Hi all:
With the SOA exam approaching, I recommend the following 11 MOCK problems from the set of PAK-EXAM-AID (90 MOCK):
MOCK-56 : This MOCK walks you through the difficult derivation of the LMM model ((i)Has not been tested yet and (ii) a challenging concept to grasp).
MOCK-61 : This MOCK shows how to a one-factor interest rate model can be thought of as being a special case of the HJM framework. Thus, it enhances your understanding of connection between one factor models in general, and the HJM model. ((i) Once you work this for MOCK for the Ho-Lee model; you are on your way to handle other cases. The HJM has not been heavily tested yet. This is an important concept in interest rate modeling and RW applications, especially in hedging and market consistent valuations).
MOCK-64 : The BL optimization is a winner. In this MOCK, you will see how to incorporate an investor’s economic/financial view in the model.
MOCK-66 : This is another winner. The MOCK enhances your practical ability of performing dollar duration rebalancing of a portfolio of fixed income securities.
MOCK-69 : The newer version of the NEFTCI comes with challenges in the area of DEEP STOCHASTIC CALCULUS. The book introduces the reader to the shift from the Brownian Motion (as the underlying source of stochasticity in the model for equity returns) to the so-called family of LEVY PROCESSES (including jump diffusion processes); and so will the SOA exams as well. This MOCK tests your basic understanding of LEVY PROCESSES and SEMI-MARTINGALES.
MOCK-75 : Are you familiar with the cash flows from various CMO tranches? PAC? Support tranche? This MOCK provides a solid test for handling these questions.
MOCK-77 : This MOCK provides you with a strong review of the notion of volatility and the issues when forecasting with ARCH/GARCH models.
MOCK-81 : This MOCK looks at other aspects of the ARCH/GARCH model.
MOCK-86 : This MOCK goes beyond the definition of the LEVY PROCESS (MOCK-69) and actually gives you two stock returns dynamics, one of which is the LEVY PROCESS. The comparison of these two dynamics allows you to appreciate the move to LEVY-TYPE MODELS.
MOCK-89 : One other HEAVY STATISTICAL CONCEPT that came out in the revised NEFTCI is the VG PROCESS. Can this really be tested on the Exam? Oh Yes. This MOCK shows you how. Again, you are to compare the dynamics/features of stock returns when the source of stochasticity is, on the one hand, driven by the traditional Brownian Motion (a continuous time process, with zero jump) and on the other, when it is driven by the VG PROCESS (a pure jump process).
MOCK-90 : Finally, the PIDE (Partial Integro Differential Equation). This is very difficult topic, even harder to come up with a test for an SOA format. Yet, this MOCK strives to have you compare the PIDE and the PDE.
With the SOA exam approaching, I recommend the following 11 MOCK problems from the set of PAK-EXAM-AID (90 MOCK):
MOCK-56 : This MOCK walks you through the difficult derivation of the LMM model ((i)Has not been tested yet and (ii) a challenging concept to grasp).
MOCK-61 : This MOCK shows how to a one-factor interest rate model can be thought of as being a special case of the HJM framework. Thus, it enhances your understanding of connection between one factor models in general, and the HJM model. ((i) Once you work this for MOCK for the Ho-Lee model; you are on your way to handle other cases. The HJM has not been heavily tested yet. This is an important concept in interest rate modeling and RW applications, especially in hedging and market consistent valuations).
MOCK-64 : The BL optimization is a winner. In this MOCK, you will see how to incorporate an investor’s economic/financial view in the model.
MOCK-66 : This is another winner. The MOCK enhances your practical ability of performing dollar duration rebalancing of a portfolio of fixed income securities.
MOCK-69 : The newer version of the NEFTCI comes with challenges in the area of DEEP STOCHASTIC CALCULUS. The book introduces the reader to the shift from the Brownian Motion (as the underlying source of stochasticity in the model for equity returns) to the so-called family of LEVY PROCESSES (including jump diffusion processes); and so will the SOA exams as well. This MOCK tests your basic understanding of LEVY PROCESSES and SEMI-MARTINGALES.
MOCK-75 : Are you familiar with the cash flows from various CMO tranches? PAC? Support tranche? This MOCK provides a solid test for handling these questions.
MOCK-77 : This MOCK provides you with a strong review of the notion of volatility and the issues when forecasting with ARCH/GARCH models.
MOCK-81 : This MOCK looks at other aspects of the ARCH/GARCH model.
MOCK-86 : This MOCK goes beyond the definition of the LEVY PROCESS (MOCK-69) and actually gives you two stock returns dynamics, one of which is the LEVY PROCESS. The comparison of these two dynamics allows you to appreciate the move to LEVY-TYPE MODELS.
MOCK-89 : One other HEAVY STATISTICAL CONCEPT that came out in the revised NEFTCI is the VG PROCESS. Can this really be tested on the Exam? Oh Yes. This MOCK shows you how. Again, you are to compare the dynamics/features of stock returns when the source of stochasticity is, on the one hand, driven by the traditional Brownian Motion (a continuous time process, with zero jump) and on the other, when it is driven by the VG PROCESS (a pure jump process).
MOCK-90 : Finally, the PIDE (Partial Integro Differential Equation). This is very difficult topic, even harder to come up with a test for an SOA format. Yet, this MOCK strives to have you compare the PIDE and the PDE.
11 Recommended MOCK for D-DAY-15
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