers as far as I understood. I answered that the it increases because there was a lack of liquidity (for me the fact that all bankers we scared of lending was a liquidity funding problem). 53. One or two linear hedging question (rho * sigma(S) / sigma(F)) 54. Concerning study cases, a single question on MetallGesellshaft 55. Two questions on basis risk. 56. A liquidity VAR computation: Normal distribution for return with mu and sigma, value of portfolio and spread value in dollar provided 57. One EWMA and one Garch (compute the long term vol for Garch) This has nothing to do with the exam. But it remembers my wife’s boss explaining to me that Garch has nothing to do with modeling heteroskedostaticity. As he is responsible for Market Risk Management, I should have suggested him to take the Garp exam. cheese 58. An interesting question on style drift versus leverage increase for HF. They were providing the fund returns and the benchmark returns. You could see that one manager increases leverage (same signs for returns) and the other was doing style drift. 58. Tracking error: 3 graphs were given with benchmark and fund returns. Tell which one has lowest tracking error. 59. Correlation: 3 graphs were provided. Which group of variables has the highest correlation? 60. An easy question on credit risk: Which operation adds CR: sell/buy options 61. One Merton question (that I failed) close to the one provided in Garp2009: Compute prob of default 61. Two EL and UL computations (PD, LGD, COM, sigma(PD), sigma(LGD) were provided) 62. Two questions on credit “modifiers” (Triggers, Netting, collateral, MTM) 63. No cat bound question 64. One Raroc computations (no taxes were involved and RC was provided) 65. One BS call/put computation N(d1) and N(d2) were provided 66. One interest risk reduction question (buy a cap, sell a floor, …) 67. One or two questions on MVAR, CVAR questions: Compute the global VAR if a fund is removed Compute an MVAR

I took the full exam… I got raped in the morning (had to throw down c c c c c c on the last 6 answers due to lack of time)… found the afternoon session quite a bit easier.

I remember the classic “When in doubt, pick c” from the CFA and thought of it during the exam. I also ran out of time in the morning session, it was really tough. uejjap Wrote: ------------------------------------------------------- > I took the full exam… I got raped in the morning > (had to throw down c c c c c c on the last 6 > answers due to lack of time)… found the > afternoon session quite a bit easier.

is C really the one to go? I guessed all As…

nah this time around it was B

nah, best is A B C D D C B A etc. proven fact.

It was BAD BAD BAD… you’ve got it all wrong, guys :wink: