QFI Quant - Fall 2020 thread

Starting a thread for the QFI - Quantitative Finance exam, Fall 2020 sitting.

Nice - how’s the studying going? Redoing Fall 2019 and Spring 2019 exams now. Need to redo derivation of bond pricing formulas for interest rate models as well as derivations of prices for coupon bonds, swaps and inverse floaters.

This material is outrageously difficult - and there’s a lot it.

I’m hoping to make a lot of progress in the next week and a half. I’m wrapping up the P&S problems (70% of that is reading solutions because the problems are unreasonable, but there’s some practice) and doing my custom-set of flashcards. Focusing on exams next week (with Spring 2020 saved for last).

Agreed on the material - there’s a lot I’m just not going to really know. Hoping the old tests will be good guidance.

Good idea - haven’t looked at those problems since I did them.

I haven’t seen much of that material on the SOA exams. A lot of problems have you solve some stochastic integrals in earlier parts of the problem to do more complex derivations of pricing formulas later on in the question.

None of those have included chapters 4 and 5 from Chin on admissible portfolios. Wonder if that will show up.

I’ve been working through the 2019 exams… the answer key has directly cited complex formulas not currently on the formula sheet repeatedly (and given those topics were unaffected by the syllabus updates, I don’t see why they’d remove those select formulas). It’s incredibly frustrating and discouraging for Monday, since there is no reason why I’d have those memorized, and in the moment you’re just out of luck. :face_with_symbols_over_mouth: :sob:

Examples: 14.42 and 21.53 on Fixed Income Securities.

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Are you referring to the bond pricing formulas? In the past exams, they usually have you derive those. I was really surprised to see those a requirement for the problem. I definitely got those wrong.

Have been planning on memorizing everything about HJM, Hull-White, Ho-Lee, Libor-Market-Model, and Vasicek model. These seem to be a big focus of a lot of the problems.

Also trying to be prepared for some bond pricing, DV01, factor duration, and GMWB rider pricing problems in Excel.

One of them was for HJM with partials of sigma_z and another was something with the Ho-Lee model. If the SOA is presenting solutions for the exam, if we have to derive something they should too, but they don’t always. That’s what gets me - it doesn’t help me know what to expect or what’s reasonable. I have noticed at least two questions straight from the textbooks examples / problems assigned.

Yeah Excel will trip me up. Sometimes it’s just easier to do it by hand (especially if formulas vary item to item and can’t just be extended).

I’m trying to focus on conceptuals / compare and contrast because apparently I’m very weak on those (as discovered by practicing the last 3 exams)… Monday is way too soon. :sweat:

Agreed. I feel like memorizing the dynamics of HJM is going to be important. They ask a ton of questions about it on prior exams.

Looking through the comments in the solutions, its seems like the scores on this exam are extremely low in general. Giving me a bit of hope :).

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FYI on the SOA’s sample CBT questions pdf: for QFI, there is one problem per exam, and of course the problem for the quant exam is from (drumroll please…) the old syllabus. However, on page 9, before they answer the sample QFI PM question, they give nice breakdown about formatting and writing formulas that was actually somewhat helpful (shown below):

This solution contains an illustration of what would be acceptable syntax in a Computer Based Testing(|CBT) environment when the question asks for a solution to be provided in Microsoft Word.

The intent of CBT is not to test your ability to write formulas out in Microsoft Word.

If a formula or description calls for a special symbol, please do not replicate the symbol, rather write it out in words or use something that is clearly representative, in some cases this could be as you would write a formula in EXCEL.

For example ∑ could be written as sum(), and if there is a range write it out as sum from 1 to n.

In the below example subscripts were denoted by having an underscore in front of them with superscripts written in lower case. You are free to adjust the font size of use word’s functionality for subscripts and superscripts; however, be mindful of time if doing so.

The intent of the below solutions is to illustrate different ways of writing out the same answer under exam conditions in Microsoft Word.

Aim to be consistent in terms of how you write formulas out, if a formula is on the formula sheet, just writing out the formula number will be acceptable. Subsequent steps though will need to show how the formula was used/manipulated.

Of course looking at the example solutions and the math there isn’t making me feel better. I’m a fast typer but less so when you add in numbers and special characters - that will slow me down or make me think for a second on how to write it well (no idea what will be typed vs handwritten regarding formulas).

Yeah - I saw this. My guess is that all proofs will be written. Excel problems will probably be DV01 transformations, bond pricing or GLWB valuation. Looking at the 2020 Exam they left off DV01, which really makes me think its going to be on there as its new to the syllabus.

Focused on reviewing flashcards now, memorizing locations of formulas on the formula sheet and reviewing past problems I got wrong.

How are you feeling about the Monday?

I’m reading up on things I listed as being particularly weak/uncertain on, doing flashcards, and reading solutions from the QFI-Adv exams (stuff that’s now on ours as objective 5 to save time). I know where formulas are on the sheet except I used a physical sheet, and left vs right sides helps. But I know chapters too so hopefully that’s good enough with scrolling.

Very mixed about Monday. I practiced the Spring 2020 exam on Thursday and wouldn’t have passed but was probably close, so I think I have a solid chance on Monday but also a solid chance to fail too. I’m sure I’ll feel bad about it regardless (I was surprised I was close on Thursday’s practice exam) - I personally struggle to account for partial credit and comparing to how everyone else did instead of comparing to 100. Which doesn’t help my stress levels. I know I’m weak on some things. It’s all about confidence.

Also side note: how did the hardest exam the SOA offers end up on the first testing day of a two-week window? Talk about drawing the short straw…

Yes - I could definitely use more time. Also, unsure as to why this exams has to be so much more difficult than the others - almost like they don’t want us to pass…

And good point about relative scores, it seems from the notes that at least half of the questions are partially answered and a quarter unanswered.

Good luck tomorrow!

Thanks, you too! And to anyone else reading this lol :slight_smile:

Guess i’ll get the ball rolling since it seems like it’s okay to discuss now. How do you all think you did?

I didn’t come close to finishing. Had a full third left, and never took a break. I feel decent about what I did do but not sure if it’s enough to pass. It was very hard and very redundant - felt like the same questions kept reappearing rather than a wide variety of topics. Given how huge the syllabus is, that’s ridiculous. Sure, not everything can be tested, but you don’t have to repeat ones either.

I didn’t have enough paper! I asked for more and there wasn’t any, so I went on the backs of pages even though they said not to. I was able to do the same question on front and back though…because I didn’t finish. If I did get to every question, I’d have two separate questions on one page because I didn’t realize til it was too late.

No issues with CBT vs handwritten though. It helped it was a hybrid rather than 100% CBT - the spring makes me very nervous. I don’t see a good reliable way for this content to be done not by hand.

I feel similarly. There were a ridiculous amount of questions on the same set of topics that were never or rarely previously tested. For example, I lost count on the number of times I got asked about Heston models. Like if they want to throw a curve ball, so be it, but this reached new heights. This is adding insult to injury considering all the CBT issues. Plus, the section 1 questions in the beginning that were typically straightforward in the past are curveballs as well!

Overall, I think I can go either way. I managed to finish the exam and luckily I didn’t leave any full questions blank, but the volume of curveballs does not help my confidence at all and I didn’t have sufficient time to review my work either.

I’m counting on it being on a curve and being ridiculous to everyone. But still… and I really don’t trust the SOA for the spring version of it.

Also, I’m submitting an email complaint to the SOA tomorrow about the exam - my issues during it, the pre-exam communication problems, and about the tech issues with some people not being able to take the exam at all this sitting (currently no word that there’s a retake). I encourage you to do the same - just because an issue didn’t affect you this time, doesn’t make it okay or mean it won’t affect you in the future. I did their formal survey today as well but am still emailing in too. I heard enough when going through exam PA that I don’t exactly trust them to make changes so this is a one-time issue.

Welp… maybe second time is the charm :sob: I’m starting a new thread for the spring exam.