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ERM Exam Old Advanced Finance and Enterprise Risk Management (ERM) Forum

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  #31  
Old 07-15-2019, 10:00 AM
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Eddie Smith
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Originally Posted by TooTiredtoCare View Post
The exam is 4 hours straight through, but I keep seeing 3 hours for core and one hour for extension. Is there a stop and switching of test materials after 3 hours or is it more of a guideline that you should spend three hours on core and one hour on extension?
Yes, it's the latter. Since ERM is a 4-hour exam, there are 80 total points. 60 points come from the core syllabus, and the other 20 points come from your extension. So using the standard "3 minutes per point" rule for FSA exams, you should budget an hour for the extension-based questions. These will be the final questions at the end, but it's one continuous exam, so to speak, during the 4-hour process on exam day.
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  #32  
Old 07-15-2019, 10:01 AM
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Originally Posted by TooTiredtoCare View Post
The exam is 4 hours straight through, but I keep seeing 3 hours for core and one hour for extension. Is there a stop and switching of test materials after 3 hours or is it more of a guideline that you should spend three hours on core and one hour on extension?
There is no "stop" and the 3 hours + 1 hour is more of a guideline. You get 4 hours for the entire exam and can spilt that up however you'd like. I know some people who have even started on the extensions first -- so you can pick any order and split up the time however you'd like.

There are 60 core points + 20 extension points = 80 total points, so if you split up the 4 hours based on points, you get 3 hour core + 1 hour extension. But that's just a guideline and not a strict rule. You can do 2h55m core + 1h5m extension, and that's perfectly acceptable, nobody is watching how you split your time and you get 4 hours total.
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  #33  
Old 07-15-2019, 10:03 AM
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Eddie Smith
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Fortunately you only have to answer exam questions once, so don't follow our example above.
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  #34  
Old 07-15-2019, 11:09 AM
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Originally Posted by Zakfischer View Post
There is no "stop" and the 3 hours + 1 hour is more of a guideline. You get 4 hours for the entire exam and can spilt that up however you'd like. I know some people who have even started on the extensions first -- so you can pick any order and split up the time however you'd like.

There are 60 core points + 20 extension points = 80 total points, so if you split up the 4 hours based on points, you get 3 hour core + 1 hour extension. But that's just a guideline and not a strict rule. You can do 2h55m core + 1h5m extension, and that's perfectly acceptable, nobody is watching how you split your time and you get 4 hours total.
I had taken Health Core and Advanced previously, so I found the ERM Health material to be very easy. Going into the ERM exam, my strategy was to start with the Health questions and absolutely nail them, and then muddle through the main section and hope it averaged into a pass at the end of the day. Happily, my plan worked.

I have heard the extension questions are beastly for other tracks, especially QFI, so your mileage will vary.
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Old 07-15-2019, 12:28 PM
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Just passed my final ASA requirement today, so I will be joining everyone in the Fall for my first FSA exam! Good luck all!
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  #36  
Old 07-16-2019, 08:59 AM
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Please take a minute to visit the PAK Study Manual website to view our free strategy and mathematical review videos to help get you started. Many students find that some of the implicitly assumed knowledge required for this exam (Black-Scholes, derivatives, hypothesis testing, etc.) is a bit fuzzy in their minds. They give you some quick tips, as well as refresh a little bit of the math you might need as you're getting ready to take a Finance exam.

Strategy Review
Math Review #1
Math Review #2
Math Review #3
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  #37  
Old 07-16-2019, 05:25 PM
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I ve a question on Value-at-Risk Ch.11 (Inv. extension).

For the Decomposition of the Forward Contract throught partial derivative, i don't understand why there is a '-' and not a '+' with the term with dP*/P*.

Do you have some info about the method to have this solution?
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  #38  
Old 07-17-2019, 12:21 AM
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This should be flipped signs. Looks like a typo - the decomposition should be:

df = (Se^-rt)dS/S + (Se^-rt)dP*/P* - (Ke^-rt)dP/P

Good eye!
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  #39  
Old 07-17-2019, 03:01 PM
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I just try to demonstrate the formula
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  #40  
Old 07-17-2019, 04:42 PM
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Hi, I have another question about "Beyond Equilibrium, the Black-Litterman Approach" (inv. ext) and especially table 7.7. In this table, there a column called "Percent Deviation from Market Cap", can someone explain me what it means?

I thought it was the deviation from the market cap for the portfolio...but it doesn't match. Maybe it is just the weight of the 2 view portfolios...and in order to have a sum of weight of 100%, we need to calculate the impact on the other assets (which are not in the table).
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