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daydreamer
04-08-2008, 05:42 PM
I couldn't find the formula sheet for the 2008 apm exam on the soa website. Can anyone please be kind enough to post me the link? Thanks!

remilard
04-08-2008, 06:00 PM
I couldn't find the formula sheet for the 2008 apm exam on the soa website. Can anyone please be kind enough to post me the link? Thanks!

I don't think that it is online. It is included in the study note package.

daydreamer
04-08-2008, 06:18 PM
Thanks remilard!

The Smokin' Cracktuary
04-09-2008, 07:33 AM
I couldn't find the formula sheet for the 2008 apm exam on the soa website. Can anyone please be kind enough to post me the link? Thanks!

Yeah I was looking for it the other day too. Seems pretty ridiculous that its not on there. If you lose the one copy you have you are pretty much effed. As soon as I realized that, I made a few copies of the one I have and put them in separate places.

Kind of like how the president and vice president can never fly on the same plane at the same time, only way more important.

remilard
04-09-2008, 12:46 PM
Yeah I was looking for it the other day too. Seems pretty ridiculous that its not on there. If you lose the one copy you have you are pretty much effed. As soon as I realized that, I made a few copies of the one I have and put them in separate places.

Kind of like how the president and vice president can never fly on the same plane at the same time, only way more important.

I could probably be compelled to fax someone a copy (perhaps the SOA staff could as well) in the event of an emergency.

aleks09
04-10-2008, 11:46 PM
Very timely post - I was just looking for it on the SOA website and couldn't find it. They are strange people. And could that possibly mean they will NOT give us a formula sheet on the exam?..

In any case, I can't find my formula sheet - could someone please send me a copy?

campbell
04-11-2008, 10:01 AM
By the way, here are links to my annotations on the 2007 formula sheet:
http://actuary.ca/actuarial_discussion_forum/showpost.php?p=2067106&postcount=15

They probably changed the formula sheet some from last year, but I imagine much of it is the same. It's good to know which formulas are and are not on the sheets, and where. Frankly, I barely used the formula sheets on APMV and 8V (and I passed both times) - usually you end up looking up only a couple formulas for a few of the problems.

I suppose they could draw more heavily from the sheets this year, but I'm saying not to spend too much time on the formula sheets. Likely you'll get more from reviewing your condensed outlines and working through the examples from the texts (or any manuals you have).

The Smokin' Cracktuary
04-14-2008, 03:01 PM
By the way, here are links to my annotations on the 2007 formula sheet:
http://actuary.ca/actuarial_discussion_forum/showpost.php?p=2067106&postcount=15

They probably changed the formula sheet some from last year, but I imagine much of it is the same. It's good to know which formulas are and are not on the sheets, and where. Frankly, I barely used the formula sheets on APMV and 8V (and I passed both times) - usually you end up looking up only a couple formulas for a few of the problems.

I suppose they could draw more heavily from the sheets this year, but I'm saying not to spend too much time on the formula sheets. Likely you'll get more from reviewing your condensed outlines and working through the examples from the texts (or any manuals you have).

2 questions.

1.) If a formual is not on the formual sheet, does that mean they can't/won't ask questions on it?

Leading to,

2.) Can anyone else not find the formula for valuing a credit default swap? I believe it was from the Hull text. Or am I just blind?

rekrap
04-14-2008, 03:13 PM
2 questions.

1.) If a formual is not on the formual sheet, does that mean they can't/won't ask questions on it?



1) All are fair game, whether on there or not. [Even Crank-Nicolson... :wink: ]

campbell
04-14-2008, 04:21 PM
1) All are fair game, whether on there or not. [Even Crank-Nicolson... :wink: ]

Yes, yes. I don't think that particular mistake will occur again.

Anyway, just because it's not on there, doesn't mean they won't ask. But I wouldn't spend much time memorizing any formulas.

The Smokin' Cracktuary
04-14-2008, 04:52 PM
Yes, yes. I don't think that particular mistake will occur again.

Anyway, just because it's not on there, doesn't mean they won't ask. But I wouldn't spend much time memorizing any formulas.

I am trying not to, but I am trying to become familiar with the formula sheet so I can make sure i know where to find it if I need it.

At the very least I would like to be pretty good about knowing what formulas come from which readings.

remilard
04-14-2008, 05:00 PM
I am trying not to, but I am trying to become familiar with the formula sheet so I can make sure i know where to find it if I need it.

At the very least I would like to be pretty good about knowing what formulas come from which readings.

If a formula would be difficult to derive and isn't on the sheet I wouldn't expect it to be tested.

The formula for valuing a swap is the present value of all cashflows from either perspective. Pretty basic actuarial stuff. I'm sure if you needed to do one at work and had Excel you would pound it out in a few minutes so feel free to use a table to solve one of these (as per the solution in Jam to one of the practice questions in Hull) instead of writing it out as summations like the formula in the text.

TiderInsider
04-14-2008, 10:16 PM
I'll bet $5 there's not a question on valuing a CDS Hull style. It was asked on FET and the same folks are on the EC for APMV. I bet they mix it up...that said, I still know how to work the problem.

remilard
04-14-2008, 11:05 PM
I'll bet $5 there's not a question on valuing a CDS Hull style. It was asked on FET and the same folks are on the EC for APMV. I bet they mix it up...that said, I still know how to work the problem.

Srsly? How do I not remember that.

I agree that is a once every 5 years problem at most. Too easy if you are ready for it.

The Smokin' Cracktuary
04-15-2008, 07:06 AM
If a formula would be difficult to derive and isn't on the sheet I wouldn't expect it to be tested.

The formula for valuing a swap is the present value of all cashflows from either perspective. Pretty basic actuarial stuff. I'm sure if you needed to do one at work and had Excel you would pound it out in a few minutes so feel free to use a table to solve one of these (as per the solution in Jam to one of the practice questions in Hull) instead of writing it out as summations like the formula in the text.

Yeah. I am not too worried about the formula itself, I guess. As you said, basic stuff.

I am just labeling everything on the formula sheet I that I think has any chance of being tested, regardless of whether or not I know the formula by heart. Then I noticed that I couldn't find that one, and got curious.

I suppose it's not entirely necessary.

TiderInsider
04-15-2008, 10:58 AM
Srsly? How do I not remember that.

I agree that is a once every 5 years problem at most. Too easy if you are ready for it.#10....I only remember it because I ran out of time and had to describe the process instead of being able to finish the problem.

campbell
04-15-2008, 11:42 AM
FWIW, writing down the process can get you very far point-wise, when you don't have time to do the calculations.

Also, yes, it's pretty much the same circle of people writing the questions for FET & APMV (second a subset of first), and definitely an overlap in the committees that select the final questions from pool of prospective questions.

TiderInsider
04-15-2008, 12:57 PM
FWIW, writing down the process can get you very far point-wise, when you don't have time to do the calculations.

Also, yes, it's pretty much the same circle of people writing the questions for FET & APMV (second a subset of first), and definitely an overlap in the committees that select the final questions from pool of prospective questions.What's even funnier is that the question asked you to decide if the quoted spread of 500bps was to high or to low. After describing the process I said..."I'm assuming that the calculated spread is 300 bps, therefore the quoted price is too high." No reason to lose points on the recommendation just because you can't solve the problem.

campbell
04-15-2008, 12:58 PM
What's even funnier is that the question asked you to decide if the quoted spread of 500bps was to high or to low. After describing the process I said..."I'm assuming that the calculated spread is 300 bps, therefore the quoted price is too high." No reason to lose points on the recommendation just because you can't solve the problem.

Words of wisdom. That was good strategy on your part.

Will Durant
04-25-2008, 05:52 PM
:rant:

You know, I'm trying really hard not to lose respect for the folks who put together this exam, but seriously...

The formula on page 520 of Hull is incorrect; Hull's provides the correct formula in his errata. Of course, the formula on the sheet is the wrong version. Can't they even be bothered to check the errata sheet before putting the sheet together.

I hate the SOA exam committees with the fiery passion of a thousand burning suns.

The Smokin' Cracktuary
05-07-2008, 02:47 PM
As I going through the syllabus at a relatively quick pace in an attempt to force as much of a broad knowledge of the entire syllabus into my short term memory, I have realized how very many formulas are not on the sheet.

Many of which I see as very testable. My anger at this fact consumes me. My previous notion that all I had to do was remember where things were, and what things were, on the formula sheet, and I could at least guarantee some partial credit on every calc question, has been taken from me. Swiped out from under my feet like a rug. Only instead of being a rug in a room, it's a flying carpet..... and I am hovering over an active volcano.

I'd list examples, unfortunately I lost count after I came across the 15th one two days ago. Ok. So that is an exaggeration, but there are quite a few.

Notably:

Temper & Blacks tax arbitrage
Covertable bond Binomial tree paramters
Valuation of a CDS
GMAB option Value
Relationahip between Forward and spot volatilities for extended Ho-Lee


Those are just off the top of my head. I would like to point that I know of three of those that have been tested.

sundwarf
05-07-2008, 02:55 PM
I am actually betting GMAB option values are not going to be tested again this year... i don't think I can do those without forumlas in the formula "sheet".

The Smokin' Cracktuary
05-07-2008, 03:15 PM
I am actually betting GMAB option values are not going to be tested again this year... i don't think I can do those without forumlas in the formula "sheet".

I am actually HOPING GMAB option values are not going to be tested again this year... i don't think I can do those without forumlas in the formula "sheet".

That's how I would have phrased it.

Laurelinda
05-07-2008, 07:33 PM
Swiped out from under my feet like a rug. Only instead of being a rug in a room, it's a flying carpet..... and I am hovering over an active volcano.

I'm sorry. :(

If it makes you feel any better, I am dying.

The Smokin' Cracktuary
05-07-2008, 08:04 PM
I'm sorry. :(

If it makes you feel any better, I am dying.

Why would that make me feel better? :cry:

I don't know you, but I am sure I would like you if I did, and I am like 80% positive that I wouldn't be happy if you died.

Laurelinda
05-07-2008, 08:13 PM
I don't know you, but I am sure I would like you if I did, and I am like 80% positive that I wouldn't be happy if you died.

Aww, you just made me feel better. :)

hamstrman
05-07-2008, 08:37 PM
Why would that make me feel better? :cry:

I don't know you, but I am sure I would like you if I did, and I am like 80% positive that I wouldn't be happy if you died.

Using the Gaussian-Copula Model for time to default on her life, below what value of her life would you be 80% positive that you wouldn't be happy if she died?

sundwarf
05-07-2008, 09:15 PM
Using the Gaussian-Copula Model for time to default on her life, below what value of her life would you be 80% positive that you wouldn't be happy if she died?

I nearly swallowed the gum I was chewing when I read this

remilard
05-07-2008, 10:57 PM
As I going through the syllabus at a relatively quick pace in an attempt to force as much of a broad knowledge of the entire syllabus into my short term memory, I have realized how very many formulas are not on the sheet.

Many of which I see as very testable. My anger at this fact consumes me. My previous notion that all I had to do was remember where things were, and what things were, on the formula sheet, and I could at least guarantee some partial credit on every calc question, has been taken from me. Swiped out from under my feet like a rug. Only instead of being a rug in a room, it's a flying carpet..... and I am hovering over an active volcano.

I'd list examples, unfortunately I lost count after I came across the 15th one two days ago. Ok. So that is an exaggeration, but there are quite a few.

Notably:

Temper & Blacks tax arbitrage
Covertable bond Binomial tree paramters
Valuation of a CDS
GMAB option Value
Relationahip between Forward and spot volatilities for extended Ho-Lee


Those are just off the top of my head. I would like to point that I know of three of those that have been tested.

Tepper and Black's arbitrage are obvious if you know what Tepper and Black arbitrage are.
I think I agree on the convertible stuff but they could test it without the probability of default and then you wouldn't have a complaint.
Valuation of CDS is obvious, that is like actuarial science 101, present value of future cashflows.
GMAB would be a compound option right? That presumably isn't testable as a calculation.
I doubt they are going to test extended Ho-Lee at that level of detail.

hamstrman
05-07-2008, 11:11 PM
Tepper and Black's arbitrage are obvious if you know what Tepper and Black arbitrage are.
I think I agree on the convertible stuff but they could test it without the probability of default and then you wouldn't have a complaint.
Valuation of CDS is obvious, that is like actuarial science 101, present value of future cashflows.
GMAB would be a compound option right? That presumably isn't testable as a calculation.
I doubt they are going to test extended Ho-Lee at that level of detail.

1) True, but I always get confused as to why there should be a difference in the two methods since the same thing is essentially being done in both. I guess I don't understand them then.

2) Agreed.

3) Somehow I always manage to mess up what three components are being valued and when (mid-year or end-of-year). I finally gave in to doing it first-principles and thought the formula would be on there and it isn't... oh well.

4) It was on last year's exam... no formula and all.

5) Agreed. But it is the SOA after all... since when do they care about the testability of what they ask?

sundwarf
05-07-2008, 11:15 PM
Tepper and Black's arbitrage are obvious if you know what Tepper and Black arbitrage are.
I think I agree on the convertible stuff but they could test it without the probability of default and then you wouldn't have a complaint.
Valuation of CDS is obvious, that is like actuarial science 101, present value of future cashflows.
GMAB would be a compound option right? That presumably isn't testable as a calculation.
I doubt they are going to test extended Ho-Lee at that level of detail.

The GMAB question in last year's exam was nuts. I gave up attempting it.

I think the real problem here is the formula sheet includes so many different formulas that many of them are actually not applicable in an exam with so little time. Yet, there are still many useful formulas missing, where they can be applied easily (CDS for example). Deriving those will take some time that i wonder if doing that will worth the effort.

remilard
05-07-2008, 11:36 PM
The GMAB question in last year's exam was nuts. I gave up attempting it.

I think the real problem here is the formula sheet includes so many different formulas that many of them are actually not applicable in an exam with so little time. Yet, there are still many useful formulas missing, where they can be applied easily (CDS for example). Deriving those will take some time that i wonder if doing that will worth the effort.

Oh yeah, I forgot lasts years problem.

Yeah, that was probably a little idiosyncratic to test without giving the formulas.

If they ask that again I'll fail it.

remilard
05-07-2008, 11:39 PM
1) True, but I always get confused as to why there should be a difference in the two methods since the same thing is essentially being done in both. I guess I don't understand them then.



In Tepper the company is just selling stock and buying bonds in the pension plan. The shareholders then adjust their own portfolio to compensate for the fact that those shares of stock are less risky because the volatility of the pension liability is lower.

In Black, the company sells stock and buys bond in the pension plan and then adjusts for that internally by issuing a bond and using the proceeds to purchase shares of its own stock.

Laurelinda
05-08-2008, 02:10 AM
Oh yeah, I forgot lasts years problem.

Yeah, that was probably a little idiosyncratic to test without giving the formulas.

If they ask that again I'll fail it.

Hey, this is my opportunity to add something of value!!!

You can do a GMAB problem using the following process, no special formula necessary:

1.) Value the put to first reset date in the usual way, as if it were a GMMB. Call this P(0).
2.) At the time of first reset, we now have an at-the-money put to next reset. Multiply this by [fund value rolled forward to time 1 at risk free rate + first put's value rolled forward at risk free rate] and discount back to time zero. Call this P(1).
3.) Repeat if there's a second reset. ATM put at this time x [fund value rolled forward + P(0) rolled forward + P(1) rolled forward], discounted back to time zero. This is P(2).

Value of the surrender benefit is [P(0) x prob survival to time 1] + [P(1) x prob survival to time 2] + [P(2) x prob survival to time 3]

The Smokin' Cracktuary
05-08-2008, 08:06 AM
Tepper and Black's arbitrage are obvious if you know what Tepper and Black arbitrage are.
I think I agree on the convertible stuff but they could test it without the probability of default and then you wouldn't have a complaint.
Valuation of CDS is obvious, that is like actuarial science 101, present value of future cashflows.
GMAB would be a compound option right? That presumably isn't testable as a calculation.
I doubt they are going to test extended Ho-Lee at that level of detail.

Yeah. And your ugly.

It's funny, I knew when I wrote those things that someone would say exactly what you just said.

Basically,

"Oh, those are easy. They don't need to be on the formula sheet :blah:...."

My point was that they are testable, or have been tested, yet are not on the formula sheet. And those were just things I thought of off the top of my head. I wasn't looking for and arguement about how easy they are.

Maybe some of us never took actuarial science 101.

The Smokin' Cracktuary
05-08-2008, 08:08 AM
Hey, this is my opportunity to add something of value!!!

You can do a GMAB problem using the following process, no special formula necessary:

1.) Value the put to first reset date in the usual way, as if it were a GMMB. Call this P(0).
2.) At the time of first reset, we now have an at-the-money put to next reset. Multiply this by [fund value rolled forward to time 1 at risk free rate + first put's value rolled forward at risk free rate] and discount back to time zero. Call this P(1).
3.) Repeat if there's a second reset. ATM put at this time x [fund value rolled forward + P(0) rolled forward + P(1) rolled forward], discounted back to time zero. This is P(2).

Value of the surrender benefit is [P(0) x prob survival to time 1] + [P(1) x prob survival to time 2] + [P(2) x prob survival to time 3]

I am confused how this doesn't invloved remembering something, which is exactly what I am trying to avoid.

I'd rather just have a formula.

Thank you though :tup:

The Smokin' Cracktuary
05-08-2008, 09:06 AM
Hey, this is my opportunity to add something of value!!!

You can do a GMAB problem using the following process, no special formula necessary:

1.) Value the put to first reset date in the usual way, as if it were a GMMB. Call this P(0).
2.) At the time of first reset, we now have an at-the-money put to next reset. Multiply this by [fund value rolled forward to time 1 at risk free rate + first put's value rolled forward at risk free rate] and discount back to time zero. Call this P(1).
3.) Repeat if there's a second reset. ATM put at this time x [fund value rolled forward + P(0) rolled forward + P(1) rolled forward], discounted back to time zero. This is P(2).

Value of the surrender benefit is [P(0) x prob survival to time 1] + [P(1) x prob survival to time 2] + [P(2) x prob survival to time 3]

I think a big problem for me when trying to study this was the non-sensical notation.

It clearly states that Ps(t) = [So(1-m)^t,G,t] is the price of a t-year Euro Put with strike = G, and an initial stock price = So(1-m)^t.

Then it goes onto to say that the the value of a GMAB contingent on survival is P1(0) + P2(0).

That looks to me like a 0-year put option, according to the above explained notation. And the 1 and 2 where the (s) was in Ps(t) mean nothing to me.

I think I get the concept from the explanation, but it seems next to impossible to get it from the formulas given. But maybe I am missing something, which is highly likely.

The Smokin' Cracktuary
05-08-2008, 09:46 AM
As I going through the syllabus at a relatively quick pace in an attempt to force as much of a broad knowledge of the entire syllabus into my short term memory, I have realized how very many formulas are not on the sheet.

Many of which I see as very testable. My anger at this fact consumes me. My previous notion that all I had to do was remember where things were, and what things were, on the formula sheet, and I could at least guarantee some partial credit on every calc question, has been taken from me. Swiped out from under my feet like a rug. Only instead of being a rug in a room, it's a flying carpet..... and I am hovering over an active volcano.

I'd list examples, unfortunately I lost count after I came across the 15th one two days ago. Ok. So that is an exaggeration, but there are quite a few.

Notably:

Temper & Blacks tax arbitrage
Covertable bond Binomial tree paramters
Valuation of a CDS
GMAB option Value
Relationahip between Forward and spot volatilities for extended Ho-Lee


Those are just off the top of my head. I would like to point that I know of three of those that have been tested.

A couple more I just came across,

Optimal Equity allocation in a pension fund
The minimum required equity allocation to ensure a positive change in surplus

And yes, remilard, I know these are obvious

Laurelinda
05-08-2008, 12:55 PM
but it seems next to impossible to get it from the formulas given.

I agree. I figured it out from the example in the JAM study guide, but the flashcard is nearly worthless IMO.

Laurelinda
05-08-2008, 12:57 PM
Optimal Equity allocation in a pension fund
The minimum required equity allocation to ensure a positive change in surplus

And yes, remilard, I know these are obvious

Yeah, I hate those. Well, I hate the second one, at least.

I watched a movie last night, drank a little wine, and slept in. I'm feeling better now. I don't know any more than I did yesterday, but at least I'm feeling better. :tup:

FoxtrotFool
05-08-2008, 01:41 PM
Warrents are not in the formula sheets either.