Actuarial Outpost
 
Go Back   Actuarial Outpost > Exams - Please Limit Discussion to Exam-Related Topics > SoA/CAS Preliminary Exams > Investment / Financial Markets
FlashChat Actuarial Discussion Preliminary Exams CAS/SOA Exams Cyberchat Around the World Suggestions


Upload your resume securely at https://www.dwsimpson.com
to be contacted when our jobs meet your skills and objectives.


Investment / Financial Markets Old Exam MFE Forum

Reply
 
Thread Tools Search this Thread Display Modes
  #91  
Old 07-12-2018, 03:59 PM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
Member
SOA
 
Join Date: May 2014
Favorite beer: The ones in red solo cups.
Posts: 672
Default

Quote:
Originally Posted by tkt View Post
Got it, but I think the wording should be updated to remove the reference to Brownian motion since it's NOT on the IFM syllabus. Previously in the older version of MFE, a volatility could be given as "the logarithm of the dollar per yen exchange rate is an arithmetic Brownian motion with daily volatility of X%...". That was ok because Brownian motion was on the MFE syllabus at that time.
The statement on the exam was worded similarly to what you just posted. I had no idea what Brownian Motion meant. Thank you!
Reply With Quote
  #92  
Old 07-12-2018, 04:40 PM
Torene Torene is offline
Member
SOA
 
Join Date: Jan 2017
Posts: 79
Default

Quote:
Originally Posted by ToBeAnActuaryOrNotToBe View Post
The statement on the exam was worded similarly to what you just posted. I had no idea what Brownian Motion meant. Thank you!
I definitely did not get a question that mentioned Brownian Motion. I don't remember most of my questions, but I would've remembered that!
__________________
P FM MFE MLC C PA
VEE: Econ VEE: Stat VEE: Corp Finance
Reply With Quote
  #93  
Old 07-12-2018, 06:09 PM
bravesandfalcons bravesandfalcons is offline
Member
CAS SOA
 
Join Date: Dec 2013
College: Georgia State University
Posts: 259
Default

Quote:
Originally Posted by ToBeAnActuaryOrNotToBe View Post
Since the exam window is officially over (last sitting was on Wednesday), did anyone else get a question with Brownian Motion? I know that Brownian Motion was supposed to be removed from MFE/IFM. It was an old topic before the 2017 change. I was surprised I got a question with that.
Quote:
Originally Posted by ToBeAnActuaryOrNotToBe View Post
Might not have been defective. I just didn't know what Brownian Motion was in general. It said something like "the Brownian Motion of the logarithm..." then listed a value. It was one of the variables given, but it wasn't the whole point of the question.
I definitely got that question. I think it was an arithmetic Brownian Motion which gave the volatility. I knew what to do with it because I sat for MFE twice, but that as interesting nonetheless.
Reply With Quote
  #94  
Old 07-12-2018, 07:00 PM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
Member
SOA
 
Join Date: May 2014
Favorite beer: The ones in red solo cups.
Posts: 672
Default

Quote:
Originally Posted by bravesandfalcons View Post
I definitely got that question. I think it was an arithmetic Brownian Motion which gave the volatility. I knew what to do with it because I sat for MFE twice, but that as interesting nonetheless.
I just assumed it was volatility and continued on with the problem. Lucky guess. Not fair for others who got caught up on that statement though.
Reply With Quote
  #95  
Old 07-12-2018, 09:37 PM
vo0d0o15 vo0d0o15 is offline
Member
SOA
 
Join Date: Jul 2012
Posts: 103
Default

I saw the same question. It was my first one and set me up to be in a really annoyed mood for 3 hours. I didn't even bother attempting it untill 20 minutes left.
Reply With Quote
  #96  
Old 07-13-2018, 10:37 AM
chica_anaLista chica_anaLista is offline
CAS
 
Join Date: Oct 2016
College: Michigan State University (Master)
Posts: 9
Default

Quote:
Originally Posted by vo0d0o15 View Post
I saw the same question. It was my first one and set me up to be in a really annoyed mood for 3 hours. I didn't even bother attempting it untill 20 minutes left.
I didn't get that one but my first question was one that required the greeks so I can empathize with your frustration. It's one of the worst ways to start.

Out of all of the questions, the ten-period binomial tree problem I got was the only one that had me livid. It was for a European option at least so I could directly use the binomial distribution, but calculating 11 prices, their payoffs, and then the probability (with no mistakes) without a graphing calculator or spreadsheet is absurd. The SOA could have easily tested the same concept(s) with fewer periods instead of intentionally giving people a problem that long.
Reply With Quote
  #97  
Old 07-13-2018, 10:47 AM
behindthebag behindthebag is offline
Member
CAS
 
Join Date: Jul 2016
Favorite beer: Blue Moon (prefer single malt)
Posts: 40
Default

Quote:
Originally Posted by chica_anaLista View Post
I didn't get that one but my first question was one that required the greeks so I can empathize with your frustration. It's one of the worst ways to start.

Out of all of the questions, the ten-period binomial tree problem I got was the only one that had me livid. It was for a European option at least so I could directly use the binomial distribution, but calculating 11 prices, their payoffs, and then the probability (with no mistakes) without a graphing calculator or spreadsheet is absurd. The SOA could have easily tested the same concept(s) with fewer periods instead of intentionally giving people a problem that long.
That question is not designed for you to find all the end prices and payoffs. At some point you can recognize when the payoff will be 0 from that point on, up or down the tree, depending on if it's a call or put. ADAPT has questions like that. It's still a bit tedious and complex but not that bad.
Reply With Quote
  #98  
Old 07-13-2018, 11:03 AM
ToBeAnActuaryOrNotToBe ToBeAnActuaryOrNotToBe is offline
Member
SOA
 
Join Date: May 2014
Favorite beer: The ones in red solo cups.
Posts: 672
Default

Quote:
Originally Posted by behindthebag View Post
That question is not designed for you to find all the end prices and payoffs. At some point you can recognize when the payoff will be 0 from that point on, up or down the tree, depending on if it's a call or put. ADAPT has questions like that. It's still a bit tedious and complex but not that bad.
Agreed. They usually only pay out at the 9th or 10th end node in those problems. I always just check 8, 9, and 10.
Reply With Quote
  #99  
Old 07-13-2018, 11:23 AM
golfing_actuary golfing_actuary is offline
CAS SOA
 
Join Date: Mar 2018
College: Maryville University Alumni
Posts: 8
Default

Quote:
Originally Posted by bravesandfalcons View Post
I definitely got that question. I think it was an arithmetic Brownian Motion which gave the volatility. I knew what to do with it because I sat for MFE twice, but that as interesting nonetheless.
I also had the Brownian motion volatility, so also just assumed that it was normal volatility. I marked it, and replied in survey at the end that I thought it was not on the syllabus.
__________________
Prelims: P FM IFM LTAM STAM
VEE: Econ Acctg&Finance Stat
FAP:1 2 3 4 IA 5 6 7 8 FA
Predictive Analytics
Reply With Quote
  #100  
Old 07-14-2018, 04:05 PM
avocado avocado is offline
SOA
 
Join Date: Apr 2018
Posts: 16
Default

Quote:
Originally Posted by svobodny View Post
Honestly, I am a little disappointed in this exam. I had an EL of 5.2 and also used TIA videos. I thought some questions on the exam were sort of odd ball, and my exam really didn't cover the scope of the syllabus. 4 of my questions were exotic options, which I just felt was too many for the weights from the syllabus. I felt confident only in 21 questions, and completely guessed on 4 and know i chose the wrong on 1. So unless I guessed right, I am looking at a 5. Comparing when I sat for MFE in march, this was much more difficult in my opinion. I didn't think the new material for IFM was difficult but my questions from the MFE material were extremely harder. I am just not happy with how little they tested the entirety of the syllabus, it was very concentrated to certain topics.
I agree that the exam concentrated on certain (unexpected) topics. I did a lot of ADAPT exams and although their questions were good, the distribution was quite different from the actual exam. Also, some theory questions tested very minor details, and unless you've memorized it, you'd likely get it wrong!
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 06:44 PM.


Powered by vBulletin®
Copyright ©2000 - 2018, 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 0.38289 seconds with 10 queries