So what does everyone predict for the exam? FRA could be between 18 questions (3 sections) and 30 questions ( 5 sections) I figure we will get hit with 1) pensions 2) long term assets 3) acquisitions and 4) something on balance sheet currencies + hign inflation environments.
I’m feeling an entire vignette based of Residual Income valuation.
It hasn’t changed once in the last 5 years so I think we’ll see: 4 FRA (Pension, Currency, Intercorp Invest, Adjustments/PPE/Inventory) 4 Equity (RI (wasn’t on there last year), FCFF/FCFE, DDM/HModel/GGM, P/E/P/B ratios) 2 FI (OAS/Z spread questions, MBS/CDO/CMO/ABS, PAC/SMM/CPR, etc…) 2 Corp Fi (Corp Governance, Project Calcs, M&A) 2 Ethics (The usual) 2 Derivatives (Swap, Futures calc, BSM questions) 1 AI (ANYTHING BUT VENTURE CAPITAL PLEASE) 1 PM (Qualitative IPS questions, Black Litterman Assumptions) 1 Quant (Single/Multi Regression, 2 on Time Series) 1 Econ (Currencies, General Econ Theory)
A whole vignette on a random walk with a drift coverting it to covariance stationary, then asseing whether it is ARCH, with or without ARMA, making sure you check for any resulting seasonality, then adjusting for that. They may also throw in an AR(3) to see how Dicky Fullman tests show insignifican autocorrelations. That’s a given.
Fra seems likely. Assumptions on black scholes too.
What are the Black Litterman assumptions?
I HATE TIME SERIES !