Post mortem [Archive] - Actuarial Outpost

L. Mo

05-05-2005, 04:59 PM

Matty

05-05-2005, 05:06 PM

I thought it was fairly difficult. They're probably overcompensating because last year's was too easy.

I'm expecting a pass score much lower than last year's 70%.

egg

05-05-2005, 05:15 PM

I thought it was fairly difficult. They're probably overcompensating because last year's was too easy.

I'm expecting a pass score much lower than last year's 70%.
I think this wins for understatement of the Millenium.

egg

05-05-2005, 05:24 PM

(It's about 5 eastern (2 pacific), so I think I'm ok posting now)

Can't believe it, but I'm actually more bitter than I was 10 months ago! :swear:

1. Too freaking long!
2. The point deflation thing is beyond ridiculous - anyone actually believe that that was an 80 point exam?
3. More explaining things than math problems, which gets real old, real fast.

anyone else?I agree, I didn't think it was possible to be more bitter. I was wrong. Again. I am so happy to see them move away from the fair exams that I have been taking for the last 3 years, and back to the minutia that dominated my early years. I don't want to say much more for fear of being banned.

Jobu

05-05-2005, 05:33 PM

I'm glad to see that you all thought it was hard too. I was expecting another exam like 2004, but I thought that this one was a good bit more difficult. And I hate that it was 80 points; if you didn't happen to know one of the piddly little detail questions, it could still hurt you. There's no way I got 70% on this one.

erickson

05-05-2005, 05:37 PM

I would differentiate between hard and long. The questions were definitely more conceptual, but I don't think they were necessarily that much harder than prior years'.

Length was definitely a difference, though. I can't believe how many I left blank, just because I ran out of time. On the other hand, there were a number of papers that I didn't even read, so a long exam could help me there (relative to the population).

I felt like a couple questions were borderline faulty, but I'll wait until tomorrow before identifying them.

Jobu

05-05-2005, 05:47 PM

[QUOTE=erickson]I would differentiate between hard and long. The questions were definitely more conceptual, but I don't think they were necessarily that much harder than prior years'.
QUOTE]

True. But I thought the questions were not as straighforward as in years past, and because it was longer, I didn't have as much time as I would have liked to make sure that I was answering what they were asking. This, to me, made it harder.

erickson

05-05-2005, 06:00 PM

I would differentiate between hard and long. The questions were definitely more conceptual, but I don't think they were necessarily that much harder than prior years'.

True. But I thought the questions were not as straighforward as in years past, and because it was longer, I didn't have as much time as I would have liked to make sure that I was answering what they were asking. This, to me, made it harder.

Agreed.

bertuary

05-05-2005, 06:40 PM

Glad to see that everyone is feeling pretty much as I did leaving the exam room. Way too long and what was with all the explain this, explain that questions?!? They definitely hit on much more minutia than they had in the prior few years on Part 8. It was a grueling 4 hours. I normally try to keep track of how many points I think I'm getting on the questions as I go along and there were so many I just didn't know if I was at all giving what they wanted, I didn't know how to score things. The only positive thing is that it looks like we're all in the same boat, so hopefully we won't see another 70% pass mark because I know I'm below that.

erickson: I can't remember exactly which one it was, but there was a computational problem maybe 1/4 to a 1/3 of the way in that I was just positive was faulty. I'll be curious to see if we are thinking of the same one once we get our test booklets back.

Oliver Klozov

05-05-2005, 07:36 PM

I thought that there were a couple of questions that were, at best, vaguely worded.

Also, I have no idea how many points I even answered....I was too busy trying to answer questions.

I wish that they would assign marks to questions in a more uniform manner. It seemed to me that there were 2 mark questions that took a minute to do, and 1 mark questions that took 5 minutes....very frustrating.

I left several questions blank, but I don't feel too bad because I was working to the end of the exam on other problems. I felt like I didn't waste any time on any particular question, but I definitely didn't have enough time to seriously attempt every question on the exam. Of course, I am getting older...so maybe I am just slow.

Good luck everyone!

Dooby Scoo

05-05-2005, 09:26 PM

its nice how the 45 questions meant 80 points. what does that mean for partial credit? Those cumbersome 2 point problems, if you f--- something up, a quarter point is worth a heck of a lot more.

hard, long, and hopeful that the pass mark is 48-49 points.

White Teeth

05-05-2005, 09:52 PM

Very long exam. Didn't think it was particularly difficult although as stated before there were a few questions that were somewhat vague and required some time to think through which it seems most of us (at least those of us who have posted so far) didn't have enough of. Managed to attempt all questions but who knows with the CAS. Hopefully the pass mark isn't anywhere near what it was last year.

Glad it's over with. Best wishes everyone.

GefilteFish144

05-05-2005, 09:59 PM

Definitely agree the exam sucked. Can't believe that some long 15-minute problem was 2 points. Some of the multi-part problems basically asked you to do the same thing over again. I keep hearing all the propaganda that the exams are "better", but the last 3 I've taken were just one mess after another. At the very least, I hope that L. Mo and the rest of you who were shafted by the 70% mark last year will find success this time -- I did my best to raise the curve for you.

beh5716

05-05-2005, 10:10 PM

test was hard. test was long. test was hard and long.

wombatpp

05-06-2005, 12:10 AM

The exam was so long that I don't think I could finish even if the questions were formula loaded like previous years', less to say we need to be much more conceptually thorough this time!! I also feel that the questions were sort of a lot more concentrated on some parts of the syllabus than the others.

I can't believe I still fail after all the hard work...

whisper

05-06-2005, 12:15 AM

The exam was awful. There were multiple questions that I had absolutely no clue what the question was looking for. Anyone else think that platinum versus cash question was defective?

looploop

05-06-2005, 01:02 AM

Well, I was going to post that the exam was difficult but many of you beat me to it. I would say this exam was even tougher than the 2003 exam which had a pass score near 61%. Also due to 80 pts, each pt is worth that much more. My guess is pass score near 55 to 60%.

I also agree that the syllabus was not very well represented, with a lot of forward and swap questions and nothing on immunization or EPD and very little on Cummins. Point assignment did not seem consistent, with some very long 2 pointers - good thing I skipped those.

Dookie

05-06-2005, 07:41 AM

test was hard. test was long. test was hard and long.

beh...You da man! I'm sure you passed. Now its time to stop worrying about it and play some golf!!

SMOKIN' ACTUARY

05-06-2005, 08:41 AM

I woke up last night realizing I screwed the pooch on the estimate the beta problem.

Given the difficulty of this exam I smell a 5 for me.

I don't want to do this again.

MountainHawk

05-06-2005, 09:22 AM

Went down hard. Figured I would, because I had to skip a couple of papers.

Fightin Engineer

05-06-2005, 09:24 AM

SMOKIN' ACTUARY

05-06-2005, 09:53 AM

Maybe we will all get sympathy passes.

erickson

05-06-2005, 10:10 AM

I thought it was difficult and long too. I agree it was tough to figure out what they were asking for in several of the questions.

For the platinum question, I don't think it was defective, but I would be interested in hearing everyone's arguments. If you think of platinum as a foreign currency with a negative interest rate (the storage cost), I think that will get you where you need to be.

I stumbled upon the answer while trying to buy myself some partial credit by calculating the forward price for platinum.

I haven't been this ticked off about the quality of the exam in a long time.

IIRC, didn't the platinum question say that you should assume that all investors can borrow and lend at the risk-free rate of 7%? If so, why would anyone take the 10% cash loan offered by the bank? I don't have my exam booklet yet, so I could be misremembering.

Basso

05-06-2005, 10:12 AM

Remember to take the exam survey (http://www.casact.org/admissions/exsurvey/8.htm)

I kind of hope they took some measure to prevent the survey from being slammed.

SMOKIN' ACTUARY

05-06-2005, 10:19 AM

IIRC, didn't the platinum question say that you should assume that all investors can borrow and lend at the risk-free rate of 7%? If so, why would anyone take the 10% cash loan offered by the bank? I don't have my exam booklet yet, so I could be misremembering.

Yes they did. This investment reduced the cost of the money loan.

FWIR The risk free rate was continously compounded as well as the storage costs of the platinum. The 10% and the repayment cost of the platimum was on an annual compounding basis.

whisper

05-06-2005, 11:04 AM

For the platinum question, I don't think it was defective, but I would be interested in hearing everyone's arguments. If you think of platinum as a foreign currency with a negative interest rate (the storage cost), I think that will get you where you need to be.

The question didn't give any information regarding the spot price that platinum is selling for. Without some means of relating platinum to cash, how can you do the problem without assuming the interest rates were accurate.

Fightin Engineer

05-06-2005, 11:10 AM

Thanks for clarifying what you thought was defective. I just wanted to get the issue out on the table, so we could all discuss it.

The question said "market participants" can borrow at the risk-free rate. My guess is that they meant to exclude the bank's client (the borrower in the problem) from this group, not that it was clear from the problem statement.

Fightin Engineer

05-06-2005, 11:16 AM

My previous post was responding to Erickson.

Whisper,
You can calculate your repayment cost in terms of the spot rate (e.g. 1.10S) for both borrowing platinum and borrowing cash. Then you can compare the coefficient to see which is the better deal.

Ex. I can borrow 1 ounce of platinum worth $S today or $S in cash. What would I have to repay? Take the lower of the two repayment amounts.

Fightin Engineer

05-06-2005, 11:21 AM

Oh, and repay the loan by entering a forward now, rather than buying back at the future spot rate.

whisper

05-06-2005, 11:39 AM

You can calculate your repayment cost in terms of the spot rate (e.g. 1.10S) for both borrowing platinum and borrowing cash. Then you can compare the coefficient to see which is the better deal.

Ex. I can borrow 1 ounce of platinum worth $S today or $S in cash. What would I have to repay? Take the lower of the two repayment amounts.

Is the question what is the better speculative investment? Forwarding cash versus forwarding platinum?

erickson

05-06-2005, 11:49 AM

The question said "market participants" can borrow at the risk-free rate. My guess is that they meant to exclude the bank's client (the borrower in the problem) from this group, not that it was clear from the problem statement.

worth repeating: "not that it was clear from the problem statement."

Fightin Engineer

05-06-2005, 12:00 PM

I agree. I think they should take both answers. One like the one I outlined (probably what they were looking for) and the other "just borrow risk-free stupid!"

Pip

05-06-2005, 12:07 PM

I can't believe I forgot how to take a freakin' covariance. Dur dur dur.

Tough exam, I'm probably somewhere in the range of a 5 to a 6 or 7. Better not be a damn 5.

GefilteFish144

05-06-2005, 12:08 PM

Does anyone get the sinking feeling that they may pass a lower percentage this time around? Was hoping to continue the trend of passing almost 50% of the candidates, but with the harder exam I think they may be looking to cut down on the number of this year's Fellows.

Oliver Klozov

05-06-2005, 05:09 PM

Personally, I was not happy with the wording on the insurance securitization question...it didn't make sense to me (at the time anyway).

I also screwed up the expected loss given XYZ's bankruptcy...I kept getting a profit for ABC. I tried twice and got the same answer....decided to leave it and move on.

erickson

05-06-2005, 05:22 PM

Personally, I was not happy with the wording on the insurance securitization question...it didn't make sense to me (at the time anyway).

Darn straight, buddy! I was so pissed off when I saw that one. No context whatsoever!!! However, I think my guess at their context was correct, so I see no reason for it to be graded differently. :)

mamaact

05-06-2005, 07:03 PM

I think this is how you approach it.

If you choose the loan where you repay in platium ounces, you lock in the price of platinum today using a forward contract.

The ultimate cost to repay a loan in platinum is 102.5 oz times the futures or forward price of platinum, which is today's price times e^ (7% + .4%)

The ultimate price of the cash loan is 100*e^.1

So it turned out the cash loan was more expensive by a hair, which is why they had you go to three decimal places.

I thought it was a fairly good question, actually, because it did not test a formula straight out of the text but rather a broad understanding of how forward contracts work.

Overall, though, I thought the test was pretty difficult. Just not this problem. And I agree on the Gorvett question - I'm still not sure what they were looking for.

erickson

05-06-2005, 10:26 PM

Overall, though, I thought the test was pretty difficult. Just not this problem. And I agree on the Gorvett question - I'm still not sure what they were looking for.

Two "elements" of securitization:

1. Bundling of underwriting cash flows into a tradable security
2. Transfer of said security to capital markets

With respect to reinsurance satisfying either of these, I think it depends on how strict your criteria are. Reinsurance, per se, is not a tradable security. But, shares in a reinsurance company are.

Goldfarb kind of makes a similar point, in a different context, in his notes to the "insurance principle" appendix to the BKM chapter. Shares in an insurance company are a way to diversify underwriting exposures (that would be unacceptable to a single entity) across a large number of investors.

More formally, Gorvett lists reinsurance under "types of securitization," but (conveniently) doesn't provide any discussion. . . and then later contrasts "traditional reinsurance" with insurance securitization.

erickson

05-06-2005, 10:28 PM

Btw, I just got my exam booklet back and calculated a quick point estimate of my score. I think the pass mark is going to have to be <= 45/80 for me to have any shot of not taking this thing again next year.

Probably a long shot. . . :sad:

Fightin Engineer

05-06-2005, 11:18 PM

I got a profit for ABC too, which means actually no profit, since the creditors would demand their asset.

quodlibet

05-09-2005, 02:24 PM

I concur with everyone on this post that this exam was extremely long, hard and tedious. Had to leave 3 questions blank and plenty of others partially attempted. The first 2 hours were definitely a lot harder than the last two.

I would be amazed with a pass mark greater than 60% (or 48 points). This exam might be more in line with the 2001 pass mark of about 56%.

This exam once again confirmed that the CAS process treats handling intense time pressure (handling time pressure is important but to this extreme is ludicrous) as the foremost skill needed to pass an exam. Knowledge and insight are secondary.
I thought the questions provided on this exam were by and far very well thought out and conceptual in nature but by making it long it did not give the candidate a fair chance to display their understanding and knowledge by having to scamper through the questions.

Dooby Scoo

05-09-2005, 02:46 PM

I still find it ridiculous that when I sat down to take the 2004 exam, it took me about 2.5 hours and I scored 81%. This 2005 exam should have been something on Actuary Fear Factor.

berad

05-09-2005, 08:44 PM

The exam had good questions but there was not enough time to digest them, just to react.

I made plenty of stupid mistakes because of lack of time to think. I'm frustruated.

:swear: :swear: :swear: :swear: :swear: :swear: :swear:

Usually the website is full of people who did well. Why haven't we heard from them? I want to hear how I can do better next time. What's the secret?

asymp_normal

05-09-2005, 09:15 PM

I guess it will come down to whether the graders want to see a lot of 'good tries' (my style, given the time pressures) or a few perfectly worked problems(probably the better choice). If half the exam-takers could crank out well-thought-out responses to most of the problems on that monster, more power to them!

The time pressure meant that I couldn't even give full, detailed responses to the questions I was happy to see, much less puzzle over the mindbenders.

Love these exams...they never fail to keep me humble!

sd978

05-10-2005, 01:26 PM

It was certainly a tough one. It amazes how a 80 point exam can be squeezed into 45 questions. Gave a tough time to count on any partial credits even. Hoping the pass mark less than 50. Once again it was proven everytime it's a different exam. Never follow the footsteps of old ones!

Pip

05-10-2005, 02:14 PM

Usually the website is full of people who did well. Why haven't we heard from them?

Maybe there aren't any...

erickson

05-10-2005, 04:22 PM

I'd be interested in hearing how Goldfarb views the level of difficulty of this exam compared to prior exams.

GefilteFish144

05-11-2005, 08:59 AM

I e-mailed him. He said that if he can get a copy of the exam next week he'll take a look. I'm guessing that the exam will be posted on the CAS web site by then, but just in case, he'd be interested in looking at a copy if anyone had their booklet sent back.