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Dr T Non-Fan
04-30-2004, 01:42 PM
As the exam is probably set in stone by now (i.e., nothing we write here will cause the exam to change in a week), I would like candidates to make their guesses as to what topics will be asked of in the 14 written-answer questions.
This is partially for those having trouble guessing what to study for the final week, and partially as a game. No, I'm not being facetious due to my insistence that guessing doesn't help. But, I'm open to the possibility of guessing being a good strategy as long as detractors can be open to the possibility that it is no help at all.
Of course this will not be helpful if every possible topic is posted, with equal frequency.
I do suggest not posting all of JAM's suggestions, as he makes his predictions as a favor to the paying seminar attendee and, not the rest of us rabble.
And I do suggest that anyone with knowledge about the exam not contribute either truly or falsely. Thank you.
Do note that no one (especially not I) is responsible for anyone's use or misuse of this information.

I'll start:
Foreign currency interest rate swaps.
Vasicek, similar to last year's question.

oscar peterson
04-30-2004, 01:52 PM
stress test
value at risk

Bama Gambler
04-30-2004, 01:56 PM
Foreign currency interest rate swap

DBeck
04-30-2004, 02:11 PM
A state price vector problem but solve using replicating portfolios.

oscar peterson
04-30-2004, 02:14 PM
State price vector type problem solved using replication, state vectors, and normalized models.

torrent
04-30-2004, 02:25 PM
Multi-period binomial model (with continuous dividend payments)
Liquidity SN + Liquidity cost and investment horizon (CAPM)
After-tax return of refunding (and implied refunding decision)
Sinking fund provision (advantage and disadvantage)
Interest rate generator

Enough Exams Already
04-30-2004, 02:45 PM
investment guidelines for Canadian plans or companies
how to improve the RBC ratio for a company with a given block of business
considerations in choosing a pension funding method

BC
04-30-2004, 02:57 PM
Setting up matching cash flows
Valuation of an exotic option

Nelle
04-30-2004, 03:11 PM
Mortgage calculation using Single Monthly Mortality and Conditional Prepayment Rate as a percentage of PSA

Speaking of this... does anyone have any sample problems on this topic? There is one in JAM and that's all I've seen.

torrent
04-30-2004, 03:59 PM
After-tax return of refunding (and implied refunding decision)


How many rams does the stupid BA-35 Solar have (64 KB?)

When I tried to calculate the after-tax return of refunding (in the book example, page 12 HFIS), it took a good 20 seconds to come up the answer 38.53%, and I thought my calculator went dead.

Try it yourself:

15 N
1190000 PV
462000 PMT

CPT %i

Dr T Non-Fan
04-30-2004, 04:04 PM
Try it outside. It will work faster in sunlight.
I don't know what kind of numerical technique it's using, but it's pretty slow. Try lowering the number of payments. Maybe that's the variable that time-until-done depends upon.
(Well, it's something to do while regenerating brain cells.)

oedipus rex
04-30-2004, 04:46 PM
The BA II Plus is fast with this one. Buttons to press:
CF
CFo = - 1,190,000
CF01 = 462,000
F01 = 15
CPT IRR

torrent
04-30-2004, 06:33 PM
1)Futures and forward contract comparisons.
2)Calculate the quoted price for a 90-day T-bill futures that expires in 140 days, given the Banker's discount yields for 140-day and 230-day bills.
2)Describe an arbitrage strategy given an underpriced forward currency exchange contract.

oscar peterson
04-30-2004, 06:59 PM
Fong & Vasicek model from VOISFI Chapter 8.

nj
04-30-2004, 11:35 PM
Any strategy in guessing the MC answers?