Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA > Quantitative Finance and Investment (QFI) track > QFI Core Exam
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


QFI Core Exam Old Advanced Portfolio Management Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #41  
Old 05-03-2019, 02:12 PM
n27 n27 is offline
Member
SOA
 
Join Date: Oct 2015
Studying for QFI Core Exam
Posts: 325
Default

Quote:
Originally Posted by reelsteel View Post
It is cumulative and curved although I really don't know how it's curved. Someone at my company has graded exams and she said they have a rubric for each question looking for specific benchmarks. If you get a certain benchmark you get those points. I'm feeling a little better about it them when I came right out, but still don't feel great.

Could anyone show how the forward swap could be viewed as a put on a ZCB? I don't even think they derived that in the source material tbh. As with so many other questions, I'd just try to derive it in real time. I'd get stuck for a second and be like, well, gotta move on cause of time. I don't understand why that exam was just so much harder than any problems I worked.

Edit 1: I knew that it could and I knew the formulas for both, just never saw how to get from one to the other.
LOL I thought it said to show how a caplet was the same as an option on a ZCB....
__________________
ASA FinMod Module QFI QF QFI IRM QFI PM
Reply With Quote
  #42  
Old 05-05-2019, 08:21 PM
reelsteel reelsteel is offline
SOA
 
Join Date: Dec 2017
College: Miami University
Posts: 29
Default

Quote:
Originally Posted by n27 View Post
LOL I thought it said to show how a caplet was the same as an option on a ZCB....
Yea you're right, swap has zero initial value. Idk I just remember being pissed when I saw it lol.
__________________
ASA QFIQF, QFIINV, IRM, DMAC, FSA Modules
Reply With Quote
  #43  
Old 05-05-2019, 10:38 PM
Jamesexam11 Jamesexam11 is offline
Member
SOA
 
Join Date: Oct 2016
Posts: 36
Default

That was only worth 1 point though. There were several high worth questions that surprised me, such as calculating hedging error, deriving sigma z, calculating eigenvalues, proving dC/dS = N(d1), etc
Reply With Quote
  #44  
Old 05-06-2019, 08:51 AM
n27 n27 is offline
Member
SOA
 
Join Date: Oct 2015
Studying for QFI Core Exam
Posts: 325
Default

Quote:
Originally Posted by Jamesexam11 View Post
That was only worth 1 point though. There were several high worth questions that surprised me, such as calculating hedging error, deriving sigma z, calculating eigenvalues, proving dC/dS = N(d1), etc
Agreed. Those were really difficult.
__________________
ASA FinMod Module QFI QF QFI IRM QFI PM
Reply With Quote
  #45  
Old 05-06-2019, 09:01 AM
reelsteel reelsteel is offline
SOA
 
Join Date: Dec 2017
College: Miami University
Posts: 29
Default

Quote:
Originally Posted by Jamesexam11 View Post
That was only worth 1 point though. There were several high worth questions that surprised me, such as calculating hedging error, deriving sigma z, calculating eigenvalues, proving dC/dS = N(d1), etc
true. There was a lot of difficult stuff, that was just one that I remembered and was curious to see if anyone did it. A lot of those things weren't particularly difficult but time consuming, which equates on a tightly timed exam. Especially since even the ones that I knew how to do from start to finish didn't save me any time, still took me 3 minutes per point.

The PCA question surprised me. I couldn't believe they asked us to do that. I studied everything about it just didn't practice how to calculate eigenvalues/eigenvectors because I thought there was just no way they'd ask us to do that. That's just something you tell a computer to do for you because it's just tedious.

But anyway, maybe a lot of us are in the same boat and it isn't all as bad as it seems. Still, I really have no gauge as to whether or not I passed. Let's all just enjoy the next couple of months lol.
__________________
ASA QFIQF, QFIINV, IRM, DMAC, FSA Modules
Reply With Quote
  #46  
Old 05-06-2019, 09:28 AM
nitro22ko nitro22ko is offline
Member
SOA
 
Join Date: Jul 2013
Location: Mass
Posts: 43
Default

Quote:
Originally Posted by reelsteel View Post
true. There was a lot of difficult stuff, that was just one that I remembered and was curious to see if anyone did it.
I actually did that one just because it was proved in one of the video lessons (so it was definitely in the FIS textbook). Sad it was just 1 point because I for sure bombed all the 2-3 point difficult questions.

I think I did okay in the qualitative stuff (e.g. name weakness/strengths of ARCH, does delta coverge to 0, etc.), but I'm sure everyone else did well on those too.
Reply With Quote
  #47  
Old 05-06-2019, 09:46 AM
n27 n27 is offline
Member
SOA
 
Join Date: Oct 2015
Studying for QFI Core Exam
Posts: 325
Default

How did you feel about the Vanna Volga Strategy question?

I had no recollection of ever reading that...
__________________
ASA FinMod Module QFI QF QFI IRM QFI PM
Reply With Quote
  #48  
Old 05-06-2019, 12:44 PM
reelsteel reelsteel is offline
SOA
 
Join Date: Dec 2017
College: Miami University
Posts: 29
Default

Quote:
Originally Posted by n27 View Post
How did you feel about the Vanna Volga Strategy question?

I had no recollection of ever reading that...
I had recollection of reading it but I definitely only read through it once and never did any problems. It was either one of the smaller readings or in one chapter of Derman's The Volatility Smile. The only thing I remember about it was volga was d(vega)/d(sigma), vanna was d(vega)/dS, and something about them helped price exotic options. But that didn't get me very far lol. I can't remember what else was in that question but was definitely one of them that I must've gotten 1.5 points MAX out of like 7-9.
__________________
ASA QFIQF, QFIINV, IRM, DMAC, FSA Modules
Reply With Quote
  #49  
Old 05-06-2019, 02:07 PM
nitro22ko nitro22ko is offline
Member
SOA
 
Join Date: Jul 2013
Location: Mass
Posts: 43
Default

likewise. I just knew risk reversal had high vanna and butterfly had high volga so they were options used to hedge against vanna/volga.
Reply With Quote
  #50  
Old 05-06-2019, 10:44 PM
Jamesexam11 Jamesexam11 is offline
Member
SOA
 
Join Date: Oct 2016
Posts: 36
Default

I think most candidate could muster a few points from the Vanna and Volga question. I think the most difficult question was the 1 year coupon bond vs 6 month coupon bond. The second half of that question shows the price of the 1 year coupon bond after half year and ask us to compare the P&L vs the half year coupon bond.
Reply With Quote
Reply

Thread Tools Search this Thread
Search this Thread:

Advanced Search
Display Modes

Posting Rules
You may not post new threads
You may not post replies
You may not post attachments
You may not edit your posts

BB code is On
Smilies are On
[IMG] code is On
HTML code is Off


All times are GMT -4. The time now is 06:48 PM.


Powered by vBulletin®
Copyright ©2000 - 2020, Jelsoft Enterprises Ltd.
*PLEASE NOTE: Posts are not checked for accuracy, and do not
represent the views of the Actuarial Outpost or its sponsors.
Page generated in 0.25625 seconds with 11 queries